// STUDY RESULT · 1998-01 TO 2026-09

Inspired by Fama and French: Value Factor (HML)

DATA VALIDATED

High book-to-market stocks earn a premium over low book-to-market stocks not explained by beta.

How this run differs from the source: Long only, the 30 highest book-to-market names; HML is a long-short factor across the top and bottom 30%.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	16.6%	9.3%
Sharpe ratio	0.75	0.66
Max drawdown	-67.3%	-50.9%

// GROWTH OF $1, LOG SCALE

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

Out-of-sample (from the split): CAGR 17.0% against 14.0% for the benchmark; Sharpe 0.75 in-sample, 0.74 out-of-sample.

After 25 bps of trading costs: 15.4% a year. WITHIN RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	5.5%	20.9%
2000s	17.5%	-0.8%
2010s	12.4%	14.0%
2020s	25.3%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*8.7%27.2%

19994.7%21.0%

200022.9%-9.1%

200155.4%-11.9%

20023.3%-22.1%

200346.3%28.7%

200427.8%10.9%

200512.1%4.9%

200628.6%15.8%

2007-13.2%5.5%

2008-41.8%-37.0%

200985.3%26.5%

201038.7%15.1%

2011-7.8%2.1%

201227.9%16.0%

201344.8%32.4%

2014-0.5%13.7%

2015-9.3%1.4%

201628.6%12.0%

201725.2%21.8%

2018-11.6%-4.4%

201914.1%31.5%

202034.1%18.4%

202127.0%28.7%

2022-0.6%-18.1%

202324.1%26.3%

202422.7%25.0%

202543.4%17.9%

2026*13.5%11.8%

Losing years: 2007 (-13.2%), 2008 (-41.8%), 2011 (-7.8%), 2014 (-0.5%), 2015 (-9.3%), 2018 (-11.6%), 2022 (-0.6%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Fama & French (1992, 1993), JF/JFE · 1992

Book equity (prior fiscal year) / market equity (December)
Each June: 2 size groups (NYSE median) x 3 B/M groups (NYSE 30th/70th pct)
HML = value-weighted high-B/M minus low-B/M, averaged across size; hold 12 months

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 2026-11-06 16:07 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