Book/Market Investor

Based on the research paper by Joseph Piotroski

Since 2004, this portfolio has returned 139.8%, underperforming the market by 31.2% using its optimal annual rebalancing period and 20 stock portfolio size.

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S&P 500

This value-quant strategy screens for high book-to-market stocks, and then separates out financially sound firms by looking at a host of improving financial criteria.

Annual Return: 5.7% S&P 500: 6.5%
Year To Date: 1.9% S&P 500: 23.8%
Beta: 1.07 Accuracy: 51.9%
Full Return History

Portfolio Holdings

Ticker Date Added Return
CATO 6/28/2019 48.05%
GPRE 6/28/2019 42.67%
PLAB 6/28/2019 39.76%

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