// STUDY RESULT · 1993-10 TO 2026-07
Value Factor (HML)
NO EDGEHigh book-to-market stocks earn a premium over low book-to-market stocks not explained by beta.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 8.6% | 8.9% |
| Return per unit of risk (Sharpe) | 0.50 | 0.65 |
| Worst fall (max drawdown) | -74.3% | -52.6% |
// GROWTH OF $1, LOG SCALE
AMBER: THE STRATEGY · GREY: $SPX BUY & HOLD
Tested on years it never saw (from the split): 11.9% a year against 12.4% for the benchmark; Sharpe 0.43 in the training years, 0.60 after.
After 25 bps of trading costs: 7.5% a year. BELOW RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 4.7% | 19.1% |
| 2000s | 6.2% | -2.6% |
| 2010s | 7.0% | 11.6% |
| 2020s | 19.1% | 14.1% |
// 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
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 19:41 ON THE QUANTGPT WAREHOUSE: EVERY DELISTED NAME KEPT, FUNDAMENTALS AS FILED. NOT INVESTMENT ADVICE.