Systematic factor / S&P 500
Value
Stocks priced cheaply relative to their earnings, book equity, and sales.
1 day vs S&P 500-0.1%relative return
20 days vs S&P 500+1.5%relative return
5-day z-score+0.33σrelative move vs trailing history
Year to date+21.3%long portfolio return
Performance
Value vs S&P 500
Daily long-portfolio return minus the benchmark return, compounded over the selected period. Positive means the factor led the market.
| Return | 1 day | 5 days | 20 days | 60 days | MTD | YTD | 1 year |
|---|---|---|---|---|---|---|---|
| Long portfolio | -0.4% | +0.9% | +1.2% | +10.4% | +1.7% | +21.3% | +28.5% |
| vs S&P 500 | -0.1% | +0.7% | +1.5% | +3.6% | +1.3% | +6.4% | +6.5% |
| Q5 − Q1 spread | -0.4% | +1.4% | +1.3% | +4.6% | +2.4% | +2.4% | +5.8% |
Inside the factor
Rebalanced 2026-08-31 · 10% of the long book is new.
Top quintile: the highest-scoring stocks. Weights below are for the cap-weighted long portfolio.
| BACBank of America | Financial Services | 5.00% | 0.81 | 2022-02-28 | -0.1% | +1.1% | -0.3% | +15.5% | +1.7% | +15.8% | +27.1% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| BRK-BBerkshire Hathaway | Financial Services | 5.00% | 0.80 | 2026-01-30 | -0.4% | +0.2% | -3.0% | +4.6% | +0.4% | +0.7% | -0.2% |
| WFCWells Fargo | Financial Services | 4.96% | 0.95 | 2019-12-31 | +0.9% | +3.8% | +3.1% | +10.4% | +4.1% | -1.9% | +12.3% |
| CCitigroup | Financial Services | 4.21% | 1.41 | 2019-12-31 | -0.3% | +3.6% | +2.0% | +3.8% | +4.6% | +19.8% | +44.9% |
| VZVerizon | Communication Services | 3.97% | 0.70 | 2025-02-28 | -0.9% | +0.1% | +6.5% | +8.6% | +0.2% | +29.3% | +21.2% |
| TAT&T | Communication Services | 3.41% | 1.34 | 2025-10-31 | -2.0% | -1.3% | +7.9% | +12.1% | -0.9% | +7.0% | -9.2% |
| COFCapital One | Financial Services | 2.50% | 1.17 | 2026-02-27 | -0.4% | +1.8% | +1.2% | +24.1% | +2.4% | -8.3% | -1.5% |
| CBChubb Limited | Financial Services | 2.49% | 0.77 | 2025-07-31 | -1.9% | +0.5% | -2.5% | +3.6% | +0.9% | +10.1% | +23.6% |
| CVSCVS Health | Healthcare | 2.26% | 1.67 | 2019-12-31 | -0.5% | +4.0% | +1.1% | -0.7% | +3.0% | +24.8% | +35.4% |
| MPCMarathon Petroleum | Energy | 2.04% | 0.79 | 2026-08-31 NEW | +0.3% | +5.4% | +30.8% | +48.1% | +4.2% | +141.9% | +120.9% |
| VLOValero Energy | Energy | 1.98% | 0.65 | 2026-04-30 | +0.0% | +5.2% | +24.3% | +44.2% | +3.3% | +131.1% | +143.6% |
| MCKMcKesson Corporation | Healthcare | 1.97% | 1.88 | 2021-11-30 | -1.5% | +1.7% | +4.5% | +15.0% | +2.7% | +11.0% | +31.8% |
| PSXPhillips 66 | Energy | 1.86% | 0.98 | 2021-03-31 | +0.2% | +4.5% | +25.8% | +41.1% | +3.5% | +101.8% | +99.6% |
| PNCPNC Financial Services | Financial Services | 1.83% | 0.75 | 2025-02-28 | +0.2% | +1.4% | -2.8% | +6.4% | +2.5% | +20.4% | +22.3% |
| CMCSAComcast | Communication Services | 1.80% | 2.14 | 2024-02-29 | -0.6% | -2.1% | +4.5% | +12.0% | -0.5% | -1.8% | -18.2% |
| USBU.S. Bancorp | Financial Services | 1.79% | 0.96 | 2023-03-31 | -0.2% | +1.4% | -0.9% | +12.5% | +2.9% | +21.0% | +34.0% |
| HCAHCA Healthcare | Healthcare | 1.73% | 0.86 | 2026-04-30 | -1.0% | -3.1% | -2.0% | +8.7% | -2.3% | -13.0% | -0.9% |
| ELVElevance Health | Healthcare | 1.60% | 1.63 | 2024-09-30 | -1.8% | +3.3% | +3.4% | +0.7% | +3.8% | +17.4% | +35.1% |
| FDXFedEx | Industrials | 1.51% | 0.66 | 2026-06-30 | -0.5% | -2.5% | +1.2% | +1.4% | -1.5% | +39.7% | +81.2% |
| GMGeneral Motors | Consumer Cyclical | 1.49% | 1.59 | 2019-12-31 | +0.8% | +1.9% | +0.4% | +10.8% | +1.9% | +8.6% | +52.6% |
