Buffett-style Quality
High-return businesses with modest debt and a reasonable earnings multiple.
How stocks are selected
- Universe. S&P 500 point-in-time constituents. A stock can be chosen on a rebalance date only when it was in the index that day. Former members are included when a price history can be matched on the old ticker, a later symbol, a CIK, or the company name. The coverage line states how many former index members are included. Names with fewer than 200 adjusted closes are left out, except a delisted name with at least 40 closes.
- Universe size. 186 of 215 former index members included, 716 stocks with history, from 760 point-in-time S&P 500 names, including 12 later delisted.
- Filters.
- Return on equity at least 15%
- Average return on equity at least 15%
- Operating margin at least 15%
- Debt / equity at or below 0.8
- P/E above 0
- P/E at or below 25
- Ranking. Highest Return on equity. Ties break on ticker
- Holdings. Target 20 stocks. When fewer than 20 names pass the screen, each passing name is weighted 1/20 of the book and the unfilled slots are held in cash. Filters are not relaxed. The rebalance history shows the holdings count. The latest rebalance (2026-04-01) holds 20 of 20.
- Weighting. Equal weight at each rebalance across the target number of slots. Each name that passes is bought in an equal dollar amount of 1/target. Slots the screen does not fill are held in cash. Between rebalance dates, weights drift with price.
- Exclusions. None. Every point-in-time index member with data can qualify.
- Return on equity is net income divided by equity. The average uses up to the three latest filed years.
How rebalancing works
- Frequency. Annual
- Rebalance dates. First trading day of April This backtest rebalanced on 11 dates, from 2016-04-01 to 2026-04-01.
- Buys and sells. On the rebalance date every holding is sold and the new list is bought at the adjusted close, or the latest close within 7 days when that date is not a session. Names that drop off the list are sold. Names that remain are kept and resized. When fewer than 20 names pass the screen, each passing name is weighted 1/20 of the book and the unfilled slots are held in cash. Filters are not relaxed. If no name passes, the whole book is held in cash until the next rebalance. A delisted holding is sold at its last price, or at a total loss when a bankruptcy is indicated. Nothing else is traded between rebalance dates.
- Weights. Equal weight across the target number of slots. Each name that passes is bought in an equal dollar amount of 1/target. Slots the screen does not fill are held in cash. Displayed weights are rounded. After the rebalance, weights drift with price.
- Transaction costs and slippage. No commission and no slippage. Transaction cost is 0 and slippage is 0. The trade price is the adjusted close.
- Dividends. Returns use split- and dividend-adjusted closes (FMP adjClose, otherwise the close). Dividends are included in the price. The book does not receive a separate cash dividend, and withholding tax is not modeled.
- Data lag. A statement can be used on its filing date. If the filing date is missing, or it falls before the period end, the statement can be used 90 days after the period end. Ranking and trading use the adjusted close on the rebalance date, or the latest close within 7 days before it when that date is not a session. Closes after the rebalance date are never used.
Survivorship: 186 of 215 former index members included (87% of names that left the S&P 500 during this window have usable price history). A delisting is sold at the last price, or at a total loss when a bankruptcy is indicated (12 delisted names in the priced universe). Former members without a matched price history are absent from the backtest.
Backtest
- Window
- 2016-04-01 to 2026-10-22
- CAGR
- 11.8%
- Total return
- 224.5%
- Max drawdown
- -32.4%
- Sharpe
- 0.66
- S&P 500 CAGR
- 13.2%
S&P 500 comparison over the same period
2016-04-01 to 2026-10-22. Benchmark SPY.
| Measure | Strategy | S&P 500 |
|---|---|---|
| CAGR | 11.8% | 13.2% |
| Total return | 224.5% | 269.8% |
| Max drawdown | -32.4% | -34.1% |
| Sharpe | 0.66 | 0.79 |
Yearly returns versus the S&P 500
| Year | Strategy | S&P 500 |
|---|---|---|
| 2016 | 9.6% | 8.0% |
| 2017 | 24.9% | 19.4% |
| 2018 | -6.9% | -6.3% |
| 2019 | 25.4% | 28.8% |
| 2020 | 22.1% | 16.2% |
| 2021 | 26.8% | 27.0% |
| 2022 | -20.5% | -19.5% |
| 2023 | 17.8% | 24.3% |
| 2024 | -1.3% | 23.3% |
| 2025 | 25.6% | 16.4% |
| 2026 | 13.0% | 12.2% |
Rebalance history
Holdings count against the target at each rebalance. Strategy and S&P 500 columns are growth of $1.
