Book/Market Investor

Based on the research paper by Joseph Piotroski

Since 2004, this portfolio has returned 116.8%, underperforming the market by 38.6% 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: 5.1% S&P 500: 6.2%
Year To Date: -7.9% S&P 500: 16.6%
Beta: 1.07 Accuracy: 49.7%
Full Return History

Portfolio Holdings

Ticker Date Added Return
PLAB 6/28/2019 13.66%
LUKOY 6/29/2018 13.59%
CATO 6/28/2019 9.58%

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