For information and research only. Not investment advice.
Composite
Quant Equity Composite
classic multi-factor quant strategy
Performance
Assuming an initial $100,000 · Benchmark: S&P 500
Hypothetical
YTD1Y5Y8YAll
CompoundFixed
Gains are reinvested — principal and returns grow together.
Backtest through 2026-08-14
Strategy backtestBenchmark · S&P 500
Strategy backtest — the rule-based portfolio, rebalanced on schedule with costs included.
Benchmark — S&P 500 (SPY) total return over the same window — what doing nothing but holding the market would earn.
Hypothetical backtest — not a real trading record. Simulated on public data from 2012-02: each position is bought only after the filing became public (using no information unavailable at the time), with trading costs deducted, on a total-return basis. Past performance does not predict future results.
All metrics below are computed on the strategy-backtest curve.
Return?
18.5%
Compound annual return over the sample.
Risk?
16.7%
How much returns swing (annualized stdev); lower is steadier.
Return vs risk?
1.10
Return ÷ volatility; higher is better.
Beat SPX?
+3.5%
Annualized gain over the S&P.
Excess?
+4.2%
The strategy's own annual excess, apart from the market.
Significance?
t=2.40 · strong
t-value: how solid the excess is — higher is more reliable.
Max DD?
−33.4%
Largest peak-to-trough fall.
Leverage?
0.92×
How many times it rises and falls together with the market.
Longest recovery?
25 mo
Longest wait from a peak back to a new high.
About
classic multi-factor quant strategy
How much a company earns on its owners' money is the hardest thing for market sentiment to disguise. This list starts there, holding the companies that earn the most on that capital. Profitability alone leaves two gaps, though: the best companies are often already expensive, and some still look fine on paper while their shares have quietly turned down. So before the selection is made, the most expensive names and the weakest recent performers are set aside, and the list is drawn from what remains.
Holdings & changes
Holdings breakdown is Member content
Risk
This strategy mechanically reproduces public research / published methods; the backtest includes trading costs but not taxes or market impact. A rule that worked historically may not work in the future.
Past / backtested performance does not predict the future. Masterfolio is an information service / publisher, not an investment adviser.