// STUDY RESULT · 1998-01 TO 2026-09

Inspired by Graham: Defensive Investor Screen

DATA VALIDATED

A mechanical quality-value checklist protects the amateur: size, financial strength, earnings stability, dividends, and a sane price.

How this run differs from the source: Applies 2 of Graham's 7 tests (the P/E and P/B caps); size, balance sheet, earnings and dividend record are not tested.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	16.7%	9.3%
Sharpe ratio	0.78	0.66
Max drawdown	-63.2%	-50.9%

// GROWTH OF $1, LOG SCALE

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

Out-of-sample (from the split): CAGR 14.6% against 14.0% for the benchmark; Sharpe 0.83 in-sample, 0.71 out-of-sample.

After 25 bps of trading costs: 15.3% a year. WITHIN RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	2.7%	20.9%
2000s	22.3%	-0.8%
2010s	12.5%	14.0%
2020s	19.4%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*6.6%27.2%

19993.9%21.0%

200038.6%-9.1%

200162.7%-11.9%

20021.7%-22.1%

200383.7%28.7%

200440.3%10.9%

200511.2%4.9%

200618.6%15.8%

2007-0.8%5.5%

2008-42.5%-37.0%

200965.8%26.5%

201033.1%15.1%

2011-13.3%2.1%

201220.1%16.0%

201343.4%32.4%

20149.3%13.7%

2015-9.7%1.4%

201623.9%12.0%

201729.6%21.8%

2018-12.3%-4.4%

201922.5%31.5%

20205.8%18.4%

202130.2%28.7%

2022-12.3%-18.1%

202335.6%26.3%

202425.5%25.0%

202542.1%17.9%

2026*5.1%11.8%

Losing years: 2007 (-0.8%), 2008 (-42.5%), 2011 (-13.3%), 2015 (-9.7%), 2018 (-12.3%), 2022 (-12.3%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Benjamin Graham, 'The Intelligent Investor' (1949; criteria from the 4th rev. ed., 1973, ch. 14) · 1973

Size: at least $100M annual sales for an industrial (1973 dollars)
Current ratio at least 2; long-term debt no more than net current assets
Some earnings each of past 10 years; EPS up at least one-third over 10 years (3-year averages)
Dividends paid each of past 20 years
Price at most 15x average 3-year earnings and 1.5x book, or P/E x P/B at most 22.5

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 12:45 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