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30,672 combinations, one survivor
We tested every combination of our factors. Companies with clean earnings and rising momentum came out on top, and the result held in the real backtester.
Momentum
Clean Earnings Momentum421%
S&P 500242%
The question.
If you try every combination of the factors we compute and keep only what survives an honest test, what is left?
+421%2019 → 2026, vs +242% for the S&P 500
32.2%a year from 2023, on data it never saw
−32%worst drop, in 2020
30,672combinations tried
How we tested it
1The search5,488 combinations of 1, 2 and 3 factors, then 25,184 variants of universe, size, quality filter, count and rebalancing: 30,672 tries.
2The pickChosen only with 2019–2022 data, deflated for 30,672 tries, taking the centre of a plateau, not the peak.
3The exam2023 to today, unseen, then confirmed in the real backtester with 5 + 5 bp of costs.
4The ruleRank every company above $2B on clean earnings, 12-1 momentum and size; buy the top 30, rebalance quarterly.
What we found.
| 2019 → 2026 | Total | 2019–2022 CAGR | 2023–today CAGR |
|---|---|---|---|
| Clean Earnings Momentum | +421% | 17.9% | 32.2% |
| Momentum Consensus (previous champion) | +152% | 13.4% | 13.2% |
| S&P 500 | +242% | 13.1% | 19.5% |
- Earnings quality plus momentum plus mid size led the plateau, and its neighbours beat the index too.
- It wins on return, not smoothness: from 2023 its Sharpe is 1.12 against 1.26 for the index.