| TRVTravelers Companies (The) | Financial Services | 1.44% | 0.95 | 2025-07-31 | -1.3% | -0.1% | -3.9% | +21.8% | +0.9% | +28.3% | +34.3% |
| TGTTarget Corporation | Consumer Defensive | 1.38% | 0.70 | 2024-11-29 | +0.3% | +0.8% | +10.7% | +29.5% | +2.2% | +72.9% | +84.6% |
| CICigna | Healthcare | 1.36% | 2.09 | 2019-12-31 | -1.3% | +1.3% | +0.0% | -4.5% | +2.3% | +3.8% | -5.5% |
| HONHoneywell | Industrials | 1.27% | 0.92 | 2026-07-31 | +0.9% | -3.6% | -14.6% | +2.1% | -1.8% | +10.0% | +1.0% |
| ALLAllstate | Financial Services | 1.24% | 1.43 | 2024-10-31 | -1.4% | +0.0% | -2.4% | +16.7% | +0.7% | +26.5% | +27.0% |
| CRHCRH plc | Basic Materials | 1.18% | 0.63 | 2026-07-31 | +2.4% | -1.7% | -5.8% | -5.3% | -0.0% | -23.6% | -14.3% |
| CORCencora | Healthcare | 1.17% | 0.87 | 2021-10-29 | -1.9% | +2.8% | +3.5% | +17.9% | +2.3% | -1.4% | +13.9% |
| METMetLife | Financial Services | 1.17% | 0.81 | 2024-11-29 | -1.6% | +1.1% | -0.1% | +14.0% | +2.6% | +26.3% | +22.8% |
| TFCTruist Financial | Financial Services | 1.15% | 1.47 | 2025-02-28 | +0.1% | +2.4% | -0.4% | +4.8% | +4.2% | +8.2% | +14.4% |
| OXYOccidental Petroleum | Energy | 1.12% | 1.28 | 2026-05-29 | -0.9% | +1.6% | +7.4% | +5.1% | -0.2% | +47.4% | +31.5% |
| AFLAflac | Financial Services | 1.10% | 0.58 | 2026-08-31 NEW | -1.0% | +0.6% | -5.5% | +0.6% | +1.2% | +8.0% | +10.2% |
| FFord Motor Company | Consumer Cyclical | 1.05% | 0.72 | 2019-12-31 | +1.5% | +5.3% | +5.7% | +3.3% | +4.9% | +15.2% | +31.0% |
| CAHCardinal Health | Healthcare | 1.04% | 1.67 | 2020-11-30 | -0.6% | +5.4% | +4.6% | +14.5% | +5.3% | +21.1% | +67.2% |
| DALDelta Air Lines | Industrials | 0.96% | 1.06 | 2023-07-31 | +1.8% | +0.1% | -12.2% | +5.1% | +2.8% | +16.4% | +33.9% |
| PYPLPayPal | Financial Services | 0.88% | 0.95 | 2026-01-30 | -3.0% | +2.7% | -6.7% | +35.4% | +4.6% | -5.0% | -18.8% |
| HUMHumana | Healthcare | 0.86% | 1.20 | 2023-12-29 | -1.2% | +4.2% | +4.3% | +10.4% | +4.8% | +57.9% | +30.6% |
| DVNDevon Energy | Energy | 0.85% | 1.08 | 2024-07-31 | -1.5% | +1.5% | +11.8% | +3.9% | -0.9% | +32.8% | +38.6% |
| EXCExelon | Utilities | 0.84% | 0.72 | 2026-07-31 | -1.1% | +0.3% | -3.4% | -3.4% | +0.8% | +2.9% | +4.4% |
| DHID. R. Horton | Consumer Cyclical | 0.78% | 0.87 | 2024-10-31 | -1.1% | -3.1% | -5.5% | -2.4% | -1.2% | -0.0% | -18.2% |
| AIGAmerican International Group | Financial Services | 0.76% | 1.32 | 2025-08-29 | -0.9% | -0.9% | -3.3% | +2.4% | -0.2% | -9.8% | -4.5% |
| ADMArcher Daniels Midland | Consumer Defensive | 0.74% | 1.39 | 2019-12-31 | +0.3% | +3.8% | +11.2% | +4.8% | +4.1% | +50.2% | +40.6% |
| SYYSysco | Consumer Defensive | 0.73% | 0.75 | 2026-03-31 | -1.3% | -2.3% | -5.0% | +2.6% | -1.3% | +11.0% | -0.2% |
| PRUPrudential Financial | Financial Services | 0.72% | 2.05 | 2024-02-29 | -1.0% | +1.9% | +1.8% | +17.4% | +3.8% | +12.3% | +18.1% |
| HIGHartford (The) | Financial Services | 0.72% | 1.21 | 2025-06-30 | -1.2% | +0.3% | -3.0% | +7.5% | +1.2% | +1.8% | +4.6% |
| MTBM&T Bank | Financial Services | 0.69% | 0.93 | 2022-12-30 | -0.1% | +1.7% | -3.6% | +7.8% | +3.2% | +21.5% | +21.9% |
| KRKroger | Consumer Defensive | 0.66% | 0.91 | 2023-06-30 | +0.1% | +1.5% | +4.0% | -8.5% | +1.8% | -4.6% | -11.7% |
| UALUnited Airlines Holdings | Industrials | 0.66% | 1.65 | 2023-02-28 | +2.5% | +0.7% | -14.0% | +8.4% | +3.1% | -0.4% | +5.0% |
