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Value
Trailing earnings yield (TTM EPS ÷ price). Higher = cheaper.
As of 2026-08-31 · 100 names held · backtest spans 232 months
Trailing returns
1W
-1.91%
S&P 500 TR +0.45%
1M
+2.06%
S&P 500 TR +2.72%
3M
+10.63%
S&P 500 TR +1.41%
6M
+12.45%
S&P 500 TR +12.32%
YTD
+19.73%
S&P 500 TR +13.14%
1Y
+23.81%
S&P 500 TR +20.38%
5Y
+77.55%
S&P 500 TR +82.47%
10Y
+309.40%
S&P 500 TR +316.17%
SINCE
+1394.27%
S&P 500 TR +667.45%
from 2007-05-01
2007-05-01 to 2026-08-31 · 4865 sessions
Cumulative return vs S&P 500 TR
Performance stats
| Metric | Factor | S&P 500 TR |
|---|---|---|
Annualized return (1 + total) ^ (252/4865) − 1 | +15.04% | +11.13% |
Annualized volatility daily-return stdev × √252 | +24.16% | +19.79% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.62 | 0.56 |
Max drawdown worst peak-to-trough on the cumulative series | -56.24% | -55.25% |
Information ratio ann excess return ÷ tracking error (vs S&P 500 TR) | 0.45 | — |
Monthly hit rate share of months where factor return > S&P 500 TR | 61% (141/232) | — |
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 | 30 | 30.0% | |
| Industrials | 10 | 10.0% | |
| Health Care | 10 | 10.0% | |
| Consumer Discretionary | 10 | 10.0% | |
| Utilities | 9 | 9.0% | |
| Information Technology | 8 | 8.0% | |
| Communication Services | 7 | 7.0% | |
| Energy | 6 | 6.0% | |
| Materials | 5 | 5.0% | |
| Consumer Staples | 3 | 3.0% | |
| Real Estate | 2 | 2.0% |
Current top quintile (100 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| BKNG | Booking Holdings Inc. | Industrials | 56.9% | 3.55 |
| NFLX | NETFLIX INC | Communication Services | 17.6% | 3.55 |
| CHTR | CHARTER COMMUNICATIONS, INC. /MO/ | Communication Services | 17.5% | 3.55 |
| CMCSA | COMCAST CORP | Communication Services | 16.8% | 3.55 |
| KLAC | KLA CORP | Health Care | 15.0% | 3.55 |
| ALL | ALLSTATE CORP | Financials | 12.0% | 3.55 |
| FIS | Fidelity National Information Services, Inc. | Financials | 10.3% | 2.85 |
| EG | EVEREST GROUP, LTD. | Financials | 10.2% | 2.85 |
| SYF | Synchrony Financial | Financials | 10.0% | 2.76 |
| UHS | UNIVERSAL HEALTH SERVICES INC | Health Care | 9.9% | 2.73 |
| ACGL | ARCH CAPITAL GROUP LTD. | Financials | 9.9% | 2.69 |
| AES | AES CORP | Utilities | 9.6% | 2.60 |
| MKC | MCCORMICK & CO INC | Consumer Staples | 9.5% | 2.56 |
| T | AT&T INC. | Communication Services | 9.5% | 2.54 |
| VICI | VICI PROPERTIES INC. | Real Estate | 9.2% | 2.42 |
| F | FORD MOTOR CO | Consumer Discretionary | 8.8% | 2.25 |
| GIS | GENERAL MILLS INC | Consumer Staples | 8.6% | 2.21 |
| SOLV | Solventum Corp | Health Care | 8.6% | 2.18 |
| HIG | HARTFORD INSURANCE GROUP, INC. | Financials | 8.4% | 2.10 |
| FISV | FISERV INC | Financials | 8.2% | 2.05 |
| EIX | EDISON INTERNATIONAL | Utilities | 8.2% | 2.03 |
| APA | APA Corp | Energy | 8.1% | 2.00 |
| CCL | Carnival Corp Ltd. | Industrials | 8.0% | 1.95 |
| CINF | CINCINNATI FINANCIAL CORP | Financials | 7.8% | 1.86 |
| EQT | EQT Corp | Energy | 7.7% | 1.85 |
| PCG | PG&E Corp | Utilities | 7.5% | 1.77 |
| UAL | United Airlines Holdings, Inc. | Industrials | 7.4% | 1.72 |
| MOS | MOSAIC CO | Materials | 7.3% | 1.69 |
| PYPL | PayPal Holdings, Inc. | Financials | 7.2% | 1.64 |
| MLM | MARTIN MARIETTA MATERIALS INC | Materials | 7.2% | 1.63 |
| NCLH | Norwegian Cruise Line Holdings Ltd. | Industrials | 7.2% | 1.63 |
| VZ | VERIZON COMMUNICATIONS INC | Communication Services | 7.1% | 1.59 |
| CI | Cigna Group | Health Care | 7.1% | 1.58 |
| GM | General Motors Co | Consumer Discretionary | 7.0% | 1.57 |
| DECK | DECKERS OUTDOOR CORP | Consumer Discretionary | 7.0% | 1.55 |
| QCOM | QUALCOMM INC/DE | Information Technology | 6.8% | 1.46 |
| PGR | PROGRESSIVE CORP/OH/ | Financials | 6.7% | 1.44 |
