Mega-Cap Factor Digest
A 42-name mega-cap universe — the subset of large U.S. companies this project's free data source actually serves (~10% of the S&P 500). This is not the S&P 500 and not "the market"; it is a mega-cap subset. Snapshot as of 2026-10-09.
Both the in-sample and the out-of-sample windows are shown. The out-of-sample window is the honest test; the in-sample number alone is not the story.
| Window | Top tercile CAGR | Benchmark CAGR | Top max drawdown | Top Sharpe | Verdict |
|---|---|---|---|---|---|
| In-sample | 18.9% | 10.4% | -19.9% | 0.86 | beat benchmark |
| Out-of-sample | 25.4% | 24.1% | -11.2% | 1.42 | beat benchmark |
| Full period | 22.6% | 18.0% | -19.9% | 1.12 | beat benchmark |
Value and quality scores are shown below for completeness but are low-confidence on this universe: it is ~42 mega-caps with no small- or mid-cap cross-section, so sector-relative value and quality comparisons rest on very few peers. Only momentum is backtested here; value and quality are not backtested for lack of historical fundamentals depth. They are labelled, not silently dropped.
Ranked by composite z-score. Every input is visible; no row is a single highlighted pick.
| # | Ticker | Sector | Composite | z Mom | z Val | z Qual | Momentum | ROE (TTM) | |
|---|---|---|---|---|---|---|---|---|---|
| 1 | TGT | Consumer Defensive | 1.10 | 1.52 | 1.57 | 0.22 | 79.3% | 24.6% | |
| 2 | FDX | Industrials | 0.88 | 1.09 | 1.46 | 0.09 | 62.9% | 14.0% | |
| 3 | AMD | Technology | 0.60 | 2.42 | -0.75 | 0.13 | 113.8% | 9.6% | |
| 4 | GM | Consumer Cyclical | 0.52 | 0.86 | 0.94 | -0.25 | 54.0% | 3.1% | |
| 5 | CVX | Energy | 0.46 | 0.59 | 0.76 | 0.02 | 43.8% | 10.8% | |
| 6 | INTC | Technology | 0.43 | 3.00 | -0.44 | -1.26 | 168.0% | -12.9% | |
| 7 | XOM | Energy | 0.43 | 0.73 | 0.40 | 0.16 | 49.1% | 12.6% | |
| 8 | CSCO | Technology | 0.43 | 0.88 | 0.14 | 0.26 | 55.0% | 26.4% | |
| 9 | T | Communication Services | 0.33 | -0.51 | 1.67 | -0.16 | 1.9% | 19.5% | |
| 10 | VZ | Communication Services | 0.29 | 0.21 | 0.69 | -0.04 | 29.2% | 15.6% | |
| 11 | ADBE | Technology | 0.27 | -1.31 | 1.54 | 0.59 | -28.7% | 61.9% | |
| 12 | C | Financial Services | 0.26 | 0.65 | 0.42 | -0.30 | 46.3% | 8.4% | |
| 13 | AAPL | Technology | 0.21 | 0.15 | -0.59 | 1.08 | 27.0% | 119.9% | |
| 14 | JNJ | Healthcare | 0.19 | 0.58 | -0.32 | 0.30 | 43.6% | 24.8% | |
| 15 | HCA | Healthcare | 0.14 | -0.57 | 0.81 | 0.18 | -0.7% | -104.0% | |
| 16 | BAC | Financial Services | 0.14 | 0.18 | 0.28 | -0.05 | 28.2% | 11.2% | |
| 17 | PEP | Consumer Defensive | 0.11 | -0.49 | 0.59 | 0.23 | 2.4% | 49.0% | |
| 18 | WFC | Financial Services | 0.10 | -0.17 | 0.49 | -0.03 | 14.7% | 12.6% | |
| 19 | LMT | Industrials | 0.08 | -0.40 | 0.21 | 0.42 | 5.8% | 71.7% | |
| 20 | AMZN | Consumer Cyclical | 0.03 | -0.25 | 0.37 | -0.04 | 11.8% | 24.5% | |
| 21 | NVDA | Technology | 0.02 | -0.14 | -0.25 | 0.46 | 15.7% | 84.2% | |
| 22 | UNH | Healthcare | 0.02 | -0.37 | 0.29 | 0.13 | 7.1% | 14.3% | |
| 23 | KO | Consumer Defensive | 0.01 | 0.37 | -0.50 | 0.15 | 35.6% | 39.6% | |
| 24 | SBUX | Consumer Cyclical | -0.02 | 0.15 | -0.36 | 0.13 | 27.1% | -25.8% | |
| 25 | PYPL | Financial Services | -0.03 | -1.32 | 0.98 | 0.26 | -29.2% | 24.7% | |
| 26 | MSFT | Technology | -0.05 | -0.70 | 0.35 | 0.21 | -5.4% | 30.2% | |
| 27 | PFE | Healthcare | -0.11 | -0.16 | 0.32 | -0.49 | 15.2% | 5.1% | |
| 28 | JPM | Financial Services | -0.20 | -0.09 | -0.36 | -0.15 | 17.9% | 17.4% | |
| 29 | GE | Industrials | -0.22 | -0.36 | -0.73 | 0.44 | 7.5% | 50.9% | |
| 30 | GS | Financial Services | -0.23 | 0.33 | -0.28 | -0.73 | 33.9% | 17.1% | |
| 31 | DIS | Communication Services | -0.26 | -0.66 | -0.04 | -0.07 | -4.1% | 7.8% | |
| 32 | WMT | Consumer Defensive | -0.28 | -0.46 | -0.65 | 0.28 | 3.6% | 22.5% | |
| 33 | NKE | Consumer Cyclical | -0.36 | -1.74 | 0.50 | 0.17 | -45.3% | 20.3% | |
| 34 | GOOGL | Communication Services | -0.36 | 0.39 | -0.72 | -0.75 | 36.3% | 38.1% | |
| 35 | COST | Consumer Defensive | -0.40 | -0.58 | -1.01 | 0.39 | -0.8% | 25.8% | |
| 36 | ABBV | Healthcare | -0.46 | -0.20 | -1.09 | -0.08 | 13.7% | -106.4% | |
| 37 | V | Financial Services | -0.47 | -0.42 | -1.54 | 0.54 | 5.3% | 64.2% | |
| 38 | TSLA | Consumer Cyclical | -0.48 | -1.00 | -0.62 | 0.17 | -17.1% | 4.4% | |
| 39 | F | Consumer Cyclical | -0.61 | 0.06 | -0.84 | -1.06 | 23.7% | -20.7% | |
| 40 | NFLX | Communication Services | -0.65 | -1.53 | -0.53 | 0.12 | -37.4% | 45.3% | |
| 41 | META | Communication Services | -0.75 | -0.82 | -1.06 | -0.37 | -10.0% | 26.1% | |
| 42 | BA | Industrials | -1.00 | -0.79 | -0.95 | -1.25 | -9.1% | 39.9% |