| EQTEQT Corporation | Energy | 0.64% | 0.87 | 2026-04-30 | -0.8% | +1.1% | +6.7% | +5.2% | +1.8% | +3.8% | +7.7% |
| ACGLArch Capital Group | Financial Services | 0.63% | 1.40 | 2024-02-29 | -1.7% | -0.8% | -0.4% | +7.4% | +0.0% | +2.3% | +6.4% |
| CCLCarnival | Consumer Cyclical | 0.61% | 0.89 | 2026-07-31 | +0.1% | -5.1% | -18.9% | -9.0% | -1.6% | -21.8% | -24.8% |
| HBANHuntington Bancshares | Financial Services | 0.61% | 1.20 | 2022-03-31 | -0.2% | +0.7% | -3.0% | +2.0% | +2.1% | +0.1% | -1.2% |
| CNCCentene Corporation | Healthcare | 0.60% | 0.82 | 2020-05-29 | -1.4% | +3.5% | +1.9% | +2.6% | +4.2% | +62.9% | +134.0% |
| CTSHCognizant | Technology | 0.57% | 0.69 | 2026-02-27 | -3.6% | -2.7% | +8.7% | +21.0% | -3.5% | -23.6% | -10.8% |
| CFGCitizens Financial Group | Financial Services | 0.55% | 1.03 | 2019-12-31 | -0.1% | +1.5% | -2.6% | +9.7% | +2.8% | +23.7% | +38.8% |
| PCGPG&E Corporation | Utilities | 0.55% | 1.86 | 2025-01-31 | +2.4% | -13.9% | -18.1% | -14.2% | +7.8% | -10.5% | -5.1% |
| FISVFiserv, Inc. | Technology | 0.53% | 1.59 | 2025-10-31 | +0.5% | -0.3% | +1.1% | -0.5% | -0.6% | -21.1% | -61.1% |
| VICIVici Properties | Real Estate | 0.52% | 1.28 | 2025-05-30 | -0.9% | -1.7% | -4.9% | -9.0% | -0.9% | -6.6% | -19.2% |
| DGDollar General | Consumer Defensive | 0.52% | 0.90 | 2026-03-31 | +1.5% | +8.4% | +5.2% | +21.8% | +5.1% | +1.8% | +25.3% |
| HPQHP Inc. | Technology | 0.52% | 2.35 | 2019-12-31 | +2.2% | +7.0% | +8.6% | +32.2% | +8.7% | +50.7% | +18.6% |
| CINFCincinnati Financial | Financial Services | 0.49% | 1.27 | 2025-07-31 | -2.1% | -0.5% | -3.3% | +3.4% | +0.7% | +6.0% | +12.4% |
| SYFSynchrony Financial | Financial Services | 0.48% | 1.44 | 2021-07-30 | +0.1% | +2.4% | +1.7% | +15.4% | +3.7% | -3.0% | +5.7% |
| RFRegions Financial Corporation | Financial Services | 0.48% | 0.97 | 2019-12-31 | -0.1% | +1.3% | -2.2% | +7.5% | +2.8% | +15.6% | +15.7% |
| SWSmurfit WestRock | Consumer Cyclical | 0.46% | 0.76 | 2025-09-30 | +1.3% | -5.1% | -4.2% | +18.7% | -2.3% | +22.1% | +3.5% |
| PHMPulteGroup | Consumer Cyclical | 0.45% | 0.80 | 2020-10-30 | +0.1% | -3.2% | -6.4% | +5.2% | -1.5% | +6.6% | -8.8% |
| PFGPrincipal Financial Group | Financial Services | 0.45% | 0.58 | 2026-08-31 NEW | -1.5% | +5.5% | +3.7% | +7.6% | +6.7% | +35.5% | +48.5% |
| TROWT. Rowe Price | Financial Services | 0.45% | 0.63 | 2026-07-31 | -1.0% | -1.3% | -3.7% | +4.4% | -1.4% | +10.1% | +3.6% |
| EXEExpand Energy | Energy | 0.44% | 1.55 | 2026-02-27 | -1.1% | -0.2% | +6.1% | +11.2% | -0.2% | -9.7% | +3.6% |
| KEYKeyCorp | Financial Services | 0.43% | 1.18 | 2025-11-28 | +0.3% | +2.2% | -1.5% | +1.8% | +3.6% | +10.6% | +20.3% |
| BGBunge Global | Consumer Defensive | 0.43% | 1.75 | 2023-03-31 | -1.2% | +2.8% | +10.2% | -6.8% | +2.1% | +35.7% | +50.1% |
| SMCISupermicro | Technology | 0.42% | 1.85 | 2026-06-30 | +4.5% | +6.8% | +27.2% | +35.3% | +6.2% | +35.3% | -2.7% |
| LLoews Corporation | Financial Services | 0.42% | 1.41 | 2019-12-31 | -0.7% | -0.4% | -5.3% | +1.2% | +0.9% | +4.0% | +12.3% |
| DOWDow Inc. | Basic Materials | 0.41% | 0.84 | 2026-06-30 | -3.0% | -2.4% | +1.5% | -13.0% | -3.5% | +30.2% | +29.2% |
| AMCRAmcor | Consumer Cyclical | 0.40% | 0.78 | 2026-08-31 NEW | -1.6% | -3.3% | -5.7% | +20.0% | -1.6% | +13.1% | +16.5% |
| EIXEdison International | Utilities | 0.39% | 1.79 | 2025-01-31 | +0.8% | -19.1% | -17.3% | -19.7% | +5.2% | -1.7% | +9.6% |
