Book/Market Investor

Based on the research paper by Joseph Piotroski

Since 2004, this portfolio has returned 137.7%, underperforming the market by 14.4% 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: 5.8% S&P 500: 6.2%
Year To Date: 1.0% S&P 500: 15.2%
Beta: 1.07 Accuracy: 51.7%
Full Return History

Portfolio Holdings

Ticker Date Added Return
YPF 6/29/2018 25.18%
LUKOY 6/29/2018 16.10%
PMT 6/29/2018 15.17%

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