Which stock screens actually work? We audit sixteen fundamental screens on the complete, survivorship-free S 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 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 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.
Fabio Brina (Fri,) studied this question.
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