| FISFidelity National Information Services | Technology | 0.39% | 1.48 | 2026-05-29 | -0.9% | +1.1% | -2.0% | +8.8% | +2.8% | -35.7% | -37.0% |
| LENLennar | Consumer Cyclical | 0.39% | 1.98 | 2019-12-31 | -1.0% | -3.2% | -5.2% | -6.4% | -0.6% | -17.4% | -38.2% |
| LUVSouthwest Airlines | Industrials | 0.36% | 0.78 | 2026-08-31 NEW | +2.3% | +0.4% | -15.4% | -3.4% | +3.3% | -2.9% | +29.6% |
| TSNTyson Foods | Consumer Defensive | 0.35% | 1.95 | 2020-04-30 | -0.7% | -6.3% | -10.6% | -7.5% | -5.9% | -10.0% | -5.2% |
| CHTRCharter Communications | Communication Services | 0.34% | 2.87 | 2025-05-30 | +0.4% | -1.1% | -0.4% | +10.3% | -0.3% | -27.2% | -41.4% |
| LDOSLeidos | Technology | 0.33% | 0.69 | 2026-05-29 | +0.5% | -5.4% | -3.3% | +9.7% | -5.1% | -25.8% | -24.7% |
| BBYBest Buy | Consumer Cyclical | 0.32% | 1.32 | 2020-11-30 | +3.2% | +9.5% | +10.1% | +20.9% | +12.6% | +38.8% | +23.7% |
| APAAPA Corporation | Energy | 0.29% | 0.97 | 2024-01-31 | -3.2% | +0.5% | +13.7% | +13.4% | -0.9% | +79.0% | +88.8% |
| EGEverest Group | Financial Services | 0.28% | 2.11 | 2023-06-30 | -1.4% | +0.9% | +1.6% | +13.9% | +1.7% | +13.6% | +12.4% |
| SWKStanley Black & Decker | Industrials | 0.27% | 0.74 | 2026-07-31 | +0.9% | -0.4% | -6.3% | +25.7% | +1.0% | +33.9% | +34.7% |
| MKCMcCormick & Company | Consumer Defensive | 0.27% | 0.99 | 2026-03-31 | -0.9% | -5.9% | -1.7% | +5.8% | -4.0% | -22.2% | -23.3% |
| TXTTextron | Industrials | 0.26% | 0.96 | 2026-05-29 | -0.4% | -4.8% | -11.6% | -13.4% | -1.8% | -9.2% | -2.7% |
| AIZAssurant | Financial Services | 0.26% | 0.82 | 2023-12-29 | -0.7% | +0.3% | -1.0% | +11.4% | +1.4% | +19.9% | +33.9% |
| GLGlobe Life | Financial Services | 0.25% | 0.67 | 2026-08-31 NEW | -1.3% | +0.9% | -5.2% | +7.4% | +0.9% | +25.4% | +24.2% |
| LULULululemon Athletica | Consumer Cyclical | 0.25% | 1.00 | 2026-05-29 | -17.4% | -16.7% | -21.8% | -15.4% | -16.3% | -51.6% | -51.2% |
| PSKYParamount Skydance Corp | Communication Services | 0.23% | 1.15 | 2025-12-31 | -1.6% | -0.2% | +18.2% | +5.9% | -0.5% | -18.1% | -25.1% |
| HIIHuntington Ingalls Industries | Industrials | 0.22% | 0.76 | 2026-08-31 NEW | -1.7% | -2.8% | -11.5% | -0.7% | -1.8% | -14.9% | +7.7% |
| DVADaVita | Healthcare | 0.21% | 1.23 | 2026-08-31 NEW | +1.3% | +1.8% | +0.1% | -7.3% | +4.5% | +62.0% | +35.7% |
| AESAES Corporation | Utilities | 0.20% | 1.49 | 2024-10-31 | +0.1% | +0.4% | +0.4% | +2.4% | +0.3% | +6.9% | +21.2% |
| MGMMGM Resorts | Consumer Cyclical | 0.20% | 0.63 | 2026-08-31 NEW | +0.2% | -2.5% | -7.3% | -12.1% | -0.3% | +13.0% | +11.3% |
| UHSUniversal Health Services | Healthcare | 0.19% | 2.21 | 2024-10-31 | +0.3% | -1.1% | -2.1% | +17.3% | -0.3% | -21.9% | -8.2% |
| APTVAptiv | Consumer Cyclical | 0.18% | 1.53 | 2026-08-31 NEW | +3.0% | +4.8% | -3.2% | -26.5% | +7.1% | -37.0% | -40.4% |
| MOSMosaic Company (The) | Basic Materials | 0.14% | 1.15 | 2022-05-31 | +1.4% | +9.5% | +12.1% | +30.4% | +7.2% | +9.3% | -18.0% |
| TAPMolson Coors Beverage Company | Consumer Defensive | 0.14% | 0.57 | 2026-06-30 | -0.2% | -2.3% | -5.5% | +0.2% | +1.9% | -10.3% | -14.4% |
| NCLHNorwegian Cruise Line Holdings | Consumer Cyclical | 0.14% | 1.25 | 2026-07-31 | -0.1% | -6.5% | -19.1% | -13.1% | -3.5% | -30.2% | -39.2% |
| BLDRBuilders FirstSource | Industrials | 0.14% | 0.96 | 2026-02-27 | +2.5% | -2.9% | -11.9% | -11.8% | -0.9% | -36.1% | -54.1% |
Bottom quintile: the lowest-scoring stocks, used as the equal-weighted short leg of the spread.
