QUA002Factor HubQuality FactorsLow
ROE Factor
Return on equity — Buffett's favorite gauge of a durable, high-quality business.
Formula
ROE ≈ PB / PE_TTMPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
5.69%
Sharpe ratio
0.38
Max drawdown
-27.12%
Total return
73.86%
Cumulative performance（2016-09 … 2026-08）
2016 -6.8%2017 -12.7%2018 +9.8%2019 +19.6%2020 +18.6%2021 +5.6%2022 +23.6%2023 -2.0%2024 -4.0%2025 -2.8%2026 +14.8%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | CDNS | Cadence | 0.004 |
| 2 | KLAC | KLA | 0.004 |
| 3 | MDB | MongoDB | 0.004 |
| 4 | TXN | Texas Instruments | 0.004 |
| 5 | ON | ON Semiconductor | 0.004 |
| 6 | DAL | Delta Air Lines | 0.004 |
| 7 | MELI | MercadoLibre | 0.004 |
| 8 | HSY | Hershey | 0.004 |
| 9 | INTU | Intuit | 0.004 |
| 10 | ZS | Zscaler | 0.004 |
| 11 | CMG | Chipotle Mexican Grill | 0.004 |
| 12 | LEN | Lennar | 0.004 |
| 13 | QCOM | Qualcomm | 0.004 |
| 14 | NET | Cloudflare | 0.004 |
| 15 | TSN | Tyson Foods | 0.004 |
| 16 | AMAT | Applied Materials | 0.004 |
| 17 | FTNT | Fortinet | 0.004 |
| 18 | CL | Colgate-Palmolive | 0.004 |
| 19 | LRCX | Lam Research | 0.003 |
| 20 | ANET | Arista Networks | 0.003 |
| 21 | GLW | Corning | 0.003 |
| 22 | F | Ford Motor | 0.003 |
| 23 | AZO | AutoZone | 0.003 |
| 24 | PANW | Palo Alto Networks | 0.003 |
| 25 | DDOG | Datadog | 0.003 |
| 26 | SNOW | Snowflake | 0.003 |
| 27 | T | AT&T | 0.003 |
| 28 | CCL | Carnival | 0.003 |
| 29 | YUM | Yum Brands | 0.003 |
| 30 | ROST | Ross Stores | 0.003 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.