Quality Value
25 stocks · quarterly · free
Cheap on earnings and cash flow, among profitable, well-run companies.
Annual return
+8.1%
Max drawdown
−38.7%
YTD
+15.7%
Holdings
25
Live since
Not live yet
Rules
- Idea
- Each quarter it starts from profitable, well-run companies worth at least $2 billion and buys the twenty-five that look cheapest against their earnings and free cash flow, favouring higher gross margins. The quality screen comes first so the cheapest names are not simply the weakest ones.
- 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 $2 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 earnings yield (1 weight); higher free-cash-flow yield (1 weight); higher gross margin (1 weight).
- Holdings
- Equal weight the top 25 names.
- Rebalance
- Quarterly; 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.