| LITELumentum Holdings Inc. | Technology | -1.55 | 2026-03-31 | +4.0% | -1.5% | -1.0% | +3.3% | -3.7% | +139.1% | +521.0% |
|---|---|---|---|---|---|---|---|---|---|---|
| MRNAModerna | Healthcare | -1.48 | 2025-12-31 | -2.2% | +5.5% | +146.0% | +216.5% | +3.7% | +393.6% | +499.5% |
| GILDGilead Sciences | Healthcare | -1.21 | 2026-08-31 NEW | -0.1% | +3.6% | +13.4% | +25.1% | +3.2% | +24.5% | +37.4% |
| INTCIntel | Technology | -1.15 | 2026-04-30 | +4.5% | +7.1% | -5.8% | -10.5% | +7.0% | +159.6% | +289.3% |
| CRWDCrowdStrike | Technology | -1.14 | 2024-06-28 | -0.9% | -2.4% | -0.6% | +31.6% | -7.8% | +81.8% | +106.7% |
| DDOGDatadog | Technology | -1.08 | 2025-07-31 | -0.9% | -10.2% | -9.0% | -6.5% | -10.2% | +56.6% | +61.6% |
| PLTRPalantir Technologies | Technology | -1.07 | 2024-09-30 | -4.5% | -6.4% | +1.4% | +33.9% | -6.5% | -1.9% | +11.7% |
| TTWOTake-Two Interactive | Technology | -1.07 | 2023-05-31 | +0.3% | -8.8% | -12.9% | +2.0% | -2.3% | -16.2% | -10.8% |
| IBKRInteractive Brokers Group | Financial Services | -1.05 | 2025-08-29 | -0.4% | -3.3% | +5.5% | +8.5% | -4.7% | +44.5% | +44.7% |
| TSLATesla, Inc. | Consumer Cyclical | -1.02 | 2020-12-31 | -5.9% | +1.5% | +7.8% | -7.2% | -3.8% | -21.3% | +4.6% |
| AXONAxon Enterprise | Industrials | -1.01 | 2023-05-31 | -4.2% | -14.2% | -9.7% | +15.2% | -9.0% | -9.2% | -29.4% |
| COINCoinbase Global | Financial Services | -1.01 | 2026-07-31 | -4.2% | +3.4% | +20.2% | +19.9% | -1.8% | -18.4% | -39.8% |
| PANWPalo Alto Networks | Technology | -1.01 | 2023-06-30 | +0.4% | -10.3% | -8.4% | +26.6% | -12.8% | +80.9% | +73.3% |
| CIENCiena Corporation | Technology | -0.99 | 2026-02-27 | +1.1% | -15.2% | -22.2% | -26.2% | -16.1% | +37.3% | +174.6% |
| AMDAdvanced Micro Devices | Technology | -0.97 | 2025-06-30 | +4.7% | +2.6% | -1.2% | +5.6% | +1.5% | +123.0% | +195.2% |
| FTNTFortinet | Technology | -0.95 | 2024-08-30 | -0.0% | -5.9% | -2.1% | +12.5% | -8.6% | +96.8% | +104.5% |
| MPWRMonolithic Power Systems | Technology | -0.95 | 2026-01-30 | +0.8% | -2.6% | -12.7% | -16.8% | -3.5% | +35.5% | +45.3% |
| CRLCharles River Laboratories | Healthcare | -0.94 | 2026-05-29 | -1.7% | -1.0% | +7.8% | +54.9% | +0.1% | +44.6% | +77.8% |
| LRCXLam Research | Technology | -0.94 | 2025-09-30 | +5.1% | +1.9% | -1.2% | -4.3% | +2.0% | +80.1% | +208.1% |
| STXSeagate Technology | Technology | -0.94 | 2026-01-30 | +6.3% | +2.4% | +4.5% | +4.2% | +2.5% | +209.1% | +365.4% |
| AVGOBroadcom | Technology | -0.92 | 2023-05-31 | +0.2% | -2.9% | -16.3% | -3.7% | -3.4% | +3.8% | +17.8% |
| NOWServiceNow | Technology | -0.92 | 2019-12-31 | -3.0% | -2.4% | +13.1% | +33.2% | -4.5% | -7.8% | -21.4% |
| ANETArista Networks | Technology | -0.91 | 2021-10-29 | +1.2% | -0.8% | +2.7% | +27.7% | -1.0% | +47.9% | +37.3% |
| CDNSCadence Design Systems | Technology | -0.91 | 2020-03-31 | -4.0% | -14.0% | -13.7% | -24.0% | -13.6% | -6.4% | -16.2% |
| KLACKLA Corporation | Technology | -0.91 | 2023-10-31 | +7.3% | +5.7% | -6.2% | -13.0% | +5.8% | +53.3% | +113.7% |
| DASHDoorDash | Communication Services | -0.89 | 2025-03-31 | -4.6% | -10.6% | -2.1% | +40.2% | -8.6% | -6.5% | -14.9% |
| MRVLMarvell Technology, Inc. | Technology | -0.89 | 2026-06-30 | +7.0% | +3.2% | +2.2% | -11.5% | +5.6% | +163.4% | +249.5% |
| VRTVertiv Holdings Co | Industrials | -0.88 | 2026-03-31 | +4.3% | +9.1% | +3.0% | -0.1% | +8.4% | +73.2% | +123.4% |
| ARESAres Management Corporation | Financial Services | -0.87 | 2026-08-31 NEW | -1.0% | -1.7% | +2.4% | +10.3% | -2.1% | -11.2% | -19.3% |
| BXBlackstone Inc. | Financial Services | -0.86 | 2023-09-29 | -1.1% | -4.4% | -0.7% | +16.1% | -5.0% | -8.9% | -16.6% |
