Method

From 396 filings to one shortlist

Valtage reads company financial statements, not news or price charts. These are the same rules the published ranking and the backtest use.

396
companies
1Screen
US-listed companies with usable XBRL filings and enough liquidity to trade.
5
pillars each
2Score
Each metric is ranked against the whole field and within its sector, then averaged into a pillar percentile.
392
ranked
3Combine
Pillars are weighted into one composite. Distressed balance sheets are excluded at any score.
25
in the portfolio
4Publish
The top names, no more than 6 per sector, held in equal weight.

The five pillars

share of the composite

Value30%
Price against what the business earns, owns and sells: EBIT/EV, free-cash-flow yield, book-to-price and sales/EV.
Quality30%
How well it turns capital into profit: gross profitability (double weight), return on capital, F-score and margin stability.
Conservatism15%
How carefully it grows and reports: low accruals, slow asset growth and little new share issuance.
Safety10%
How well it can carry its debt: net debt/EBITDA, interest cover, current ratio, debt/equity and price volatility.
Shareholder15%
Cash handed back to owners: shareholder yield, dividends plus net buybacks.

Worked example · the current #1

ADBE's composite, written out:

0.30×69.3Value+0.30×88.9Quality+0.15×91.4Conservatism+0.10×47.3Safety+0.15×97.1Shareholder=80.5

Each pillar score is already a percentile, so a 90 means better than 90% of the field on that pillar. The weights do the rest.

The rules that override the score

Sector cap: No sector may take more than 6 of the 25 places, whatever the scores say.
Distress floor: Interest cover below 1.5 together with net debt above 4× EBITDA is excluded outright, at any composite.
Rebalance: Once a year, on the last trading day of June, with 20bp round-trip costs deducted. Scores refresh monthly. The portfolio changes each June.
Momentum: Falling 12-month momentum is flagged, not excluded: excluding it cost 0.7–2.5 points a year in testing.

What it can't see

The algorithm knows only what the last filing says. Litigation, management changes, a product recall or anything announced since then is invisible to it. Machine-readable filings only exist from the SEC's XBRL mandate onward, which is why the backtest starts in 2010. Treat the ranking as a starting point for your own research, not advice.