- Select this day:
-
- Day
- Month
- Year
Dataset packed by a whole day/month/year. Please choose one to download.
Investors have been seeking out high-quality companies for decades. The high-quality companies provide persistent profitability, low leverage and high return. Empirical evidences laud the merits of a Quality investment approach. What is agreed: higher profitability, more stable income and cash flows, and a lack of excessive leverage are the marks of quality companies.
Quality has demonstrated the ability to reward long-term investors. Similarly Quality tends to lag during low-quality rallies - or when the lowest-quality stocks lead the market in a rebound.
The demonstration of quality performance shows the comparison of different quality portfolios. Portfolios were rebalanced monthly using a market-cap weighted method, with 20 bps deducted as costs per transaction.
Annual Return |
Cumulative Return |
Volatility |
Sharpe ratio |
Calmar ratio |
Max Drawdown |
Omega ratio |
Sortino ratio |
Skew |
Kurtosis |
Tail ratio |
Monthly value at risk |
Alpha |
Beta |
SPY |
8.68% |
537.84 |
14.59% |
0.65 |
0.17 |
-52.56% |
1.62 |
0.96 |
-0.59 |
1.34 |
0.98 |
-0.06 |
0.00% |
1.00 |
Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
9.04% | 9.02% | 8.71% | 9.13% | 9.54% | 9.27% | 9.90% | 10.40% | 11.26% | 11.22% |
586.44 | 583.73 | 540.78 | 599.23 | 660.09 | 618.65 | 716.45 | 804.39 | 973.62 | 965.59 |
23.50% | 20.38% | 20.23% | 19.01% | 17.48% | 16.53% | 16.34% | 15.54% | 16.01% | 17.12% |
0.49 | 0.53 | 0.52 | 0.56 | 0.61 | 0.62 | 0.66 | 0.72 | 0.75 | 0.71 |
0.14 | 0.14 | 0.14 | 0.15 | 0.18 | 0.18 | 0.20 | 0.30 | 0.33 | 0.24 |
-66.51% | -64.82% | -64.36% | -59.91% | -52.99% | -51.24% | -49.71% | -34.49% | -34.54% | -46.15% |
1.52 | 1.56 | 1.56 | 1.61 | 1.64 | 1.63 | 1.68 | 1.72 | 1.76 | 1.72 |
0.77 | 0.81 | 0.79 | 0.86 | 0.93 | 0.96 | 1.03 | 1.12 | 1.21 | 1.16 |
0.01 | -0.13 | -0.07 | -0.06 | -0.47 | -0.37 | -0.32 | -0.21 | -0.08 | 0.02 |
5.77 | 4.93 | 6.12 | 5.28 | 4.58 | 3.65 | 3.01 | 2.14 | 1.77 | 1.59 |
1.30 | 1.03 | 0.96 | 1.14 | 1.04 | 1.14 | 1.16 | 1.10 | 1.09 | 1.15 |
-0.10 | -0.09 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.06 | -0.07 | -0.07 |
1.09% | 1.60% | 1.40% | 1.90% | 2.48% | 2.55% | 3.14% | 3.84% | 4.41% | 4.12% |
1.37 | 1.21 | 1.20 | 1.15 | 1.09 | 1.02 | 1.01 | 0.97 | 1.00 | 1.06 |