Value

Trailing earnings yield (TTM EPS ÷ price). Higher = cheaper.

As of 2026-06-10 · 94 names held · backtest spans 214 months

Trailing returns

-0.29%

SPY -4.49%

+0.03%

SPY -4.36%

+4.35%

SPY -4.36%

+1.68%

SPY -4.30%

YTD

+1.13%

SPY -3.79%

+11.81%

SPY +9.73%

+50.62%

SPY +65.09%

10Y

+235.57%

SPY +266.59%

20Y

—

SPY —

Cumulative return vs SPY

Performance stats

Metric	Factor	SPY
Annualized return (1 + total) ^ (252/4470) − 1	+13.18%	+11.63%
Annualized volatility daily-return stdev × √252	+25.06%	+19.74%
Sharpe ratio ann return ÷ ann vol (rf = 0)	0.53	0.59
Max drawdown worst peak-to-trough on the cumulative series	-61.40%	—
Information ratio ann excess return ÷ tracking error (vs SPY)	0.20	—
Monthly hit rate share of months where factor return > SPY	57% (121/214)	—

How it's computed

What. At each month-end, sum the most recent four reported quarterly eps_diluted values and divide by the latest closing price. Higher earnings yield = cheaper. Tickers without four full TTM quarters known by period_end + 60 days are dropped.

Why it has worked. Cheap stocks (high E/P, low P/E, low P/B) have outperformed expensive ones over multi-decade horizons — the value premium documented by Fama & French (1992). Standard explanations split between *risk-based* (cheap firms are distressed, leveraged, more cyclical) and *behavioral* (investors overreact to bad news and extrapolate poor growth).

Caveats. Earnings yield is less harsh on loss-makers than book-to-price or sales-to-price — a deeply negative E/P still scores low but a near-zero EPS scores middling rather than dead-last. Value endured a brutal stretch 2008–2020 as growth dominated; the YTD revival shown here is consistent with the recent rotation but is not a guarantee.

Current sector mix

Sector	Names	% of screen
Financials	29	30.9%
Consumer Discretionary	13	13.8%
Health Care	10	10.6%
Information Technology	7	7.4%
Communication Services	6	6.4%
Energy	6	6.4%
Industrials	6	6.4%
Consumer Staples	5	5.3%
Utilities	5	5.3%
Materials	5	5.3%
Real Estate	1	1.1%
Unknown	1	1.1%

Current top quintile (94 names)

