// STUDY RESULT · 1998-01 TO 2026-09

Inspired by Lakonishok, Shleifer and Vishny: Contrarian Value

TRADE-OFF

Value 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.

How this run differs from the source: Mixes P/B, one quarter's sales growth and E/P in 30 names; the paper crosses one value ratio with 5-year sales growth.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	15.6%	9.3%
Sharpe ratio	0.74	0.66
Max drawdown	-59.4%	-50.9%

// GROWTH OF $1, LOG SCALE

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

Out-of-sample (from the split): CAGR 13.8% against 14.0% for the benchmark; Sharpe 0.78 in-sample, 0.67 out-of-sample.

After 25 bps of trading costs: 13.9% a year. WITHIN RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	7.3%	20.9%
2000s	18.6%	-0.8%
2010s	12.5%	14.0%
2020s	18.1%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*10.1%27.2%

199910.7%21.0%

200027.3%-9.1%

200156.3%-11.9%

20020.2%-22.1%

200361.0%28.7%

200425.7%10.9%

20054.7%4.9%

200619.1%15.8%

2007-7.8%5.5%

2008-35.1%-37.0%

200981.2%26.5%

201031.5%15.1%

2011-7.1%2.1%

201222.5%16.0%

201335.9%32.4%

20144.4%13.7%

2015-6.0%1.4%

201633.7%12.0%

201730.8%21.8%

2018-13.3%-4.4%

201912.5%31.5%

2020-5.1%18.4%

202132.9%28.7%

2022-5.1%-18.1%

202337.5%26.3%

202418.2%25.0%

202537.1%17.9%

2026*5.5%11.8%

Losing years: 2007 (-7.8%), 2008 (-35.1%), 2011 (-7.1%), 2015 (-6.0%), 2018 (-13.3%), 2020 (-5.1%), 2022 (-5.1%). Each cell: the strategy, then the benchmark below it. * a part year.

// 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

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 2026-11-07 08:41 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