| HWMHowmet Aerospace | Industrials | -0.86 | 2024-07-31 | -0.5% | -2.1% | -8.0% | +4.0% | +5.9% | +26.7% | +44.7% |
| TERTeradyne | Technology | -0.86 | 2025-08-29 | +5.5% | +0.6% | -5.8% | +2.8% | +2.1% | +84.7% | +199.9% |
| TPLTexas Pacific Land Corporation | Energy | -0.86 | 2024-11-29 | -1.1% | -0.4% | +6.6% | -3.2% | -3.0% | +26.7% | +17.5% |
| MRKMerck & Co. | Healthcare | -0.85 | 2026-08-31 NEW | -1.3% | +1.3% | +16.9% | +27.2% | +1.8% | +44.9% | +84.9% |
| APDAir Products | Basic Materials | -0.83 | 2026-07-31 | -1.0% | -2.2% | -0.7% | +9.6% | -2.6% | +24.4% | +6.7% |
| GLWCorning Inc. | Technology | -0.83 | 2025-06-30 | +5.7% | +3.8% | -6.7% | -8.1% | +3.7% | +77.1% | +123.2% |
| LLYLilly (Eli) | Healthcare | -0.83 | 2021-05-28 | -1.0% | -2.2% | -3.0% | +1.2% | -0.7% | +7.4% | +55.5% |
| IDXXIdexx Laboratories | Healthcare | -0.82 | 2019-12-31 | +1.1% | -3.5% | -8.7% | -3.9% | -3.8% | -20.9% | -16.4% |
| AAPLApple Inc. | Technology | -0.81 | 2021-11-30 | -2.5% | +0.1% | +2.2% | +9.8% | +1.0% | +18.0% | +33.9% |
| ABBVAbbVie | Healthcare | -0.80 | 2023-02-28 | -1.5% | +0.3% | +4.2% | +14.8% | -0.0% | +14.8% | +24.1% |
| EQIXEquinix | Real Estate | -0.80 | 2019-12-31 | -0.5% | -0.8% | -0.2% | +0.2% | -1.0% | +37.3% | +37.8% |
| HOODRobinhood Markets, Inc. | Financial Services | -0.80 | 2025-09-30 | -2.1% | +17.1% | +30.9% | +41.4% | +16.5% | +8.0% | +18.7% |
| MAMastercard | Financial Services | -0.79 | 2019-12-31 | -1.1% | -2.7% | +2.9% | +18.6% | -1.7% | +2.0% | -2.1% |
| MCHPMicrochip Technology | Technology | -0.79 | 2025-02-28 | +1.5% | +1.7% | -11.9% | -15.1% | +1.0% | +18.4% | +18.1% |
| KEYSKeysight Technologies | Technology | -0.78 | 2025-08-29 | +1.4% | +2.3% | -4.0% | +1.0% | +1.4% | +61.0% | +96.0% |
| MSIMotorola Solutions | Technology | -0.78 | 2023-02-28 | -0.9% | -3.7% | +0.1% | +14.0% | -3.5% | +22.8% | -1.1% |
| TXNTexas Instruments | Technology | -0.78 | 2024-04-30 | +1.8% | -0.1% | -9.7% | -7.9% | -0.9% | +51.5% | +41.6% |
| AMATApplied Materials | Technology | -0.77 | 2025-10-31 | +4.3% | -1.5% | -15.6% | -8.4% | -0.8% | +77.6% | +189.0% |
| CTASCintas | Industrials | -0.77 | 2021-10-29 | -0.3% | -1.8% | -1.0% | +11.4% | -0.7% | +7.4% | -2.1% |
| GEGE Aerospace | Industrials | -0.77 | 2025-01-31 | +1.1% | -1.6% | -8.9% | +5.9% | +0.4% | +9.7% | +20.0% |
| VVisa Inc. | Financial Services | -0.77 | 2019-12-31 | -1.0% | -1.7% | +3.7% | +16.4% | -1.1% | +7.6% | +7.7% |
| ABNBAirbnb | Consumer Cyclical | -0.76 | 2025-12-31 | -1.8% | -4.0% | +2.2% | +40.9% | -0.7% | +34.1% | +45.1% |
| ELEstée Lauder Companies (The) | Consumer Defensive | -0.76 | 2025-01-31 | +3.0% | +0.8% | +18.0% | +22.0% | +1.5% | +0.2% | +20.4% |
| FASTFastenal | Industrials | -0.76 | 2023-02-28 | +0.8% | -0.4% | -4.3% | +8.3% | +0.6% | +25.6% | +0.8% |
| MCOMoody's Corporation | Financial Services | -0.76 | 2019-12-31 | -2.1% | -4.2% | +3.5% | +9.7% | -2.2% | -2.7% | -0.4% |
| IRMIron Mountain | Real Estate | -0.75 | 2022-03-31 | +1.6% | -0.5% | -3.5% | -4.6% | +1.3% | +43.0% | +32.7% |
| MNSTMonster Beverage | Consumer Defensive | -0.75 | 2025-02-28 | -0.6% | -6.5% | -3.0% | -3.9% | -4.6% | +14.3% | +38.1% |
| CVNACarvana Co. | Consumer Cyclical | -0.74 | 2025-12-31 | +1.6% | +0.7% | +5.3% | +10.9% | +1.5% | -11.6% | +0.8% |
| LYVLive Nation Entertainment | Communication Services | -0.74 | 2026-07-31 | -2.2% | -4.5% | -4.0% | +3.6% | -3.5% | +21.8% | +6.5% |
| WBDWarner Bros. Discovery | Communication Services | -0.74 | 2026-08-31 NEW | -0.4% | -1.8% | +5.5% | +7.7% | -1.0% | -2.0% | +140.0% |
| MTDMettler Toledo | Healthcare | -0.73 | 2026-07-31 | -0.8% | -3.8% | -5.9% | +18.7% | -4.3% | -3.5% | +4.5% |
| APHAmphenol | Technology | -0.72 | 2025-03-31 | +0.9% | +5.0% | -2.1% | +11.1% | +4.4% | +22.9% | +47.9% |
