Methodology

Factor investing is the practice of systematically identifying characteristics of stocks — measurable, fundamental attributes — that have historically been associated with superior long-term returns. The intellectual foundation goes back to Benjamin Graham and David Dodd, who argued in Security Analysis that the price you pay relative to the underlying business value is the primary determinant of investment outcome. Decades of empirical research have since confirmed this intuition and extended it into a broader set of quantifiable factors.

James O'Shaughnessy's What Works on Wall Street remains the most rigorous large-scale study of what factor strategies actually produce over long periods. His analysis of decades of US equity data demonstrated that certain characteristics — high shareholder yield, low price-to-sales, strong earnings quality, and positive momentum — when combined, consistently separated winning portfolios from losing ones. The research is not about prediction; it is about tilting the odds. No factor works every year, but the best-documented factors have worked across markets, across decades, and across economic regimes.

This tool operationalizes that research. Rather than screening for individual stocks, the factor charts show where the entire US equity universe sits on each dimension — giving you a map of the market's current valuation, quality, and yield landscape before you select individual names. Each bar chart divides all stocks into ten equal groups (ranked 1st through 10th). The "Avg" marker shows the simple average across all stocks. The "Market" marker shows the weighted average — pulled toward the largest companies, since they represent more of the total market.

When you filter by sector, industry, or ranking group, a "Selected" marker appears on each chart showing where your chosen group's average sits relative to the full universe. A technology company that looks attractively priced in isolation may still rank in the 7th group on Price/Sales — meaning it is more expensive than 60% of all stocks. Context is everything in factor analysis.

The business ownership perspective — drawn from Williams, Graham, Buffett, and Peris — frames all of this: a stock is not a ticker but a fractional ownership stake in a real business. The best factors are therefore the ones most directly tied to what a business returns to its owners (shareholder yield), how efficiently it deploys capital (return on invested capital), and what you pay for each dollar of that output (valuation multiples). Momentum captures the market's tendency to continue recognizing value already present in the fundamentals.

Start with the factor charts on the Factors page. Each bar represents the distribution of 1,700+ US stocks on that metric, divided into ten equal groups from lowest to highest. Click any group to filter the stock table below to only stocks in that group. Combine multiple factors — for example, the top three groups (8th–10th) of Shareholder Yield together with the bottom three groups (1st–3rd) of Price/Sales — to find stocks that score well on both yield and value simultaneously.

Use the Sector and Industry dropdowns to narrow the universe. When a sector or industry is selected, a "Selected" marker appears on each factor chart showing where that group's average sits on the distribution — making it easy to compare sectors on quality, yield, or valuation at a glance. Download any filtered view as a CSV for further analysis.

Every stock in the universe is ranked on each factor and placed into one of ten equal groups — the 1st group (lowest 10%) through the 10th group (highest 10%). The direction of "better" varies by factor. For valuation measures like Price/Sales, a lower number is better, so the 1st group is the cheapest. For yield and quality measures like Shareholder Yield and Return on Invested Capital, a higher number is better, so the 10th group is the strongest. Each factor chart on the site is labeled with the direction so there is no ambiguity.

The bar chart shows the actual value at each group boundary, so you can read off — for example — that the top 20% of stocks by Shareholder Yield currently yield above 6.2%, while the median stock (in the 5th group) yields around 2.8%. The "Market" marker shows the market-cap-weighted average — pulled toward the largest companies. The "Avg" marker shows the simple average across all stocks equally. For yield factors, the simple average tends to be higher because smaller companies often return more cash proportionally than mega-caps.