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Value
Trailing earnings yield (TTM EPS ÷ price). Higher = cheaper.
As of 2026-06-02 · 85 names held · backtest spans 211 months
Trailing returns
1W
+0.95%
SPY +0.14%
1M
+11.22%
SPY +0.14%
3M
+18.13%
SPY +0.14%
6M
+26.85%
SPY +1.09%
YTD
+24.23%
SPY +0.73%
1Y
+41.30%
SPY +16.90%
5Y
+86.86%
SPY +75.15%
10Y
+335.01%
SPY +283.46%
20Y
—
SPY —
Cumulative return vs SPY
Performance stats
| Metric | Factor | SPY |
|---|---|---|
Annualized return (1 + total) ^ (252/4401) − 1 | +18.51% | +14.40% |
Annualized volatility daily-return stdev × √252 | +21.41% | +17.96% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.86 | 0.80 |
Max drawdown worst peak-to-trough on the cumulative series | -43.23% | — |
Information ratio ann excess return ÷ tracking error (vs SPY) | 0.44 | — |
Monthly hit rate share of months where factor return > SPY | 56% (119/211) | — |
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 | |
|---|---|---|---|
| Health Care | 16 | 18.8% | |
| Financials | 15 | 17.6% | |
| Consumer Discretionary | 11 | 12.9% | |
| Information Technology | 9 | 10.6% | |
| Industrials | 8 | 9.4% | |
| Communication Services | 6 | 7.1% | |
| Energy | 6 | 7.1% | |
| Utilities | 5 | 5.9% | |
| Materials | 4 | 4.7% | |
| Consumer Staples | 4 | 4.7% | |
| Real Estate | 1 | 1.2% |
Current top quintile (85 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| BKNG | Booking Holdings | Consumer Discretionary | 72.9% | 3.74 |
| NFLX | Netflix | Communication Services | 26.6% | 3.74 |
| CHTR | Charter Communications | Communication Services | 18.5% | 3.74 |
| HPQ | HP Inc. | Information Technology | 16.3% | 3.74 |
| SW | Smurfit Westrock | Materials | 15.2% | 3.74 |
| MOS | Mosaic Company (The) | Materials | 14.3% | 3.46 |
| DIS | Walt Disney Company (The) | Communication Services | 12.8% | 3.00 |
| ORLY | O’Reilly Automotive | Consumer Discretionary | 12.7% | 2.98 |
| GIS | General Mills | Consumer Staples | 12.5% | 2.89 |
| RJF | Raymond James Financial | Financials | 12.0% | 2.76 |
| UHS | Universal Health Services | Health Care | 11.3% | 2.53 |
| SOLV | Solventum | Health Care | 11.1% | 2.48 |
| ADBE | Adobe Inc. | Information Technology | 11.0% | 2.46 |
| UBER | Uber | Industrials | 10.9% | 2.40 |
| EIX | Edison International | Utilities | 9.5% | 1.99 |
| PYPL | PayPal | Financials | 8.7% | 1.74 |
| FISV | Fiserv | Financials | 8.6% | 1.69 |
| APA | APA Corporation | Energy | 8.5% | 1.66 |
| EG | Everest Group | Financials | 8.4% | 1.65 |
| ATO | Atmos Energy | Utilities | 8.2% | 1.59 |
| GM | General Motors | Consumer Discretionary | 8.1% | 1.54 |
| HRL | Hormel Foods | Consumer Staples | 7.9% | 1.48 |
| VICI | Vici Properties | Real Estate | 7.4% | 1.34 |
| SLB | Schlumberger | Energy | 7.4% | 1.32 |
| VZ | Verizon | Communication Services | 7.3% | 1.31 |
| PHM | PulteGroup | Consumer Discretionary | 7.3% | 1.29 |
| DAL | Delta Air Lines | Industrials | 7.3% | 1.29 |
| PGR | Progressive Corporation | Financials | 7.2% | 1.28 |
| DVN | Devon Energy | Energy | 7.1% | 1.23 |
| TROW | T. Rowe Price | Financials | 7.0% | 1.20 |
