// STUDY RESULT · 1993-12 TO 2026-07
Contrarian Value (LSV)
NO EDGEValue works because investors extrapolate past growth too far: low-priced, slow-growth stocks beat glamour stocks, and the gap is not explained by higher risk.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 6.7% | 9.0% |
| Return per unit of risk (Sharpe) | 0.43 | 0.65 |
| Worst fall (max drawdown) | -66.0% | -52.6% |
// GROWTH OF $1, LOG SCALE
AMBER: THE STRATEGY · GREY: $SPX BUY & HOLD
Tested on years it never saw (from the split): 13.3% a year against 12.4% for the benchmark; Sharpe 0.27 in the training years, 0.67 after.
After 25 bps of trading costs: 5.4% a year. EDGE OVER RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | -0.8% | 19.7% |
| 2000s | 1.5% | -2.6% |
| 2010s | 11.1% | 11.6% |
| 2020s | 15.8% | 14.1% |
// THE IDEA, AS PUBLISHED
Lakonishok, Shleifer & Vishny (1994), Journal of Finance · 1994
- Sort NYSE/AMEX stocks each April on C/P, E/P or B/M and on 5-year sales growth
- Value = high C/P and low growth; glamour = the reverse
- Equal weight, buy and hold 5 years
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 19:42 ON THE QUANTGPT WAREHOUSE: EVERY DELISTED NAME KEPT, FUNDAMENTALS AS FILED. NOT INVESTMENT ADVICE.