undamentalytics Newsletter
Sign in

Ranked lists

Top 100: Highest free cash flow

Backtest from 31 Mar 2010 to 30 Sept 2026 · quarterly · hypothetical

Watch this strategy
Return a year
+14.9%
S&P 500 +14.0%
Last 12 months
+19.9%
S&P 500 +15.7%
Sharpe ratio
0.94
S&P 500 0.86
Biggest drop
−22.1%
S&P 500 −23.9%
$10.0k$20.0k$40.0k$80.0k 201020122014201620182020202220242026 $99.0k$87.2k
StrategyS&P 500 $10,000 in Top 100: Highest free cash flow from 31 Mar 2010 against the S&P 500 (total return) over the same dates, marked quarterly, log scale. Hypothetical: before taxes and trading costs.

About

Holds the top 100 companies on our “highest free cash flow” list, equal weight, rebuilt every quarter from figures in quarters that ended at least 90 days earlier, the same rules as the live list.

The live list →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+14.9%+14.0%
Total return+890%+772%
Last 12 months+19.9%+15.7%
Last 3 months+2.0%—
Last month+2.0%—
This year so far+16.9%—
Volatility a year14.6%15.1%
Sharpe ratio0.940.86
Biggest drop−22.1%−23.9%
Beta to the S&P 5000.911.00
Alpha a year (t-statistic)+1.9% (1.37)—
Share of quarters up83%—

Sharpe ratio uses returns above the 3-month Treasury bill rate. Alpha is the yearly return left after allowing for the strategy's exposure to the S&P 500 (CAPM); a t-statistic below about 2 means it cannot be told apart from luck.

Insights

CompanyWeightHeld sinceReturn since
AAPL1.0%——
NVDA1.0%——
BAC1.0%——
MSFT1.0%——
GOOGL1.0%——
AVGO1.0%——
XOM1.0%——
COF1.0%——
CVX1.0%——
MU1.0%——
UNH1.0%——
JNJ1.0%——
TM1.0%——
VZ1.0%——
TMUS1.0%——
ABBV1.0%——
LLY1.0%——
T1.0%——
MRK1.0%——
PGR1.0%——
MET1.0%——
PG1.0%——
AXP1.0%——
CRM1.0%——
GM1.0%——
HD1.0%——
IBM1.0%——
GILD1.0%——
MPC1.0%——
PM1.0%——
KO1.0%——
WMT1.0%——
GEV1.0%——
MELI1.0%——
ALL1.0%——
HDB1.0%——
BHP1.0%——
CSCO1.0%——
CVS1.0%——
WFC1.0%——
BMY1.0%——
NFLX1.0%——
PFE1.0%——
RTX1.0%——
SCHW1.0%——
CAT1.0%——
QCOM1.0%——
TRV1.0%——
ADBE1.0%——
AMGN1.0%——
COP1.0%——
UBER1.0%——
NEM1.0%——
BKNG1.0%——
DELL1.0%——
PEP1.0%——
VLO1.0%——
SYF1.0%——
MO1.0%——
CNC1.0%——
COST1.0%——
LMT1.0%——
AMD1.0%——
GE1.0%——
DIS1.0%——
AMP1.0%——
APO1.0%——
ABT1.0%——
MCD1.0%——
LOW1.0%——
CI1.0%——
FANG1.0%——
TMO1.0%——
EOG1.0%——
PNC1.0%——
NEE1.0%——
DE1.0%——
PYPL1.0%——
UNP1.0%——
MCK1.0%——
ELV1.0%——
GD1.0%——
PSX1.0%——
ACGL1.0%——
HCA1.0%——
JXN1.0%——
HIG1.0%——
BABA1.0%——
TSLA1.0%——
DAL1.0%——
SPGI1.0%——
BX1.0%——
TJX1.0%——
MDT1.0%——
TXN1.0%——
AMAT1.0%——
URI1.0%——
ADP1.0%——
ANET1.0%——
ICE1.0%——

Equal weight at the latest rebalance, rebuilt every quarter.

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest31 Mar 2010 to 30 Sept 2026+14.9%+14.0%0.940.86−22.1%0.91+1.9% (1.37)
2018 onwards31 Mar 2018 to 30 Sept 2026+14.4%+15.1%0.750.75−22.1%0.86+1.1% (0.44)
Last three years31 Dec 2023 to 30 Sept 2026+20.8%+20.2%1.721.25−0.5%0.57+6.6% (1.56)
DateCompanyAction
30 Sept 2026WFCBought
30 Sept 2026VLOBought
30 Sept 2026URIBought
30 Sept 2026TXNBought
30 Sept 2026TJXBought
30 Sept 2026PSXBought
30 Sept 2026ICEBought
30 Sept 2026GDBought
30 Sept 2026FANGBought
30 Sept 2026EOGBought
30 Sept 2026DALBought
30 Sept 2026BXBought
30 Sept 2026BHPBought
30 Jun 2026TMBought
30 Jun 2026SNEXBought
30 Jun 2026PNCBought
30 Jun 2026HDBBought
30 Jun 2026GEVBought
30 Jun 2026ELVBought
30 Jun 2026DELLBought
30 Jun 2026CNCBought
30 Jun 2026BABABought
30 Jun 2026ANETBought
31 Mar 2026ULBought
31 Mar 2026STTBought

Dated at the rebalance that made the change.

DateCompanyAction
30 Sept 2026ULSold
30 Sept 2026SNEXSold
30 Sept 2026PDDSold
30 Sept 2026NVOSold
30 Sept 2026NTESSold
30 Sept 2026LRCXSold
30 Sept 2026HSBCSold
30 Sept 2026GSKSold
30 Sept 2026CAHSold
30 Sept 2026BUDSold
30 Sept 2026BTISold
30 Sept 2026ASMLSold
30 Sept 2026AMXSold
30 Jun 2026URISold
30 Jun 2026STTSold
30 Jun 2026RYSold
30 Jun 2026NTRSSold
30 Jun 2026MRSHSold
30 Jun 2026LINSold
30 Jun 2026FNFSold
30 Jun 2026BNYSold
30 Jun 2026BMOSold
30 Jun 2026AMZNSold
31 Mar 2026SYKSold
31 Mar 2026SNEXSold

Dated at the rebalance that made the change.

Backtests are hypothetical and use today's listed companies only, which flatters results. Past performance does not predict future returns. This is research, not investment advice. How we backtest