Balanced Multifactor

Idea

Each month it scores profitable, well-run companies worth at least $5 billion on three things at once: price momentum over the past year, how cheap the shares are against earnings, and how calm the share price has been over the past year. It buys the twenty-five with the best combined score.

Universe

Every stock listed in the US at each date, including foreign companies listed here and companies that later delisted or were acquired.

Must pass

Require company market value (all share classes) at least $5 billion. Require net income over the last twelve months above 0. Require gross margin at least 20%. Require return on invested capital at least 8%. Require Piotroski F-score at least 5.

Ranking

Higher return over the past year excluding the latest month (1 weight); higher earnings yield (1 weight); lower share-price volatility over the past year (1 weight).

Holdings

Equal weight the top 25 names.

Rebalance

Monthly; orders fill at the next session's open, with spread and market-impact costs that grow for less liquid names; compare against SPY.

Note

Every figure is as it was known on the decision date; a name missing a figure is left out at that decision.

These identify the exact rules and record shown on this page.

Rules fingerprint

3d41bc5253983a0ce1cf6d5d

Record ID

bt_07d8e69ec3654ee394b6a92937013bd3

Last updated

2026-10-02

Backtest window

2009-06-15 to 2026-09-30