// STUDY RESULT · 1998-01 TO 2026-09

Inspired by Carlisle: The Acquirer's Multiple

TRADE-OFF

Carlisle argues cheapness alone (EV / operating earnings) beats the Magic Formula because high returns on capital tend to mean-revert, so the quality rank adds little.

How this run differs from the source: Ranks on net income over market cap, not enterprise value over operating earnings, and keeps financials.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	15.9%	9.3%
Sharpe ratio	0.75	0.66
Max drawdown	-63.3%	-50.9%

// GROWTH OF $1, LOG SCALE

AMBER: THE STRATEGY · GREY: $SPXTR BUY & HOLD

Out-of-sample (from the split): CAGR 12.9% against 14.0% for the benchmark; Sharpe 0.81 in-sample, 0.65 out-of-sample.

After 25 bps of trading costs: 14.6% a year. EDGE OVER RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	5.4%	20.9%
2000s	19.0%	-0.8%
2010s	14.2%	14.0%
2020s	16.8%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*-1.0%27.2%

199920.4%21.0%

200025.2%-9.1%

200142.2%-11.9%

2002-0.6%-22.1%

200367.4%28.7%

200431.0%10.9%

200515.8%4.9%

200626.3%15.8%

20070.8%5.5%

2008-40.6%-37.0%

200959.4%26.5%

201041.2%15.1%

2011-14.3%2.1%

201214.9%16.0%

201359.8%32.4%

201416.9%13.7%

2015-4.7%1.4%

201633.3%12.0%

201737.6%21.8%

2018-17.2%-4.4%

201911.4%31.5%

2020-4.7%18.4%

202137.7%28.7%

2022-10.8%-18.1%

202326.8%26.3%

202431.3%25.0%

202529.2%17.9%

2026*0.6%11.8%

Losing years: 1998 (-1.0%), 2002 (-0.6%), 2008 (-40.6%), 2011 (-14.3%), 2015 (-4.7%), 2018 (-17.2%), 2020 (-4.7%), 2022 (-10.8%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Tobias Carlisle, 'Deep Value' (2014) and 'The Acquirer's Multiple' (2017) · 2014

Acquirer's Multiple = enterprise value / operating earnings (EBIT)
Buy the 30 lowest multiples above a market-cap floor, equal weight
Rebalance annually; expect ugly holdings

RUN IT YOURSELF ▸ IN THE LIBRARY

A real computation on the QuantGPT warehouse, walk-forward. A study across the whole market includes only part of the companies that later delisted from 1998 (survivors only before); a study on your own list of tickers is not affected. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-11-07 08:43 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE ONLY PARTLY IN THIS UNIVERSE (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE. PRIVACY