// STUDY RESULT · 1998-01 TO 2026-09

High Book-to-Market Stocks

TRADE-OFF

Use book equity relative to market capitalization to identify stocks priced cheaply relative to accounting net worth. Hold the higher book-to-market stocks rather than the lower book-to-market stocks.

How this run differs from the source: A generic high book-to-market book; the source's own portfolio rules could not be checked.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	13.5%	9.3%
Sharpe ratio	0.62	0.66
Max drawdown	-71.5%	-50.9%

// GROWTH OF $1, LOG SCALE

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

Out-of-sample (from the split): CAGR 14.5% against 14.0% for the benchmark; Sharpe 0.60 in-sample, 0.63 out-of-sample.

After 25 bps of trading costs: 12.3% a year. WITHIN RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	5.7%	20.9%
2000s	11.7%	-0.8%
2010s	12.6%	14.0%
2020s	20.4%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*0.1%27.2%

199914.3%21.0%

20006.1%-9.1%

200136.3%-11.9%

2002-17.2%-22.1%

200362.0%28.7%

200425.4%10.9%

20059.1%4.9%

200633.8%15.8%

2007-21.0%5.5%

2008-44.6%-37.0%

200983.1%26.5%

201051.3%15.1%

2011-15.9%2.1%

201241.0%16.0%

201347.2%32.4%

2014-5.1%13.7%

2015-23.9%1.4%

201639.3%12.0%

201738.5%21.8%

2018-15.6%-4.4%

201923.2%31.5%

202034.0%18.4%

202140.7%28.7%

2022-1.9%-18.1%

202345.7%26.3%

20245.5%25.0%

202524.7%17.9%

2026*-13.2%11.8%

Losing years: 2002 (-17.2%), 2007 (-21.0%), 2008 (-44.6%), 2011 (-15.9%), 2014 (-5.1%), 2015 (-23.9%), 2018 (-15.6%), 2022 (-1.9%), 2026 (-13.2%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Dennis Stattman (1980), The Chicago MBA: A Journal of Selected Papers · 1980

Obtain book equity from the latest available financial statements.
Divide book equity by market capitalization for each eligible stock.
Form a portfolio from the highest book-to-market group and rebalance after accounting data update.

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 03:56 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