Book/Market Investor Strategy Explanation Video
Since 2004, this portfolio has returned 232.0%, underperforming the market by 65.4% using its optimal annual rebalancing period and 20 stock portfolio size.
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.
Year | Portfolio | S&P 500 |
2004 | 16.0% | 5.7% |
2005 | 6.4% | 3.0% |
2006 | 18.7% | 13.6% |
2007 | -3.0% | 3.5% |
2008 | -40.1% | -38.5% |
2009 | 72.2% | 23.5% |
Year | Portfolio | S&P 500 |
2010 | 67.2% | 12.8% |
2011 | -14.9% | -0.0% |
2012 | 12.3% | 13.4% |
2013 | 35.5% | 29.6% |
2014 | -8.6% | 11.4% |
2015 | -18.6% | -0.7% |
Year | Portfolio | S&P 500 |
2016 | 3.4% | 9.5% |
2017 | 15.0% | 19.4% |
2018 | -16.1% | -6.2% |
2019 | 14.2% | 28.9% |
2020 | 3.9% | 16.3% |
2021 YTD | 18.8% | 21.1% |
The Book/Market Investor portfolio is based on the published writings of Joseph Piotroski
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