The 2026-04-01 rebalance holds 20 of 20.
| Date | Holdings | Added | Removed | Strategy | S&P 500 |
|---|---|---|---|---|---|
| 2016-04-01 | 20 of 20 | AAPL, DAL, CPRI, BIIB, ROK, LLTC, DD, TXN, LUV, FFIV, IFF, HON, MDLZ, HRB, TROW, SWKS, XLNX, MRSH, MMC, VAR | — | 1.0 | 1.0 |
| 2017-04-03 | 20 of 20 | BAX, ACN, CTAS, DOC, RAI, BMY, JNJ, WAT, DIS | ROK, LLTC, DD, FFIV, IFF, HON, MDLZ, HRB, XLNX | 1.1519 | 1.1373 |
| 2018-04-02 | 20 of 20 | UNP, AMAT, DRE, FFIV, NSC, PFE, APD, PG, ALK, MU, LRCX, GL, FOX, KSU | BAX, ACN, DAL, CTAS, DOC, AAPL, TXN, MRSH, MMC, RAI, BMY, JNJ, VAR, WAT | 1.3272 | 1.2443 |
| 2019-04-01 | 20 of 20 | TXN, VRTX, AVGO, DOC, FTV, BMY, INTC, REGN, META, AOS, JNJ, EMR | UNP, DRE, LUV, NSC, PFE, APD, PG, ALK, SWKS, GL, FOX, KSU | 1.4037 | 1.3814 |
| 2020-04-01 | 20 of 20 | CDNS, MXIM, ADP, PAYX, CSCO, CTRA, XLNX, ANET, FAST, ZBRA, SWKS | VRTX, AVGO, DOC, FTV, MU, LRCX, BMY, CPRI, REGN, META, DIS | 1.2441 | 1.1896 |
| 2021-04-01 | 18 of 20 | ALGN, EA, BIO, PGR, REGN, VRTX, NVR, APTV, PHM, DGX, ALL, FTV, ASR, SNA | TXN, CDNS, MXIM, ADP, PAYX, AMAT, CTRA, XLNX, ANET, FAST, ZBRA, EMR, JNJ, FFIV, AOS, SWKS | 2.2606 | 1.9361 |
| 2022-04-01 | 20 of 20 | TXN, NUE, AMAT, HOLX, COO, TER, WTW, META, GOOGL, PFE, SWKS, JNJ, DHI, DOV, AOS | ALGN, EA, BIIB, PGR, VRTX, CSCO, INTC, APTV, PHM, ALL, FTV, ASR, SNA | 2.2505 | 2.1889 |
| 2023-04-03 | 20 of 20 | LRCX, BHF, CF, PFG, STLD, MRNA, PSA, COP, CTRA, MRK, EOG, ON, MOS, CSCO | HOLX, REGN, COO, TER, TROW, WTW, META, BIO, DGX, GOOGL, SWKS, JNJ, DOV, AOS | 2.1802 | 1.986 |
| 2024-04-01 | 20 of 20 | ABNB, JNJ, DVN, AOS, PHM, ACGL, ASR, GL, AFL, PXD | LRCX, BHF, AMAT, PFG, MRNA, PSA, PFE, CTRA, MRK, MOS | 2.5168 | 2.5235 |
| 2025-04-01 | 20 of 20 | MPWR, LULU, EW, DOV, QCOM, CMI, AMAT, DECK, META, PAYC, GOOG, GOOGL, ABT, TEL, HUBB | ABNB, JNJ, TXN, DVN, ON, STLD, EOG, ACGL, ASR, COP, GL, NUE, AFL, PXD, DHI | 2.2862 | 2.711 |
| 2026-04-01 | 20 of 20 | ADBE, WSM, PGR, ALL, JNJ, PG, FDS, PYPL, ASR, ACN, ERIE, APA, RMD, BF-B, G | MPWR, EW, DOV, QCOM, CMI, AMAT, PAYC, GOOG, GOOGL, ABT, TEL, PHM, CF, HUBB, CSCO | 2.9361 | 3.1666 |
Current holdings
The 2026-04-01 rebalance holds 20 of 20.
- ADBE 5.0%
- WSM 5.0%
- DECK 5.0%
- PGR 5.0%
- NVR 5.0%
- ALL 5.0%
- JNJ 5.0%
- LULU 5.0%
- PG 5.0%
- AOS 5.0%
- META 5.0%
- FDS 5.0%
- PYPL 5.0%
- ASR 5.0%
- ACN 5.0%
- ERIE 5.0%
- APA 5.0%
- RMD 5.0%
- BF-B 5.0%
- G 5.0%
Past performance is not a forecast and this is not financial advice. Each rebalance uses only fundamentals that were already public (filing date, or period end plus 90 days) and the adjusted close on that date. Holdings are equal-weighted, with no transaction costs.