Period 1 Review: Quality Growth Leads a Field That Struggled to Match the Market

The first snapshot of this journal covers March 10 to April 22, 2026 — 43 calendar days. The S&P 500 gained 5.26% over that window and the NASDAQ gained a remarkable 8.64%.

Across 7 fully-tracked systematic screens (two others, Motley Fool and Graham Net-Net, carry partial data and are excluded from portfolio calculations), the market proved difficult to beat in a rising environment. Only two strategies outperformed the S&P 500, and just one — Quality Growth — was strong enough to clear the NASDAQ's +8.64% as well. Two strategies closed the period with an outright loss.

The Portfolio Methodology

Before reading the numbers, it is important to understand what they represent. Each strategy is modelled as a $10,000 equal-weight portfolio. At every snapshot, the portfolio rebalances: stocks that dropped off the screen are sold at the last price recorded in the screen data, net of a small 0.10% sell fee (a −0.10% return assumption for the exit leg), and new entrants are added at their snapshot price. Retained stocks carry their actual price change between snapshots.

This is a conservative model. In reality you would try to capture the exit price on the day a stock leaves the screen, which could be better or worse than the small transaction cost assumed here. The fee assumption slightly understates performance for every screen regardless of what the dropped stock does next, so it is a consistent, comparable drag rather than a strategy-specific bias.

A strategy isn't a stock pick — it's a repeatable filter. The edge lives in the process, not in any single name.

Portfolio Returns

The table below shows cumulative return through the end of Period 2 (April 27), but given that Period 2 spans only 5 trading days, the performance is almost entirely driven by what happened here in Period 1.

Quality Growth and the Lunch screen were the only two strategies to clear the S&P 500's +5.26% bar this period, and Quality Growth was the only one strong enough to clear the NASDAQ's +8.64% too. One holding, PIPR, executed a stock split during the window; on a split-adjusted basis it still returned +26.8%, among the strongest single contributors to the screen. The remaining five screens either lagged the index or lost money outright.

Magic Formula was the worst absolute performer, closing the period down 1.92%, and also the worst relative performer, trailing the S&P 500 by 7.18 percentage points. Combined with a retention rate of just 33.3% — the screen turned over four of its six holdings — it raises questions about whether it is genuinely identifying durable value or chasing cheap multiples in deteriorating businesses. Piotroski F-Score was not far behind at −1.36%, despite (or because of) an even lower 25% retention rate.

Retention: How Stable Were the Screens?

Retention rate tells you how much of the portfolio survives unchanged from one snapshot to the next. High retention means the strategy is selecting genuinely durable businesses. Low retention means the screen is sensitive to short-term fluctuations in the underlying metrics — or that the market has rotated hard enough to flush the screen entirely.

This period, stability and performance moved together. Quality Growth (S9) held its entire starting portfolio — 100% retention across eight names — and still finished as the top performer at +11.27%, the only screen to clear both the S&P 500 and the NASDAQ. Zero turnover clearly did not cap its upside.

Burry Value Screen (93.9% retention) and Lunch (85.7% retention) were nearly as stable, and both posted gains — Lunch's +6.23% was strong enough to beat the S&P 500 outright, while Burry Value's +3.63% fell just short. CANSLIM Rocket sat in the middle at 57.9% retention — nearly half the portfolio turned over — for a modest +3.78% gain that still lagged the index by 1.48 points. Schloss Dividend, at 72.7% retention, was similarly middling at +2.98%.

At the other end, Magic Formula (33.3% retention) and Piotroski F-Score (25% retention) were the only two screens with negative returns — and also the two with the lowest retention. Piotroski replaced three of its four original names with an entirely new set of 15 and still only managed −1.36%; Magic Formula turned over four of six holdings and closed at −1.92%, the worst outright result of the period. High churn in these value-oriented screens did not translate into outperformance this cycle.

What This Period Tells Us

Four observations stand out from Period 1:

1. Quality and stability lined up this cycle. Quality Growth's zero-turnover, fully-retained portfolio produced by far the best return of the seven screens, the only one to beat both benchmarks. That cuts against the usual assumption that low turnover caps upside — this period it didn't.

2. The deep-value, high-churn screens lagged. Magic Formula and Piotroski F-Score were the only two decliners, and both also had by far the lowest retention (33.3% and 25.0%). That combination suggests the pool of stocks passing these value criteria was thin and unstable over the 43-day window.

3. The sample is too small to draw conclusions. Seven strategies over 43 days is not a backtest — it is a single data point. The purpose of this journal is to accumulate enough observations across different market regimes to say something meaningful. Period 1 is chapter one of a longer story.

4. Exited stocks carry a small sell fee, not a clean exit. The model assumes a −0.10% return on the exit leg for every dropped stock, regardless of what that stock does afterward. Stocks that leave a momentum screen often continue declining, while stocks that leave a quality screen often stabilise — the fee is a consistent, comparable cost across strategies, but it is not a perfect substitute for the real-world exit price.