Which Stock Screens Actually Work? A Survivorship-Free Audit of 16 Fundamental Metrics — ROIC, Value, Momentum, and Quality — on the S&P 500 (2010–2024)
Which stock screens actually work? We audit sixteen fundamental screens on the complete, survivorship-free S&P 500 (2010–2024) and find that return on invested capital (ROIC) is the most predictive of them all. ROIC's rank correlation with five-year forward excess returns is +0.11, its top-minus-bottom quintile spread is +3.0 percentage points per year, and its edge holds in both halves of the period (Fama-MacBeth t = +5.9). The textbook sustainable-growth screen — ROIC × reinvestment rate — does not work: it multiplies a positive factor (profitability) by a negative one (reinvestment), and the two cancel; we call this the sustainable-growth paradox. Value was the weakest family of the era: book-to-market was the single worst screen tested (−0.13) — a faithful portrait of the quality-led 2010–2024 regime, not a verdict on value investing. The celebrated academic quality screens fade on large caps: ROE, gross profitability (Novy-Marx), accruals (Sloan), the Piotroski F-score, and asset growth all sit near zero, and ROIC beats ROE — the most popular quality metric — seventeen-to-one on identical firms. After risk adjustment, no screen earns significant alpha: every long-short portfolio's intercept against the Fama-French five factors plus momentum has |t| < 1, so on the large-cap S&P 500 these screens deliver factor tilts, not a free lunch. The audit is built to be trusted. The universe is the complete point-in-time S&P 500 — every constituent-year, including firms later acquired or delisted — with dividend-reinvested total returns, filing-date entry, and CRSP-style delisting handling. We also show why common backtests flatter themselves: roughly 72% of S&P 500 stocks underperformed the cap-weighted index, so a one-sided screen scores ~72% "accuracy" with no skill at all; honest evaluation requires benchmark-invariant statistics (rank correlations, quintile spreads), which we use throughout. The factor directions confirm established results (Novy-Marx 2013; Cooper-Gulen-Schill 2008; Fama-French 2015), and the sustainable-growth finding extends Lockwood & Prombutr (2010); the contribution is the comprehensive, survivorship-free audit of the screens investors actually use — transparent nulls included — with the full dataset and code published so every result can be reproduced, extended to other regimes, or refuted. Companion paper: "The Brina Gap: A Framework for Identifying Growth Mispricing in Equity Markets" (Working Paper v3.0), DOI 10.5281/zenodo.20510518.
Authors
- Fabio Brina
Institutions
- Zyberwear (United States) (US)
Publication Details
- Journal
- Zenodo (CERN European Organization for Nuclear Research)
- Published
- 2026-06-12
- DOI
- https://doi.org/10.5281/zenodo.20650536
- Primary Topic
- Auditing, Earnings Management, Governance
- Type
- article
- Field-Weighted Citation Impact
- 0.00