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Quality-Growth Composite Factor

Quality screens applied to growth names — safety without sacrificing upside.

Formula

QG = Z(ROE) + Z(ROE变化) + Z(营收增速) + Z(毛利率)

Annualized return

9.86%

Sharpe ratio

0.60

Max drawdown

-27.07%

Total return

156.05%

Cumulative performance（2016-09 … 2026-08）

2016 -7.8%2017 -5.1%2018 +1.6%2019 +18.1%2020 +33.3%2021 +17.6%2022 +12.6%2023 -2.3%2024 +6.7%2025 +6.2%2026 +24.9%

#	Ticker	Company	Score
1	DELL	Dell Technologies	14.023
2	FCX	Freeport-McMoRan	8.600
3	MDB	MongoDB	6.874
4	FTNT	Fortinet	4.823
5	DAL	Delta Air Lines	4.375
6	ON	ON Semiconductor	4.203
7	SYK	Stryker	4.183
8	CDNS	Cadence	3.653
9	CMG	Chipotle Mexican Grill	3.625
10	STT	State Street	3.601
11	INTU	Intuit	3.561
12	MELI	MercadoLibre	3.363
13	USB	U.S. Bancorp	3.344
14	TFC	Truist Financial	3.312
15	KLAC	KLA	2.981
16	HSY	Hershey	2.889
17	GS	Goldman Sachs	2.831
18	ALL	Allstate	2.817
19	PNC	PNC Financial	2.807
20	ZS	Zscaler	2.793
21	SNPS	Synopsys	2.696
22	LRCX	Lam Research	2.661
23	CVX	Chevron	2.634
24	TXN	Texas Instruments	2.629
25	AMAT	Applied Materials	2.518
26	TDG	TransDigm	2.463
27	WDAY	Workday	2.438
28	MS	Morgan Stanley	2.272
29	CRM	Salesforce	2.222
30	SOFI	SoFi Technologies	2.187

Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).

Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.