// STUDY RESULT · 1998-01 TO 2026-09

Neff's Low-P/E + Yield Discipline

DATA VALIDATED

Buy solid growers at low P/Es with dividends; the 'total return / P/E' ratio finds them.

How this run differs from the source: An absolute P/E cap with an E/P rank; Neff's total return ratio (growth plus yield over P/E) is not used.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	13.9%	9.3%
Sharpe ratio	0.76	0.66
Max drawdown	-53.7%	-50.9%

// GROWTH OF $1, LOG SCALE

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

Out-of-sample (from the split): CAGR 15.3% against 14.0% for the benchmark; Sharpe 0.76 in-sample, 0.77 out-of-sample.

After 25 bps of trading costs: 12.5% a year. WITHIN RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	-5.2%	20.9%
2000s	16.3%	-0.8%
2010s	12.6%	14.0%
2020s	18.6%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*0.0%27.2%

1999-3.3%21.0%

200032.0%-9.1%

200125.8%-11.9%

20022.7%-22.1%

200347.3%28.7%

200423.0%10.9%

200515.2%4.9%

200619.7%15.8%

2007-5.8%5.5%

2008-30.2%-37.0%

200950.4%26.5%

201010.7%15.1%

2011-1.9%2.1%

201219.2%16.0%

201344.0%32.4%

201410.0%13.7%

2015-5.6%1.4%

201632.2%12.0%

201718.6%21.8%

2018-10.4%-4.4%

201926.3%31.5%

202023.5%18.4%

202139.8%28.7%

2022-14.8%-18.1%

202328.9%26.3%

202417.9%25.0%

202517.0%17.9%

2026*14.9%11.8%

Losing years: 1999 (-3.3%), 2007 (-5.8%), 2008 (-30.2%), 2011 (-1.9%), 2015 (-5.6%), 2018 (-10.4%), 2022 (-14.8%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

John Neff, 'John Neff on Investing' (1999) · 1999

Low P/E, well below the market's; (EPS growth + dividend yield) / P/E well above the market's
Earnings growth above 7%, wary of rates above about 20%
Solid companies; sell when fundamentals fade or price reaches value

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