// STUDY RESULT · 1998-01 TO 2026-09

Inspired by Dreman: Contrarian Low-P/E

TRADE-OFF

Buy companies that the market values at depressed multiples, especially low P/E, while avoiding a fashionable consensus-growth approach. The approach is explicitly contrarian and emphasizes diversification.

How this run differs from the source: The 30 lowest P/E re-formed monthly, with no size or financial-strength test; Dreman held for years.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	16.4%	9.3%
Sharpe ratio	0.78	0.66
Max drawdown	-61.2%	-50.9%

// GROWTH OF $1, LOG SCALE

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

Out-of-sample (from the split): CAGR 13.2% against 14.0% for the benchmark; Sharpe 0.85 in-sample, 0.66 out-of-sample.

After 25 bps of trading costs: 15.2% a year. EDGE OVER RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	5.1%	20.9%
2000s	21.5%	-0.8%
2010s	13.0%	14.0%
2020s	17.6%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*-0.3%27.2%

199916.1%21.0%

200036.9%-9.1%

200154.1%-11.9%

20025.2%-22.1%

200369.9%28.7%

200440.2%10.9%

200513.2%4.9%

200618.6%15.8%

20071.0%5.5%

2008-41.0%-37.0%

200961.2%26.5%

201042.4%15.1%

2011-15.5%2.1%

201220.2%16.0%

201344.4%32.4%

201414.5%13.7%

2015-3.7%1.4%

201633.4%12.0%

201729.6%21.8%

2018-15.4%-4.4%

201910.7%31.5%

2020-0.6%18.4%

202131.1%28.7%

2022-10.0%-18.1%

202332.1%26.3%

202426.9%25.0%

202530.4%17.9%

2026*4.5%11.8%

Losing years: 1998 (-0.3%), 2008 (-41.0%), 2011 (-15.5%), 2015 (-3.7%), 2018 (-15.4%), 2020 (-0.6%), 2022 (-10.0%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

David N. Dreman, 'Contrarian Investment Strategy' (1979) · 1979

Buy from the low-P/E group of medium and large companies
Require a sound balance sheet (low debt, adequate liquidity)
Diversify across many stocks and industries; sell as the P/E nears the market's

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 2026-11-08 03:06 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