| OXY | OCCIDENTAL PETROLEUM CORP /DE/ | Energy | 6.7% | 1.44 |
| TROW | PRICE T ROWE GROUP INC | Financials | 6.6% | 1.39 |
| CF | CF Industries Holdings, Inc. | Materials | 6.6% | 1.38 |
| GL | GLOBE LIFE INC. | Financials | 6.5% | 1.34 |
| HPQ | HP INC | Information Technology | 6.2% | 1.25 |
| TRV | TRAVELERS COMPANIES, INC. | Financials | 6.2% | 1.22 |
| PHM | PULTEGROUP INC/MI/ | Consumer Discretionary | 6.2% | 1.22 |
| LULU | lululemon athletica inc. | Consumer Discretionary | 6.1% | 1.21 |
| EOG | EOG RESOURCES INC | Energy | 6.1% | 1.20 |
| TFC | TRUIST FINANCIAL CORP | Financials | 6.1% | 1.20 |
| PRU | PRUDENTIAL FINANCIAL INC | Financials | 6.1% | 1.19 |
| RF | REGIONS FINANCIAL CORP | Financials | 6.1% | 1.19 |
| ZTS | Zoetis Inc. | Health Care | 6.0% | 1.17 |
| BMY | BRISTOL MYERS SQUIBB CO | Health Care | 6.0% | 1.16 |
| HBAN | HUNTINGTON BANCSHARES INC /MD/ | Financials | 6.0% | 1.15 |
| LDOS | Leidos Holdings, Inc. | Information Technology | 6.0% | 1.15 |
| CB | Chubb Ltd | Financials | 6.0% | 1.14 |
| MO | ALTRIA GROUP, INC. | Consumer Staples | 6.0% | 1.14 |
| HST | HOST HOTELS & RESORTS, INC. | Real Estate | 5.8% | 1.07 |
| USB | US BANCORP DE | Financials | 5.7% | 1.04 |
| VLO | VALERO ENERGY CORP/TX | Energy | 5.7% | 1.03 |
| AIG | AMERICAN INTERNATIONAL GROUP, INC. | Financials | 5.7% | 1.02 |
| MTB | M&T BANK CORP | Financials | 5.6% | 1.01 |
| FSLR | FIRST SOLAR, INC. | Information Technology | 5.6% | 1.01 |
| WFC | WELLS FARGO & COMPANY/MN | Financials | 5.6% | 1.01 |
| PFE | PFIZER INC | Health Care | 5.6% | 1.01 |
| KEY | KEYCORP /NEW/ | Financials | 5.6% | 0.98 |
| DVN | DEVON ENERGY CORP/DE | Energy | 5.5% | 0.97 |
| L | LOEWS CORP | Financials | 5.5% | 0.95 |
| ACN | Accenture plc | Information Technology | 5.4% | 0.92 |
| AMP | AMERIPRISE FINANCIAL INC | Financials | 5.4% | 0.91 |
| AIZ | ASSURANT, INC. | Financials | 5.4% | 0.91 |
| PNW | PINNACLE WEST CAPITAL CORP | Utilities | 5.4% | 0.90 |
| ELV | Elevance Health, Inc. | Health Care | 5.4% | 0.90 |
| DAL | DELTA AIR LINES, INC. | Industrials | 5.3% | 0.90 |
| AFL | AFLAC INC | Financials | 5.3% | 0.89 |
| WRB | BERKLEY W R CORP | Financials | 5.3% | 0.88 |
| PEG | PUBLIC SERVICE ENTERPRISE GROUP INC | Utilities | 5.3% | 0.88 |
| LEN | LEN | Industrials | 5.3% | 0.88 |
| DHI | HORTON D R INC /DE/ | Consumer Discretionary | 5.3% | 0.87 |
| NEM | NEWMONT Corp /DE/ | Materials | 5.2% | 0.83 |
| PNC | PNC FINANCIAL SERVICES GROUP, INC. | Financials | 5.1% | 0.82 |
| DIS | Walt Disney Co | Consumer Discretionary | 5.1% | 0.81 |
| UBER | Uber Technologies, Inc | Industrials | 5.1% | 0.80 |
| PNR | PENTAIR plc | Industrials | 5.1% | 0.79 |
| ES | EVERSOURCE ENERGY | Utilities | 5.1% | 0.79 |
| RCL | ROYAL CARIBBEAN CRUISES LTD | Industrials | 5.1% | 0.79 |
| PPG | PPG INDUSTRIES INC | Materials | 5.1% | 0.78 |
| HCA | HCA Healthcare, Inc. | Health Care | 5.1% | 0.78 |
| CTSH | COGNIZANT TECHNOLOGY SOLUTIONS CORP | Information Technology | 5.0% | 0.78 |
| OMC | OMNICOM GROUP INC. | Communication Services | 5.0% | 0.77 |
| GOOGL | Alphabet Inc. | Communication Services | 5.0% | 0.77 |
| BAC | BANK OF AMERICA CORP /DE/ | Financials | 4.9% | 0.73 |
| EXC | EXELON CORP | Utilities | 4.9% | 0.72 |
| LOW | LOWES COMPANIES INC | Consumer Discretionary | 4.9% | 0.72 |
| PTC | PTC INC. | Information Technology | 4.8% | 0.69 |
| ED | CONSOLIDATED EDISON INC | Utilities | 4.8% | 0.67 |
| LII | LENNOX INTERNATIONAL INC | Industrials | 4.7% | 0.66 |
| AEP | AMERICAN ELECTRIC POWER CO INC | Utilities | 4.7% | 0.62 |
| GDDY | GoDaddy Inc. | Information Technology | 4.6% | 0.61 |
| TSCO | TRACTOR SUPPLY CO /DE/ | Consumer Discretionary | 4.6% | 0.60 |
| COR | Cencora, Inc. | Health Care | 4.6% | 0.59 |
| NVR | NVR INC | Consumer Discretionary | 4.6% | 0.59 |