| CPB | Campbell's Company (The) | Consumer Staples | 6.9% | 1.18 |
| CINF | Cincinnati Financial | Financials | 6.9% | 1.17 |
| BDX | Becton Dickinson | Health Care | 6.9% | 1.17 |
| LDOS | Leidos | Industrials | 6.8% | 1.14 |
| COR | Cencora | Health Care | 6.7% | 1.11 |
| SWKS | Skyworks Solutions | Information Technology | 6.6% | 1.08 |
| GPN | Global Payments | Financials | 6.6% | 1.08 |
| LULU | Lululemon Athletica | Consumer Discretionary | 6.6% | 1.07 |
| PTC | PTC Inc. | Information Technology | 6.5% | 1.06 |
| UAL | United Airlines Holdings | Industrials | 6.5% | 1.04 |
| PFE | Pfizer | Health Care | 6.5% | 1.04 |
| CI | Cigna | Health Care | 6.4% | 1.03 |
| CCL | Carnival Corporation | Consumer Discretionary | 6.1% | 0.94 |
| ZTS | Zoetis | Health Care | 6.1% | 0.93 |
| OMC | Omnicom Group | Communication Services | 6.0% | 0.90 |
| ELV | Elevance Health | Health Care | 5.8% | 0.85 |
| CTSH | Cognizant | Information Technology | 5.8% | 0.85 |
| AMP | Ameriprise Financial | Financials | 5.8% | 0.84 |
| L | Loews Corporation | Financials | 5.8% | 0.83 |
| EXE | Expand Energy | Energy | 5.7% | 0.82 |
| DE | Deere & Company | Industrials | 5.7% | 0.81 |
| CF | CF Industries | Materials | 5.6% | 0.79 |
| CB | Chubb Limited | Financials | 5.6% | 0.79 |
| TRV | Travelers Companies (The) | Financials | 5.6% | 0.79 |
| EOG | EOG Resources | Energy | 5.6% | 0.79 |
| A | Agilent Technologies | Health Care | 5.6% | 0.79 |
| REGN | Regeneron Pharmaceuticals | Health Care | 5.6% | 0.78 |
| COO | Cooper Companies (The) | Health Care | 5.6% | 0.77 |
| POOL | Pool Corporation | Consumer Discretionary | 5.6% | 0.77 |
| AES | AES Corporation | Utilities | 5.5% | 0.75 |
| AIG | American International Group | Financials | 5.5% | 0.75 |
| HCA | HCA Healthcare | Health Care | 5.5% | 0.75 |
| TSCO | Tractor Supply | Consumer Discretionary | 5.5% | 0.74 |
| DHI | D. R. Horton | Consumer Discretionary | 5.4% | 0.71 |
| INCY | Incyte | Health Care | 5.4% | 0.71 |
| QCOM | Qualcomm | Information Technology | 5.3% | 0.69 |
| PNC | PNC Financial Services | Financials | 5.3% | 0.69 |
| FANG | Diamondback Energy | Energy | 5.3% | 0.68 |
| ACN | Accenture | Information Technology | 5.3% | 0.68 |
| GEHC | GE HealthCare | Health Care | 5.3% | 0.68 |
| MRK | Merck & Co. | Health Care | 5.3% | 0.68 |
| JCI | Johnson Controls | Industrials | 5.2% | 0.67 |
| AOS | A. O. Smith | Industrials | 5.2% | 0.66 |
| DECK | Deckers Brands | Consumer Discretionary | 5.2% | 0.65 |
| BEN | Franklin Resources | Financials | 5.2% | 0.65 |
| HUM | Humana | Health Care | 5.1% | 0.63 |
| NVR | NVR, Inc. | Consumer Discretionary | 5.1% | 0.63 |
| NOW | ServiceNow | Information Technology | 5.0% | 0.61 |
| ES | Eversource Energy | Utilities | 5.0% | 0.60 |
| PNW | Pinnacle West Capital | Utilities | 5.0% | 0.59 |
| NDSN | Nordson Corporation | Industrials | 5.0% | 0.59 |
| MO | Altria | Consumer Staples | 5.0% | 0.59 |
| FFIV | F5, Inc. | Information Technology | 5.0% | 0.59 |
| PPG | PPG Industries | Materials | 4.9% | 0.57 |
| FOX | Fox Corporation (Class B) | Communication Services | 4.9% | 0.57 |