QUA013Factor HubQuality FactorsMedium
ROIC Factor
Return on invested capital — value is created only while ROIC clears the cost of capital.
Formula
ROIC = NOPAT / 投入资本Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
14.67%
Sharpe ratio
0.82
Max drawdown
-30.34%
Total return
293.02%
Cumulative performance（2016-09 … 2026-08）
2016 -3.8%2017 -14.8%2018 +0.6%2019 +23.5%2020 +55.7%2021 +16.1%2022 +31.4%2023 +4.3%2024 +8.7%2025 +24.2%2026 +15.5%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | DELL | Dell Technologies | 0.533 |
| 2 | ACN | Accenture | 0.503 |
| 3 | AXP | American Express | 0.463 |
| 4 | MDB | MongoDB | 0.462 |
| 5 | STT | State Street | 0.423 |
| 6 | C | Citigroup | 0.411 |
| 7 | ADBE | Adobe | 0.407 |
| 8 | AAPL | Apple | 0.405 |
| 9 | CB | Chubb | 0.404 |
| 10 | FRT | Federal Realty | 0.393 |
| 11 | PRU | Prudential Financial | 0.379 |
| 12 | ENTG | Entegris | 0.372 |
| 13 | SCHW | Charles Schwab | 0.366 |
| 14 | AIG | American Intl Group | 0.363 |
| 15 | AVGO | Broadcom | 0.361 |
| 16 | CRM | Salesforce | 0.361 |
| 17 | PNC | PNC Financial | 0.360 |
| 18 | MRVL | Marvell Technology | 0.354 |
| 19 | ORCL | Oracle | 0.347 |
| 20 | WDAY | Workday | 0.337 |
| 21 | ABBV | AbbVie | 0.337 |
| 22 | SYK | Stryker | 0.336 |
| 23 | ESS | Essex Property Trust | 0.336 |
| 24 | QCOM | Qualcomm | 0.335 |
| 25 | AMD | Advanced Micro Devices | 0.331 |
| 26 | TMUS | T-Mobile US | 0.330 |
| 27 | MET | MetLife | 0.328 |
| 28 | BRK.B | Berkshire Hathaway | 0.326 |
| 29 | MSFT | Microsoft | 0.324 |
| 30 | ALL | Allstate | 0.323 |
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.