Twenty S&P 500 model portfolios: five factor strategies —multi-factor, momentum, value, quality and growth— in four sizes, each with its full backtest since 1998. It opens on the 20-stock multi-factor portfolio, the one that combines all four factors. The holdings are today's; the track record is measured with a monthly rebalance and without commissions or spread, so trading these lists every day is not the strategy that was tested.
Strategy
Holdings
S&P 500 Quality Index (Top 100) Updated: Oct 23, 2026
Institutional replica of the S&P 500 Quality Index (SPXQUP). Each company's Quality Score combines five measures of financial strength: profitability (ROE, ROA), margins (gross, operating) and inverted leverage. Quality Score = mean(Z_ROE, Z_ROA, Z_GM, Z_OM, −Z_LEV). The Top 100 are bought EQUAL-WEIGHTED (1.00% each), which is exactly the portfolio the walk-forward backtest above this table measures.
How the stocks are picked: model rules
Universe: the ~500 companies of the S&P 500.
ROE (Return on Equity): net income / shareholders' equity. Return delivered to the shareholder. Higher = better.
ROA (Return on Assets): net income / total assets. How efficiently every asset is used. Higher = better.
Gross Margin (GM): gross profit / revenue. Pricing power and competitive advantage. Higher = better.
Operating Margin (OM): operating income / revenue. Operating efficiency after running costs. Higher = better.
Leverage (LEV): total debt / equity, inverted (×−1). Penalizes heavily indebted companies. Less debt = higher quality.
Each metric is normalized to a Z-Score (μ=0, σ=1) and winsorized to [−3, +3]. At least 3 of the 5 metrics must be available.
Weighting: EQUAL-WEIGHT. Each of the 100 positions weighs 1.00% and the weights add up to exactly 100.00%.
Why equal-weight and not market cap: the curve and risk metrics above come from an equal-weight walk-forward backtest, so the weights in this table must be the same or the chart would describe a different portfolio from the one you are being shown.
Selection: Top 100 by Quality Z-Score.
Total Return:
Recent days today's holdings, through the close of Oct 23
Walk-forward backtested rule
1 Day:-0.62%
1 Mo.:3.42%
2 Days:-0.35%
3 Mo.:3.76%
3 Days:-0.30%
6 Mo.:8.75%
4 Days:0.66%
YTD:13.21%
5 Days:0.86%
1 Year:13.70%
Two different things, so they are in two columns. The left one is the portfolio the model picks today, priced over the last few sessions. The right one is the rule run forward through history, rebalancing monthly. Over one to five days a 100-stock portfolio moves mostly on noise; the annualized figures are in the box beside this one.
Risk of this model portfolio (simulated) · full history:
CAGR (Annual):10.97%
Max Drawdown:-50.74%
From 1999-02-02 to 2026-10-21 · 27.72 years
More risk ratios: Sharpe, Sortino, Calmar, volatility…
Sharpe Ratio:0.52, weak
Sortino Ratio:0.74, weak
Calmar Ratio:0.22, weak
Volatility:19.93%
Beta (vs equal-weight, monthly):0.84, good
Alpha (Jensen):2.03%, middling
Treynor Ratio:0.11, middling
Monthly Win Rate:63.36%, middling
How these figures are calculated
Walk-forward with point-in-time data: at each date the ranking uses only prices up to that day and fundamentals already filed with the SEC, the top 100 are bought equally weighted, and the portfolio is rebalanced monthly. 334 rebalances between 1998-12-31 and 2026-10-21. The universe is point-in-time: at each date only companies that were in the S&P 500 that day can be selected.
Limitations you should know about
Total return: dividends are reinvested.
Commissions and bid-ask spread are not included.
The universe is point-in-time: at each date only companies that were in the S&P 500 that day are eligible. Up to 2026-08-21 the history comes from Sharadar, with the prices of those that later left the index (about 0.1% of member-slots are missing); since then, each day's data.
Quarterly (TTM) fundamentals filed with the SEC, used only from the date they were actually published.
Download this curve as CSV — every rebalance, the portfolio and the equal-weight S&P 500, from the same file this page reads.
Ticker
Sector
Last Price
Today live
1 Wk Ret.
1 Mo Ret.
3 Mo Ret.
Z-Score
Algorithm Weight
The 100 stocks S&P 500 Quality Index (Top 100) holds
bought on October 21, 2026 · 2 of 21 sessions · 19 left until the next rebalance
Cumulative total return, dividends reinvested, rebalanced monthly. The band is the distance to the index.
Difference +311.98 pp
-500%0%+500%+1000%+1500%+2000%
Fall from previous peak
-100%-50%0%Feb 99Aug 04Mar 10Sep 15Apr 21Oct 26
From February 2, 1999. Worst fall: -47.24% (peak Oct 9, 2007, 17 months to fall; trough Mar 11, 2009; back to peak Feb 8, 2011, 23 months to recover). At the end of the track record it sits 0.40% below its peak. The bottom of this chart (-47.24%) is shallower than the published max drawdown (-50.74%), which is measured on daily closes: this chart has one point per month, so anything that fell and recovered within the month does not show. It sat below its previous peak 60% of the track record, against 63% for the index measured on the same points. The longest stretch without a new peak lasted 40 months, from Oct 9, 2007 to Feb 8, 2011.
Year by year whole track record, does not follow the selector
-50%0%+50%1999*200320072011201520192023
Beats the index in 16 of 28 years. The best full year was 2009 (+39.24% against +45.91% for the index) and the worst 2008 (-38.56% against -43.61%). Years marked * are partial: the first one starts where the track record starts, and the last one is the year in progress.
All of this is measured on the monthly points of the chart; the Max Drawdown in the risk box uses daily closes and is therefore deeper — sometimes much deeper: a fall that recovers within the month leaves no trace in monthly points. The drawdown panel footer gives both figures.
How these figures are measured, exactly
The fall from peak compares each monthly point with the previous high of the series. Since a deeper low may have happened between two monthly points without showing here, this curve bottoms out higher than the Max Drawdown in the risk box, which is computed on daily closes.
Year by year is measured between December points, because monthly data has no 31st close. That is why the year in progress does not match the YTD figure to the decimal, and why the first and last years carry an asterisk: they are parts of a year, not whole years.
Entries and exits are the difference with the previous rebalance, dated September 22, 2026. They are decided by the published rule; this is not investment advice.
The twenty portfolios, one by one
Next to each one, its annual return and its worst fall, both from the full backtest and exactly as carteras.json publishes them. They do not rank the same way, and the first column should not be read alone: on the long history, the top earner is also the one that falls furthest.
Quality 100-stock S&P 500 portfolio
The Quality 100-stock portfolio splits its money across the 100 S&P 500 companies with the best quality score (profitability, margins and low leverage), in equal parts: each holding weighs 1.00% and it rebalances once a month. With today's holdings, 35 of the 100 are in Technology and the rest are spread across 9 more sectors. In the simulated track record, from December 1998 to October 2026, the rule would have returned 10.97% a year with a maximum drawdown of 50.74%; the equal-weight S&P 500 computed by the engine, this site's benchmark, returned 10.22% a year and fell as far as 60.41% over the same window: 0.75 points a year more, with a drawdown 9.67 points shallower. These are simulated results, before commissions and spreads, and not investment advice.
Twenty portfolios built with the same rules as the ranking - five strategies by four sizes - holdings in the open. Here, the last twelve months; the full track record, risk metrics and methodology for each are on its card, below. Past performance does not guarantee future results.
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