| ISRGIntuitive Surgical | Healthcare | -0.72 | 2019-12-31 | -0.9% | -1.6% | -3.2% | -11.0% | -2.7% | -35.2% | -19.3% |
| ROKRockwell Automation | Industrials | -0.72 | 2025-05-30 | +1.3% | +0.7% | -1.3% | -1.1% | +2.2% | +12.6% | +28.6% |
| TECHBio-Techne | Healthcare | -0.72 | 2025-06-30 | -0.0% | +0.1% | +0.3% | +38.1% | +0.2% | +23.7% | +37.6% |
| ADSKAutodesk | Technology | -0.71 | 2019-12-31 | -8.3% | -16.4% | -12.5% | -1.5% | -15.7% | -26.4% | -31.9% |
| DXCMDexcom | Healthcare | -0.71 | 2026-07-31 | -2.0% | -3.2% | +3.7% | +17.6% | -3.5% | +32.4% | +8.8% |
| FIXComfort Systems USA, Inc. | Industrials | -0.71 | 2025-12-31 | +1.9% | +6.0% | -4.9% | -6.3% | +4.2% | +72.8% | +122.9% |
| VEEVVeeva Systems Inc. | Healthcare | -0.71 | 2026-08-31 NEW | -3.3% | -0.6% | +19.4% | +68.0% | -3.7% | +23.2% | +1.9% |
| COHRCoherent, Inc. | Technology | -0.70 | 2026-03-31 | +6.6% | +0.9% | -25.7% | -20.5% | +1.5% | +52.7% | +194.8% |
| WELLWelltower | Real Estate | -0.70 | 2025-02-28 | -2.1% | -0.8% | +0.1% | +12.2% | -0.0% | +28.6% | +42.9% |
| WSTWest Pharmaceutical Services | Healthcare | -0.70 | 2026-04-30 | -0.8% | +0.7% | -4.0% | +2.8% | -0.3% | +23.8% | +37.8% |
| CATCaterpillar Inc. | Industrials | -0.69 | 2026-01-30 | +1.7% | +1.7% | -3.4% | -4.8% | +2.1% | +43.0% | +95.4% |
| NVDANvidia | Technology | -0.69 | 2019-12-31 | +0.8% | +5.9% | +2.9% | +14.9% | +4.3% | +23.7% | +34.4% |
| ODFLOld Dominion | Industrials | -0.69 | 2026-01-30 | +0.1% | -6.3% | -14.0% | -21.1% | -6.9% | +19.0% | +25.7% |
| CLColgate-Palmolive | Consumer Defensive | -0.68 | 2026-02-27 | -1.5% | -2.2% | -4.8% | -0.8% | -1.2% | +14.4% | +8.8% |
| PWRQuanta Services | Industrials | -0.68 | 2026-01-30 | +0.7% | +3.6% | -7.1% | -4.1% | +2.9% | +48.0% | +66.2% |
| APPAppLovin Corporation | Technology | -0.67 | 2025-09-30 | +2.2% | +0.9% | -7.6% | -35.0% | +2.7% | -52.4% | -35.9% |
| CMGChipotle Mexican Grill | Consumer Cyclical | -0.67 | 2026-06-30 | -1.7% | -2.9% | +12.7% | +21.4% | -2.9% | -0.2% | -10.8% |
| CSCOCisco | Technology | -0.67 | 2026-04-30 | +0.5% | -0.7% | -10.1% | -7.7% | -1.2% | +43.8% | +63.9% |
| NTAPNetApp | Technology | -0.66 | 2026-07-31 | +0.1% | -0.8% | -2.1% | +15.9% | +0.2% | +75.6% | +58.9% |
| RDDTReddit, Inc. | Communication Services | -0.66 | 2026-08-31 NEW | -1.0% | +0.9% | -4.5% | -10.3% | +4.5% | -32.8% | -33.5% |
| ADIAnalog Devices | Technology | -0.65 | 2025-08-29 | +1.6% | +0.4% | -6.8% | -7.5% | +0.3% | +34.8% | +49.0% |
| ETNEaton Corporation | Industrials | -0.65 | 2026-03-31 | +3.5% | +2.0% | -8.4% | +9.7% | +2.2% | +30.1% | +19.3% |
| EWEdwards Lifesciences | Healthcare | -0.65 | 2026-04-30 | +0.1% | -0.3% | +0.2% | +4.6% | -0.9% | +5.5% | +11.0% |
| HLTHilton Worldwide | Consumer Cyclical | -0.64 | 2026-02-27 | -1.0% | -3.3% | -2.0% | -8.0% | -1.6% | +8.5% | +12.1% |
| AMGNAmgen | Healthcare | -0.63 | 2026-06-30 | -1.6% | +1.1% | +7.0% | +30.2% | +1.7% | +36.3% | +60.4% |
| BABoeing | Industrials | -0.63 | 2022-07-29 | +0.8% | +1.2% | -9.5% | +1.6% | +2.1% | -2.2% | -8.0% |
| TRMBTrimble Inc. | Technology | -0.63 | 2026-08-31 NEW | -1.1% | -2.5% | -0.1% | +17.5% | -0.8% | -24.1% | -25.4% |
| WDAYWorkday, Inc. | Technology | -0.63 | 2026-07-31 | -5.4% | -4.4% | +9.0% | +42.4% | -0.8% | -8.8% | -15.3% |
| ECLEcolab | Basic Materials | -0.62 | 2026-06-30 | +0.1% | -2.6% | -2.1% | +9.0% | -1.4% | +7.0% | +2.7% |
| MMM3M | Industrials | -0.62 | 2026-06-30 | +0.1% | -3.3% | -7.4% | +7.5% | -1.9% | +6.3% | +9.9% |
| PAYXPaychex | Industrials | -0.62 | 2026-08-31 NEW | -2.7% | -4.2% | +1.4% | +21.6% | -4.4% | +12.2% | -7.5% |
| ROLRollins, Inc. | Consumer Cyclical | -0.62 | 2019-12-31 | +0.4% | -1.4% | -4.5% | -24.6% | -0.6% | -39.6% | -36.0% |
