Quality & Low-Volatility Factor Screen

A quality plus low-volatility composite across the S&P 500. Quality uses operating margin and net-debt/EBITDA from Margin & Leverage Cycle. Low-vol uses trailing 3-month realized volatility. Tested against subsequent relative price performance. Covers the quality and low-vol factors that Factor Analysis notes are missing from the Ken French series.
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Companies Scored
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S&P 500 companies with both inputs
Median Realized Vol (63d, ann.)
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Trailing 3-month annualized realized volatility
Median Operating Margin
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Latest quarter, from Margin & Leverage Cycle
Q1 vs. Q5 Fwd. 3M Return Spread
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Highest vs. lowest combined-score quintile

Does the top quintile beat the bottom quintile?

Average subsequent 3-month return relative to SPY, by combined score quintile. Q1 is the highest-scoring fifth of the S&P 500 (highest quality, lowest vol), Q5 the lowest.

Average combined score by sector

Which sectors currently screen as highest quality + lowest volatility

Quality vs. low-vol: independent, or correlated?

Each point is one company's quality and low-vol z-scores. If the two measured the same thing, the points would form a tight diagonal.

Does the composite predict subsequent relative price performance?

Each point is one company. X is the combined z-score, Y is the 3-month return relative to SPY.

Highest combined score

Highest quality + lowest volatility, by average z-score
SymbolSectorCombined Z
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Lowest combined score

Lowest quality + highest volatility, by average z-score
SymbolSectorCombined Z
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Full S&P 500

Every S&P 500 company with both a quality input (from Margin & Leverage Cycle) and a realized volatility reading.
Show full list
Symbol Sector Op. Margin▾ Net Debt/EBITDA▾ Realized Vol▾ Quality Z▾ Low-Vol Z▾ Combined▾ Quintile▾
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Methodology

Universe. S&P 500 companies with both a quality input and a realized volatility reading. Companies missing either (recent IPOs, data gaps) are excluded.

Quality. The z-score of operating margin minus the z-score of net-debt/EBITDA, both across the universe. Higher margin is better and higher leverage is worse. A company with a strong margin and low (or negative) leverage scores high, and a thin-margin, heavily indebted one scores low. This is a simple 2-input proxy, not a full quality model like MSCI's or AQR's QMJ, which also weigh earnings stability, payout policy and growth. Inputs are the latest-quarter figures from Margin & Leverage Cycle.

Low volatility. Trailing 63-trading-day (~3 month) realized volatility: the standard deviation of daily log returns, annualized (×√252). It is z-scored across the universe and negated, so a higher score means lower volatility, the same "higher is better" direction as quality. Prices are Yahoo Finance daily adjusted closes for the last ~100 trading days.

Combined score. The simple average of the two z-scores. Companies are ranked into quintiles on it: Q1 is the highest-scoring fifth, Q5 the lowest.

Versus Implied vs. Realized Volatility. That page tracks one market-level series (VIX vs. S&P 500 realized volatility). This page scores about 500 individual stocks at a 63-day lookback.

Tests. Two checks on whether the score predicts performance: average forward 3-month return relative to SPY by quintile, and a Pearson and Spearman regression of the score against the same return. Returns come from Relative Strength Leaders/Laggards. If that hasn't refreshed, everything else still shows and a banner says the two return tests are unavailable.

Callout tables. They list companies where the two z-scores point opposite ways, both beyond ±0.5 standard deviations. They appear only when the data produces such a group.

Names and sectors come from the weekly data behind Sector Beeswarm.

Source: Margin & Leverage Cycle and Relative Strength Leaders/Laggards output, plus Yahoo Finance daily adjusted closes.