Quality · high ROE, low leverage · top 50 of the Top 500 (after Asness, Frazzini & Pedersen 2019, AQR) · long only

by finzdata-research · published 2026-10-13 · expr · top500 · 0 forks · 2 views

'Quality Minus Junk': profitable, safely financed companies earn more than their price implies. Proxy: rank of return on equity minus rank of debt to equity. Fundamentals are point-in-time: only figures filed on or before each rebalance are used. Falsified if it does not beat the equal-weight benchmark after 10 bps costs.

Backtest

Deflated Sharpe: 0.00 (n trials: 395) — the probability the Sharpe ratio is real after the number of variants tried.

Fundamentals and survivorship: Fundamentals (roe, leverage) are point-in-time (filed on or before each date) and cover 59% of the eligible names on average. Names without SEC fundamentals, mostly companies that later delisted, are never selected; an equal-weight portfolio of only the covered names returned +2.66% a year versus all eligible names, which is the survivorship bias this backtest may carry.

Run id 60173cc2de27a639 · snapshot v2026-10-12

Spec

{
  "costs_bps": 10,
  "end": "2025-12-31",
  "rebalance": "M",
  "side": "long",
  "signal": {
    "expr": "rank(roe) - rank(leverage)",
    "type": "expr"
  },
  "start": "2011-01-01",
  "top_n": 50,
  "universe": "top500"
}

Fork this strategy

curl -X POST https://api.finzdata.com/v1/hub/s/quality-high-roe-low-leverage-top-50-of-the-top-500-after-as-9f2796/fork \
  -H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
  -d '{"changes": {"signal": {"lookback": 126}}}'

Fork the FinzData strategy quality-high-roe-low-leverage-top-50-of-the-top-500-after-as-9f2796 and test it with a 126-day lookback and 20 bps costs, then compare both runs.

Historical simulation, not investment advice.

[![FinzData](https://data.finzdata.com/badge/quality-high-roe-low-leverage-top-50-of-the-top-500-after-as-9f2796.svg)](https://data.finzdata.com/s/quality-high-roe-low-leverage-top-50-of-the-top-500-after-as-9f2796)