// STUDY RESULT · 1998-01 TO 2026-09

Inspired by Schloss: Cheap-Asset Basket

TRADE-OFF

Buy many statistically cheap stocks trading below book value and near multi-year lows, with little debt; rely on the balance sheet, not the story.

How this run differs from the source: Schloss used judgment, not a rule; this is a cheap-asset screen in his spirit, with no debt test.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	9.8%	9.3%
Sharpe ratio	0.52	0.66
Max drawdown	-67.1%	-50.9%

// GROWTH OF $1, LOG SCALE

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

Out-of-sample (from the split): CAGR 8.2% against 14.0% for the benchmark; Sharpe 0.58 in-sample, 0.45 out-of-sample.

After 25 bps of trading costs: 7.8% a year. BELOW RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	3.2%	20.9%
2000s	11.1%	-0.8%
2010s	10.4%	14.0%
2020s	9.0%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*4.4%27.2%

19994.1%21.0%

200029.3%-9.1%

200145.2%-11.9%

2002-11.9%-22.1%

200348.6%28.7%

200428.6%10.9%

20057.1%4.9%

200627.7%15.8%

2007-17.8%5.5%

2008-42.1%-37.0%

200936.8%26.5%

201032.8%15.1%

2011-7.8%2.1%

201225.5%16.0%

201325.2%32.4%

20142.3%13.7%

2015-13.8%1.4%

201631.2%12.0%

201718.3%21.8%

2018-11.4%-4.4%

201923.5%31.5%

2020-8.6%18.4%

202116.5%28.7%

2022-6.3%-18.1%

202326.7%26.3%

20244.1%25.0%

202517.6%17.9%

2026*7.6%11.8%

Losing years: 2002 (-11.9%), 2007 (-17.8%), 2008 (-42.1%), 2011 (-7.8%), 2015 (-13.8%), 2018 (-11.4%), 2020 (-8.6%), 2022 (-6.3%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Walter Schloss letters & interviews; Buffett's 'Superinvestors' (1984) · 1955

Price near multi-year low and below book (tangible book preferred)
Little or no debt, long operating history
Wide diversification (often about 100 names), about 4-year average hold

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 20:12 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