// STUDY RESULT · 1998-01 TO 2026-09

Inspired by O'Shaughnessy: What Works on Wall Street

DATA VALIDATED

Decades of factor tests distilled: combined value composites (P/S, P/E, EV/EBITDA, P/CF, yield) beat any single ratio.

How this run differs from the source: Loose value caps, then a momentum rank: closer to momentum with a value floor than his six-ratio composite.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	18.5%	9.3%
Sharpe ratio	0.92	0.66
Max drawdown	-57.1%	-50.9%

// GROWTH OF $1, LOG SCALE

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

Out-of-sample (from the split): CAGR 15.1% against 14.0% for the benchmark; Sharpe 1.04 in-sample, 0.77 out-of-sample.

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

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	6.3%	20.9%
2000s	23.9%	-0.8%
2010s	14.9%	14.0%
2020s	20.2%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*8.0%27.2%

199910.8%21.0%

200045.8%-9.1%

200124.5%-11.9%

20023.5%-22.1%

200384.2%28.7%

200446.1%10.9%

200539.4%4.9%

200640.4%15.8%

200729.3%5.5%

2008-38.0%-37.0%

20095.6%26.5%

201020.8%15.1%

20112.5%2.1%

201217.7%16.0%

201354.7%32.4%

201413.3%13.7%

20152.5%1.4%

201623.7%12.0%

201722.7%21.8%

2018-14.4%-4.4%

201918.6%31.5%

20206.3%18.4%

202124.6%28.7%

20227.7%-18.1%

202317.3%26.3%

202437.7%25.0%

202524.7%17.9%

2026*14.8%11.8%

Losing years: 2008 (-38.0%), 2018 (-14.4%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

James O'Shaughnessy, 'What Works on Wall Street' (1996, 4th ed. 2011) · 2011

Value Composite: average rank on P/B, P/E, P/S, EBITDA/EV, P/CF and shareholder yield
Take the cheapest 10% of All Stocks by the composite
Buy the 25 with the best 6-month price gain; equal weight; rebalance annually

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 2026-11-09 21:26 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