The Test Bench › scanner
Does Value (Earnings Yield E/P) actually work?
MARGINALReal but small -- not worth what it costs to run.
The claim
Cheap stocks (high earnings yield) beat the market — Academic / value tradition
What we did
Tested against Equal-weight survivorship-free peer universe + SPY, net of cost, 2003–2026, OOS ≥ 2021.
The result
Result: 1.0 net-αSPY %/yr (beats index net of cost)
vPEERS +1.0 (IS −0.6 → OOS +2.1, the value 'lost decade' then revival)
Verdict
Weak but real, and the in-sample/out-of-sample split tells the famous value story: dead in the 2010s, breathing again lately.
What the test did and did not do
- survivorship-free universe
- net of real costs
- tested out of sample
- point-in-time data
- checked for look-ahead
Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.
Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.