Invest like a master
For information and research only. Not investment advice.
Classic quant

Value (B/M)

Fama & French
Performance
Assuming an initial $100,000 · Benchmark: S&P 500
Hypothetical
Replication modeTop 5Top 10>1%
YTD1Y5Y8YAll
CompoundFixed

Gains are reinvested — principal and returns grow together.

$100k$150k$200k2021/082023/042024/112026/07$177k$216k
Backtest through 2026-07-01
Strategy backtestBenchmark · S&P 500
Strategy backtestthe rule-based portfolio, rebalanced on schedule with costs included.
BenchmarkS&P 500 (SPY) total return over the same window — what doing nothing but holding the market would earn.

Hypothetical backtest — not a real trading record. Simulated on public data from 2012-02: each position is bought only after the filing became public (using no information unavailable at the time), with trading costs deducted, on a total-return basis. Past performance does not predict future results.

All metrics below are computed on the strategy-backtest curve.
Return?
21.0%
Compound annual return over the sample.
Risk?
27.5%
How much returns swing (annualized stdev); lower is steadier.
Return vs risk?
0.83
Return ÷ volatility; higher is better.
Beat SPX?
+6.2%
Annualized gain over the S&P.
Excess?
+3.1%
The strategy's own annual excess, apart from the market.
Significance?
t=0.71 · weak
t-value: how solid the excess is — higher is more reliable.
Max DD?
−51.7%
Largest peak-to-trough fall.
Leverage?
1.30×
How many times it rises and falls together with the market.
Longest recovery?
10 mo
Longest wait from a peak back to a new high.
About
Fama & French

Value, in the academic sense, means buying the cheapest slice of stocks by book-to-market. Fama and French's 1992–1993 three-factor model first showed with large samples that cheapness (high book-to-market) and small size systematically explain long-run excess returns, making value the first and most-documented factor in asset pricing. Fama went on to win the 2013 Nobel Prize, writing Graham's “cheap is its own logic” into the foundations of modern finance.

Holdings & changes
Replication modeTop 5Top 10>1%
Current holdingsPosition changes
Holdings last updated 2026-06-30
>1% · filed weights
TickerNameWeightvs last filing
ONDS
Ondas Inc. Common Stock
5.2%
TEM
Tempus AI, Inc. Class A Common Stock
5.2%
NU
Nu Holdings Ltd.
5.2%
KHC
The Kraft Heinz Company Common Stock
5.2%New
CAG
Conagra Brands, Inc.
5.1%New
MSTR
Strategy Inc Common Stock Class A
5.1%New
ARI
APOLLO COMMERCIAL REAL ESTATE FINANCE, INC.
5.1%New
CHTR
Charter Comm Inc Del CL A New
5.1%New
TFC
Truist Financial Corporation
5.0%
NLY
Annaly Capital Management. Inc.
5.0%New
VICI
VICI Properties Inc. Common Stock
5.0%New
FISV
Fiserv, Inc. Common Stock
5.0%
CMCSA
Comcast Corp
4.9%
AGNC
AGNC Investment Corp. Common Stock
4.9%New
CDE
Coeur Mining, Inc.
4.9%New
GM
General Motors Company
4.9%
COF
Capital One Financial
4.8%
EXE
Expand Energy Corporation Common Stock
4.8%
C
Citigroup Inc.
4.8%0.2
EQT
EQT CORP
4.8%
Risk
This strategy mechanically reproduces public research / published methods; the backtest includes trading costs but not taxes or market impact. A rule that worked historically may not work in the future.
Past / backtested performance does not predict the future. Masterfolio is an information service / publisher, not an investment adviser.
Back
HomePro ToolsMy libraryAccount
Value (B/M) · Fama & French · Masterfolio