LaunchTower — Factor Model Research Report
Report date: 2026-09-14 · Data as of: 2026-09-11 (last close) · Universe: 81 US large/mid-cap equities
Disclaimer: This is independent research and data, not investment advice, a recommendation, or a promise of performance. Past factor performance does not guarantee future results. All figures are computed from public market data and are reproducible with the methodology below.
1. Methodology (reproducible)
Universe. 81 liquid US large/mid-cap names across tech, semis, financials, healthcare, industrials, consumer, and energy (full list in the dataset).
Data. Daily adjusted close prices, 2 years, from Yahoo Finance (yfinance). Fundamentals (trailing P/E, market cap, return on assets, beta) from the same provider's fundamentals feed.
Factors (computed per name):
| Factor | Definition |
|---|---|
momentum_12_1 |
Price 21 trading days ago ÷ price 252 days ago − 1 (12-month momentum, skipping the most recent month) |
ret_3m |
3-month return |
vol_ann |
Annualized standard deviation of daily returns over the last 63 trading days |
beta |
Provider-reported beta vs. market |
roa |
Return on assets (quality proxy) |
pe |
Trailing P/E (informational) |
log_mcap |
Natural log of market cap (size tilt) |
Composite score. Each factor is cross-sectionally z-scored, then combined:
score = z(momentum_12_1) + z(ret_3m) − z(vol_ann) + z(roa) − 0.5·z(beta) + 0.25·z(log_mcap)
Backtest (equal-weight, top 20 by score, rebalanced monthly, 12 months to 2026-09-11):
- Top-20 portfolio return: +62.7%
- Full-universe equal-weight return over the same window: +28.4%
- Max drawdown (top-20): −3.8%
- Approx. Sharpe (EW, 12m): 4.3
Note: this is an in-sample, monthly-rebalanced, equal-weight construction with no transaction costs or shorting constraints. Treat the numbers as a description of the factor construction, not an expected return.
2. Top 15 by composite score
| # | Ticker | Momentum 12-1 | 3m ret | Ann. vol | ROA | Beta | P/E | Score |
|---|---|---|---|---|---|---|---|---|
| 1 | VLO | +122.2% | +53.3% | 34.9% | 10.6% | 0.57 | 16.3 | 4.60 |
| 2 | NVDA | +27.3% | +6.7% | 40.2% | 53.6% | 2.22 | 27.6 | 4.53 |
| 3 | MU | +531.8% | −2.1% | 94.0% | 34.9% | 2.22 | 22.0 | 4.29 |
| 4 | MPC | +98.2% | +52.2% | 34.3% | 8.7% | 0.53 | 13.7 | 4.09 |
| 5 | MA | −3.1% | +17.2% | 21.7% | 24.1% | 0.74 | 31.3 | 3.40 |
| 6 | AAPL | +33.2% | +12.5% | 31.9% | 27.1% | 1.09 | 38.1 | 3.35 |
| 7 | PSX | +79.8% | +46.5% | 30.7% | 6.0% | 0.70 | 14.8 | 3.24 |
| 8 | V | +7.2% | +16.3% | 20.4% | 19.1% | 0.76 | 31.6 | 3.00 |
| 9 | MRK | +64.5% | +20.0% | 37.1% | 11.9% | 0.23 | 115.1 | 2.40 |
| 10 | NEM | +44.4% | +30.2% | 45.6% | 15.8% | 0.54 | 15.9 | 2.23 |
| 11 | JNJ | +49.4% | +12.0% | 25.5% | 8.6% | 0.24 | 30.8 | 2.15 |
| 12 | LLY | +60.6% | −3.8% | 33.0% | 20.4% | 0.50 | 37.5 | 2.09 |
| 13 | COP | +35.6% | +19.9% | 29.3% | 7.5% | 0.13 | 18.2 | 1.95 |
| 14 | XOM | +44.6% | +14.0% | 25.5% | 17.5% | 0.06 | 21.3 | 1.91 |
| 15 | ABBV | +17.4% | +15.2% | 29.2% | 10.5% | 0.28 | 72.4 | 1.85 |
3. Bottom 10 by composite score
| Ticker | Momentum 12-1 | 3m ret | Ann. vol | ROA | Beta | P/E | Score |
|---|---|---|---|---|---|---|---|
| KLAC | +119.2% | −25.0% | 76.7% | 20.8% | 1.44 | 49.2 | −2.33 |
| BA | +4.7% | −5.0% | 33.2% | −2.0% | 1.21 | 75.7 | −2.35 |
| QCOM | +3.6% | −9.9% | 48.4% | 11.6% | 1.68 | 20.8 | −2.39 |
| ISRG | −12.0% | −10.6% | 47.4% | 10.5% | 1.47 | 42.4 | −2.56 |
| NKE | −43.3% | −19.1% | 31.9% | 7.0% | 1.11 | 17.5 | −2.73 |
| CE | −5.3% | −10.7% | 40.3% | 2.6% | 0.76 | n/a | −2.90 |
| LULU | −27.9% | −18.8% | 52.1% | 14.4% | 0.86 | 8.1 | −2.96 |
| TSLA | −7.8% | −8.4% | 56.2% | 1.9% | 1.85 | 332.2 | −3.91 |
| ORCL | −48.7% | −18.1% | 55.8% | 6.4% | 1.73 | 23.5 | −4.55 |
| FMC | −72.5% | +1.9% | 66.8% | 0.6% | 0.42 | n/a | −4.77 |
4. Read-through
- Energy refiners and majors (VLO, MPC, PSX, COP, XOM) dominate the top of the ranking — strong 12-1 momentum, low beta, and solid ROA.
- Semis are split: NVDA and MU rank high on momentum, but KLAC, QCOM, and INTC land in the bottom half on recent 3-month weakness and elevated volatility.
- Defensive quality (MA, V, JNJ, MRK, LLY) scores well on the low-vol / high-ROA / low-beta leg even with modest momentum.
- Bottom of the table is dominated by names with negative 3-month returns and/or negative ROA (BA, FMC, ORCL, NKE, LULU).
5. Reproducibility
- Prices:
yfinance2y daily adjusted close, 81 tickers. - Fundamentals:
yfinance.info(trailingPE, marketCap, returnOnAssets, beta). - Factor math and scoring: pure pandas/numpy, no proprietary data.
- Full per-name factor table:
factor_scores.csv(81 rows × 9 columns). - Raw prices:
prices_2y.csv(501 trading days × 81 tickers).
LaunchTower — independent market-data research. Not investment advice.
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