| TTTrane Technologies | Industrials | -0.62 | 2026-02-27 | +0.9% | +0.0% | -6.9% | -0.0% | +1.0% | +15.9% | +9.7% |
| TYLTyler Technologies | Technology | -0.62 | 2026-08-31 NEW | -4.0% | -3.7% | +16.5% | +20.2% | -2.2% | -19.8% | -34.3% |
| AMTAmerican Tower | Real Estate | -0.61 | 2026-08-31 NEW | -1.1% | -0.2% | +1.9% | -7.8% | +0.1% | +1.1% | -7.3% |
| MSFTMicrosoft | Technology | -0.61 | 2026-08-31 NEW | -2.0% | -2.7% | +0.1% | +26.0% | -1.5% | +4.0% | -0.8% |
| PHParker Hannifin | Industrials | -0.61 | 2026-06-30 | -0.2% | -3.1% | -10.2% | +10.2% | -1.7% | +10.2% | +28.2% |
| VRTXVertex Pharmaceuticals | Healthcare | -0.61 | 2026-08-31 NEW | -2.1% | +0.8% | +10.1% | +25.3% | +0.3% | +20.5% | +37.6% |
Score is the cross-sectional z-score at rebalance. “Since” marks the start of the stock’s current uninterrupted run in that book. A missing long weight means no usable market cap at rebalance; the name remains in the equal-weighted spread leg. Individual stock returns are descriptive, not portfolio attribution.
How Value is defined
The score averages earnings-to-price, book-to-price, and sales-to-price z-scores. Fundamentals use trailing-twelve-month earnings and revenue; book equity must be positive.
Raw metrics are winsorized at the 2.5th and 97.5th percentiles, then standardized within the point-in-time universe. Stocks are split into five groups at each month-end rebalance.
The long portfolio holds the top quintile, weighted by market capitalization with a 5% name cap at rebalance. The Q5 − Q1 spread uses equal weights on both sides. Holdings drift with prices between rebalances.
First rebalance: 2019-12-31. The 5-day z-score compares the latest relative move with the prior 252 overlapping 5-day moves.
Read the full methodology →Sector exposure
Long portfolio / S&P 500 benchmark
Financial Services43.4% / 12.6%
Healthcare13.0% / 9.2%
Communication Services9.8% / 10.3%
Energy9.2% / 3.4%
Consumer Cyclical6.7% / 9.5%
Industrials5.7% / 7.4%
Consumer Defensive5.2% / 5.0%
Technology2.8% / 37.0%
Utilities2.0% / 2.3%
Basic Materials1.7% / 1.6%
Real Estate0.5% / 1.7%
Monthly portfolio changes
The last 12 rebalances of the long book. Turnover is the share of names newly added.
2026-08-31 10 added · 9 dropped
Added AFL, AMCR, APTV, DVA, GL, HII, LUV, MGM, MPC, PFG
Dropped BEN, DIS, ES, FOXA, NWSA, OMC, PGR, SOLV, STT
2026-07-31 8 added · 8 dropped
Added CCL, CRH, EXC, HON, NCLH, OMC, SWK, TROW
Dropped ACN, AMCR, CF, GIS, HII, MPC, PFG, ZBH
2026-06-30 9 added · 10 dropped
Added ACN, CF, DIS, DOW, FDX, FOXA, HII, SMCI, TAP
Dropped CAG, CPB, DVA, EPAM, FITB, GL, HRL, HSIC, NCLH, SWK
2026-05-29 7 added · 7 dropped
Added FIS, LDOS, LULU, NCLH, OXY, PGR, TXT
Dropped CCL, DIS, FDX, GPN, LUV, SMCI, TROW
2026-04-30 6 added · 6 dropped
Added EPAM, EQT, HCA, LUV, VLO, ZBH
Dropped APTV, CDW, DELL, KDP, TXT, UNH
2026-03-31 8 added · 8 dropped
Added AMCR, APTV, CCL, DG, HRL, KDP, MKC, SYY
Dropped CTRA, EXC, FOXA, HPE, MOH, MTCH, OXY, VLO
2026-02-27 10 added · 10 dropped
Added BLDR, CDW, COF, CTSH, DIS, ES, EXE, FOXA, MTCH, SMCI
Dropped BIIB, DOW, EOG, FANG, IVZ, OMC, SWKS, SYY, XYZ, ZBH
2026-01-30 6 added · 6 dropped
Added BRK-B, HPE, HSIC, PYPL, SWKS, ZBH
Dropped BLDR, CF, COP, HON, LW, PFE
2025-12-31 8 added · 8 dropped
Added BIIB, BLDR, EXC, HON, LW, PFE, PSKY, TROW
Dropped DG, HAL, HPE, HRL, HSIC, LKQ, MHK, NCLH
2025-11-28 8 added · 8 dropped
Added CF, DELL, HAL, KEY, NCLH, SOLV, UNH, XYZ
Dropped AMCR, BIIB, EMN, LUV, OKE, PFE, PSKY, TAP
2025-10-31 7 added · 7 dropped
Added FISV, LUV, NWSA, OKE, SYY, T, TXT
Dropped HAL, KMX, LYB, MGM, SLB, UNH, UPS
2025-09-30 5 added · 5 dropped
Added BEN, COP, CPB, EOG, SW
Dropped APTV, DELL, FOXA, TXT, WBD