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 2026-08-10.
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 | 26.3% | 25.7% | -11.3% | 1.43 | beat benchmark |
| Full period | 23.0% | 18.7% | -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 | FDX | Industrials | 0.71 | 0.55 | 1.51 | 0.09 | 77.3% | 14.0% | |
| 2 | AMD | Technology | 0.65 | 2.39 | -0.58 | 0.13 | 223.6% | 9.6% | |
| 3 | TGT | Consumer Defensive | 0.55 | -0.01 | 1.44 | 0.22 | 33.5% | 21.0% | |
| 4 | INTC | Technology | 0.42 | 3.00 | -0.46 | -1.27 | 455.6% | -12.9% | |
| 5 | C | Financial Services | 0.36 | 0.29 | 1.06 | -0.27 | 56.8% | 8.4% | |
| 6 | ADBE | Technology | 0.35 | -0.86 | 1.32 | 0.60 | -33.9% | 62.8% | |
| 7 | CVX | Energy | 0.29 | -0.18 | 1.04 | 0.02 | 20.0% | 10.8% | |
| 8 | T | Communication Services | 0.28 | -0.70 | 1.71 | -0.16 | -21.2% | 19.5% | |
| 9 | UNH | Healthcare | 0.28 | 0.56 | 0.14 | 0.13 | 78.2% | 13.5% | |
| 10 | GM | Consumer Cyclical | 0.27 | 0.18 | 0.90 | -0.25 | 48.4% | 3.1% | |
| 11 | CSCO | Technology | 0.27 | 0.54 | 0.00 | 0.25 | 77.1% | 24.5% | |
| 12 | HCA | Healthcare | 0.26 | -0.31 | 0.88 | 0.22 | 9.6% | -104.0% | |
| 13 | AAPL | Technology | 0.25 | 0.12 | -0.45 | 1.08 | 43.9% | 119.9% | |
| 14 | XOM | Energy | 0.24 | 0.02 | 0.55 | 0.16 | 35.3% | 12.6% | |
| 15 | LMT | Industrials | 0.14 | -0.12 | 0.14 | 0.41 | 24.7% | 71.7% | |
| 16 | PEP | Consumer Defensive | 0.14 | -0.44 | 0.66 | 0.20 | -0.8% | 47.4% | |
| 17 | PYPL | Financial Services | 0.10 | -0.83 | 0.88 | 0.26 | -31.5% | 24.7% | |
| 18 | JNJ | Healthcare | 0.07 | 0.25 | -0.34 | 0.30 | 53.6% | 24.8% | |
| 19 | WFC | Financial Services | 0.06 | -0.23 | 0.44 | -0.04 | 15.6% | 12.6% | |
| 20 | VZ | Communication Services | 0.05 | -0.37 | 0.57 | -0.04 | 4.8% | 15.6% | |
| 21 | AMZN | Consumer Cyclical | 0.04 | -0.30 | 0.48 | -0.04 | 10.0% | 24.5% | |
| 22 | MSFT | Technology | -0.00 | -0.75 | 0.53 | 0.21 | -25.5% | 30.2% | |
| 23 | NVDA | Technology | -0.05 | -0.22 | -0.35 | 0.42 | 16.9% | 81.7% | |
| 24 | BAC | Financial Services | -0.08 | 0.02 | -0.03 | -0.24 | 35.7% | 11.2% | |
| 25 | GE | Industrials | -0.10 | -0.02 | -0.71 | 0.44 | 32.7% | 50.9% | |
| 26 | NKE | Consumer Cyclical | -0.11 | -0.92 | 0.43 | 0.16 | -38.7% | 20.9% | |
| 27 | KO | Consumer Defensive | -0.13 | -0.15 | -0.37 | 0.15 | 21.9% | 39.6% | |
| 28 | SBUX | Consumer Cyclical | -0.13 | -0.18 | -0.35 | 0.15 | 19.6% | -25.8% | |
| 29 | TSLA | Consumer Cyclical | -0.17 | -0.09 | -0.58 | 0.17 | 26.5% | 4.4% | |
| 30 | PFE | Healthcare | -0.18 | -0.37 | 0.33 | -0.50 | 4.9% | 5.1% | |
| 31 | DIS | Communication Services | -0.19 | -0.61 | 0.12 | -0.07 | -14.1% | 7.8% | |
| 32 | GS | Financial Services | -0.19 | 0.20 | -0.31 | -0.46 | 49.6% | 17.1% | |
| 33 | WMT | Consumer Defensive | -0.21 | -0.29 | -0.62 | 0.28 | 11.4% | 24.1% | |
| 34 | JPM | Financial Services | -0.27 | -0.18 | -0.48 | -0.16 | 19.5% | 17.4% | |
| 35 | GOOGL | Communication Services | -0.29 | 0.61 | -0.73 | -0.75 | 82.3% | 38.1% | |
| 36 | ABBV | Healthcare | -0.38 | -0.08 | -1.00 | -0.07 | 27.7% | -106.5% | |
| 37 | COST | Consumer Defensive | -0.41 | -0.50 | -1.11 | 0.40 | -5.9% | 26.4% | |
| 38 | V | Financial Services | -0.46 | -0.36 | -1.56 | 0.54 | 5.9% | 64.2% | |
| 39 | NFLX | Communication Services | -0.52 | -0.91 | -0.78 | 0.12 | -37.8% | 45.3% | |
| 40 | META | Communication Services | -0.62 | -0.58 | -0.90 | -0.37 | -11.9% | 26.1% | |
| 41 | F | Consumer Cyclical | -0.67 | -0.05 | -0.88 | -1.08 | 30.2% | -20.7% | |
| 42 | BA | Industrials | -0.89 | -0.46 | -0.94 | -1.29 | -2.2% | 39.9% |