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Investors have been seeking out high-quality companies for decades. The high-quality companies provide persistent profitability, low leverage and high return. Empirical evidences laud the merits of a Quality investment approach. What is agreed: higher profitability, more stable income and cash flows, and a lack of excessive leverage are the marks of quality companies.
Quality has demonstrated the ability to reward long-term investors. Similarly Quality tends to lag during low-quality rallies - or when the lowest-quality stocks lead the market in a rebound.
The demonstration of quality performance shows the comparison of different quality portfolios. Portfolios were rebalanced monthly using a market-cap weighted method, with 20 bps deducted as costs per transaction.
Annual Return |
Cumulative Return |
Volatility |
Sharpe ratio |
Calmar ratio |
Max Drawdown |
Omega ratio |
Sortino ratio |
Skew |
Kurtosis |
Tail ratio |
Monthly value at risk |
Alpha |
Beta |
SPY |
9.01% |
576.79 |
14.55% |
0.67 |
0.17 |
-52.56% |
1.65 |
1.00 |
-0.60 |
1.40 |
0.98 |
-0.06 |
0.00% |
1.00 |
Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | Q10 |
9.18% | 9.10% | 8.80% | 9.31% | 9.63% | 9.41% | 10.06% | 10.53% | 11.48% | 11.50% |
600.45 | 589.46 | 547.97 | 619.89 | 667.46 | 633.46 | 737.30 | 819.93 | 1011.40 | 1016.50 |
23.54% | 20.41% | 20.27% | 19.03% | 17.51% | 16.55% | 16.35% | 15.56% | 16.01% | 17.12% |
0.49 | 0.53 | 0.52 | 0.56 | 0.62 | 0.63 | 0.67 | 0.72 | 0.76 | 0.72 |
0.14 | 0.14 | 0.14 | 0.16 | 0.18 | 0.18 | 0.20 | 0.31 | 0.33 | 0.25 |
-66.51% | -64.82% | -64.36% | -59.91% | -52.99% | -51.24% | -49.71% | -34.49% | -34.54% | -46.15% |
1.52 | 1.56 | 1.56 | 1.62 | 1.65 | 1.64 | 1.70 | 1.73 | 1.78 | 1.74 |
0.78 | 0.82 | 0.79 | 0.87 | 0.94 | 0.97 | 1.04 | 1.14 | 1.23 | 1.18 |
0.01 | -0.14 | -0.07 | -0.07 | -0.48 | -0.38 | -0.33 | -0.22 | -0.09 | 0.02 |
5.74 | 4.91 | 6.10 | 5.28 | 4.57 | 3.65 | 3.02 | 2.14 | 1.78 | 1.61 |
1.30 | 1.03 | 0.96 | 1.14 | 1.03 | 1.13 | 1.16 | 1.10 | 1.09 | 1.15 |
-0.10 | -0.09 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.06 | -0.07 | -0.07 |
0.90% | 1.39% | 1.20% | 1.81% | 2.31% | 2.44% | 3.07% | 3.74% | 4.39% | 4.16% |
1.38 | 1.22 | 1.20 | 1.15 | 1.09 | 1.02 | 1.02 | 0.97 | 1.00 | 1.06 |