Ticker	Name	Sector	Signal ↓	Z-score
BKNG	Booking Holdings	Consumer Discretionary	173.5%	2.94
CHTR	Charter Communications	Communication Services	45.6%	2.94
ALL	Allstate	Financials	30.9%	2.94
UHS	Universal Health Services	Health Care	27.6%	2.94
SYF	Synchrony Financial	Financials	24.3%	2.94
T	AT&T	Communication Services	23.7%	2.94
GIS	General Mills	Consumer Staples	22.6%	2.77
EG	Everest Group	Financials	22.6%	2.77
PYPL	PayPal	Financials	22.6%	2.77
EIX	Edison International	Utilities	22.3%	2.71
EXE	Expand Energy	Energy	21.1%	2.50
SOLV	Solventum	Health Care	20.6%	2.42
NFLX	Netflix	Communication Services	20.5%	2.40
APA	APA Corporation	Energy	19.7%	2.26
AES	AES Corporation	Utilities	18.3%	2.02
HIG	Hartford (The)	Financials	18.2%	2.01
LULU	Lululemon Athletica	Consumer Discretionary	18.1%	1.99
HPQ	HP Inc.	Information Technology	18.0%	1.97
UAL	United Airlines Holdings	Industrials	17.7%	1.92
MOS	Mosaic Company (The)	Materials	17.5%	1.88
VICI	Vici Properties	Real Estate	17.5%	1.87
CINF	Cincinnati Financial	Financials	17.0%	1.80
PGR	Progressive Corporation	Financials	16.6%	1.72
DAL	Delta Air Lines	Industrials	16.6%	1.72
TRV	Travelers Companies (The)	Financials	16.5%	1.70
VZ	Verizon	Communication Services	16.2%	1.66
LDOS	Leidos	Industrials	16.0%	1.63
CF	CF Industries	Materials	16.0%	1.63
PHM	PulteGroup	Consumer Discretionary	16.0%	1.61
TROW	T. Rowe Price	Financials	15.6%	1.55
GL	Globe Life	Financials	15.5%	1.54
CCL	Carnival Corporation	Consumer Discretionary	15.2%	1.49
CTSH	Cognizant	Information Technology	15.1%	1.46
DVN	Devon Energy	Energy	14.7%	1.40
CPB	Campbell's Company (The)	Consumer Staples	14.7%	1.39
AMP	Ameriprise Financial	Financials	14.7%	1.39
RF	Regions Financial Corporation	Financials	14.4%	1.35
USB	U.S. Bancorp	Financials	14.3%	1.33
EQT	EQT Corporation	Energy	14.3%	1.32
CI	Cigna	Health Care	13.9%	1.26
CB	Chubb Limited	Financials	13.9%	1.26
TFC	Truist Financial	Financials	13.8%	1.24
WFC	Wells Fargo	Financials	13.6%	1.20
MTB	M&T Bank	Financials	13.5%	1.19
GDDY	GoDaddy	Information Technology	13.4%	1.17
CAG	Conagra Brands	Consumer Staples	13.3%	1.15
ZTS	Zoetis	Health Care	13.1%	1.13
DHI	D. R. Horton	Consumer Discretionary	13.1%	1.12
PCG	PG&E Corporation	Utilities	13.0%	1.11
AIG	American International Group	Financials	13.0%	1.11
L	Loews Corporation	Financials	12.9%	1.08
EOG	EOG Resources	Energy	12.8%	1.07
ADBE	Adobe Inc.	Information Technology	12.6%	1.04
FIS	Fidelity National Information Services	Financials	12.6%	1.03
BAC	Bank of America	Financials	12.6%	1.03
EPAM			12.6%	1.03
CVNA	Carvana	Consumer Discretionary	12.6%	1.03
DIS	Walt Disney Company (The)	Communication Services	12.6%	1.03
UBER	Uber	Industrials	12.5%	1.02
PNC	PNC Financial Services	Financials	12.4%	1.01
REGN	Regeneron Pharmaceuticals	Health Care	12.4%	1.00
KEY	KeyCorp	Financials	12.4%	1.00
TSCO	Tractor Supply	Consumer Discretionary	11.9%	0.92
RJF	Raymond James Financial	Financials	11.9%	0.91
WRB	W. R. Berkley Corporation	Financials	11.8%	0.90
DECK	Deckers Brands	Consumer Discretionary	11.8%	0.89
GM	General Motors	Consumer Discretionary	11.8%	0.89
ES	Eversource Energy	Utilities	11.7%	0.89
JPM	JPMorgan Chase	Financials	11.7%	0.88
AOS	A. O. Smith	Industrials	11.7%	0.88
FOX	Fox Corporation (Class B)	Communication Services	11.7%	0.88
GEHC	GE HealthCare	Health Care	11.7%	0.87
NCLH	Norwegian Cruise Line Holdings	Consumer Discretionary	11.6%	0.86
PFE	Pfizer	Health Care	11.6%	0.86
NVR	NVR, Inc.	Consumer Discretionary	11.5%	0.84
ELV	Elevance Health	Health Care	11.4%	0.83
INCY	Incyte	Health Care	11.4%	0.83
PPG	PPG Industries	Materials	11.2%	0.79
SMCI	Supermicro	Information Technology	11.1%	0.78
AFL	Aflac	Financials	11.1%	0.77
POOL	Pool Corporation	Consumer Discretionary	11.0%	0.76
BALL	Ball Corporation	Materials	11.0%	0.76
CDW	CDW Corporation	Information Technology	11.0%	0.75
KMB	Kimberly-Clark	Consumer Staples	10.8%	0.72
CFG	Citizens Financial Group	Financials	10.7%	0.71
DG	Dollar General	Consumer Staples	10.7%	0.71
IT	Gartner	Information Technology	10.6%	0.69
OKE	Oneok	Energy	10.5%	0.67
STT	State Street Corporation	Financials	10.4%	0.66
PEG	Public Service Enterprise Group	Utilities	10.3%	0.64
UPS	United Parcel Service	Industrials	10.3%	0.64
GILD	Gilead Sciences	Health Care	10.2%	0.62
MLM	Martin Marietta Materials	Materials	10.1%	0.61
LOW	Lowe's	Consumer Discretionary	10.1%	0.61