FindingSAVNG Research · September 10, 2026

Cheap small caps on book value: the widest spread in our data

The claim. If you had bought the fifth of companies that scored best on price to book, small caps (< $2b) at each annual report, 2010 to 2025, and held for a year, you would have beaten the S&P 500 by +18.7 pts on average (very unlikely to be luck) and the worst-scoring fifth by +17.9 pts; against small caps the gap was +17.6 pts. Bought during a sell-off the best fifth returned +57.6 pts (89 cases). Measured on 3,541 company-years across 404 companies.

Among non-financial companies under $2 billion, the fifth cheapest on price-to-book at each annual report beat the most expensive fifth by a wide margin over the next year — and by more in sell-offs. This is the classic small-value premium, and it is the strongest thing our screens can measure.

How we tested it
  • Universe: 657 U.S. companies with ten-plus years of prices (8,703 company-years). Non-financials under $2B market cap at the time. Lowest price-to-book = top fifth.
  • Point in time: factor values from the latest fiscal year known on each 10-K filing date; price = first close on or after the filing.
  • Outcome: total return over the next 12 and 36 months minus the S&P 500, and minus small caps (IWM) for 12 months; companies ranked into fifths within each filing year; market state = S&P ≥10% below its one-year high on the entry day.
  • Limits: survivorship-tilted, small-cap-heavy universe; no costs; the spread between fifths is the finding, the levels are not.
Reproduce: node savng-insider-history/factor-study.js → reports/factor-study.json (generated 2026-09-11); served at /screener-evidence; any filter combination live at /backtest.
The picture
Q1 (best by this factor)+18.7 pts n 715 · median +3.2 ptsQ2+5.7 pts n 709 · median −5.0 ptsQ3−0.5 pts n 709 · median −8.3 ptsQ4+0.9 pts n 709 · median −7.2 ptsQ5 (worst)+0.8 pts n 699 · median −10.5 pts

Average twelve-month return minus the S&P 500 by fifth, best-scoring first. Medians in grey.

Sell-offs versus calm markets
Market state at entryBest fifthWorst fifthSpread
Sell-off (S&P ≥10% off high)+57.6 pts n 89+8.4 pts+49.2 pts
Calm+13.2 pts n 626−0.3 pts+13.5 pts
Does it apply to your sector?
Sector (SEC group)Company-yearsBest fifth, 12 moWorst fifthSpreadRead
Industrials & manufacturing1,275+18.1 pts n 256+2.4 pts+15.8 ptsSorts well
Services331+17.3 pts n 41−3.7 pts+20.9 ptsSorts well
Tech hardware & semis326+11.0 pts n 64−0.9 pts+11.9 ptsSorts well
Retail & consumer208+22.4 pts n 46−6.4 pts+28.8 ptsSorts well
Medical devices207+7.7 pts n 16−4.6 pts+12.3 ptsToo few to say
Other166+11.8 pts n 64+13.1 pts−1.4 ptsDoes not sort
Energy163+24.6 pts n 49−10.1 pts+34.7 ptsSorts well
Biotech & pharma158+62.0 pts n 26+11.6 pts+50.4 ptsSorts well
Finance & real estate157+2.3 pts n 29−8.6 pts+10.8 ptsSorts well
Software & IT services139+16.3 pts n 25+2.0 pts+14.3 ptsSorts well
Where it applies today
Market state today: Calm — the S&P 500 closed 3.1% below its 1-year high (as of 2026-09-16). Our rule, the same one used to split every backtest on this site: sell-off = 10% or more below the 1-year high, borderline from 5%, calm otherwise. A further 7.2% fall from here would put us in a sell-off. Since 2006 the market has been in a sell-off 16.6% of the time, across 13 episodes (red bands).
2007200920112013201520172019202120232025
S&P 500 (SPY, adjusted) distance from its trailing 1-year high, weekly. Amber band: borderline (−5% to −10%). Red band: sell-off (below −10%). The dot is today. History to 2026-08-19 from the research database; today from the live feed.
Backtest · point in time · 8,702 entries in the study

The same screen, live — every filter re-tested as you change it

Screen tested: Proxy: price-to-book ≤ 1.2 (undervalued band has no point-in-time history yet) · bought the day of the annual report, held 12 months
Probable Buy every company that met this screen on the day it filed its annual report, hold 12 months: on average it beat the S&P 500 by +17.1 pts (1,055 entries, 252 companies, very unlikely to be luck). 50% of entries beat the S&P; 29% beat it by 30 points or more; 31% trailed it by 20 points or more. Owning everything instead averaged +1.7 pts, so the screen's edge is +15.4 pts.
+17.1 ptsvs S&P, average
50%beat the S&P
29%up 30+ pts vs S&P
31%down 20+ pts vs S&P
+18.2 ptsvs small caps, 12 mo
−13.8 pts 2019worst year to buy ?
6.3luck check ?
Does the holding period matter?3 mo: +2.8 pts 47% beat6 mo: +6.7 pts 49% beat12 mo: +17.1 pts 50% beat24 mo: +31.3 pts 47% beat3 yr, per yr: +3.4 pts 41% beat
Market state at entryCompany-yearsvs S&P 12 movs small caps
Calm ◀ today913+11.0 pts t 5.0+13.2 pts
Sell-off (S&P ≥10% off high)142+56.1 pts t 4.1+50.5 pts
Sector (SEC group)nvs S&P 12 mo3 yrs / yr
Industrials & manufacturing396+15.4 pts t 4.1−1.4 pts
Tech hardware & semis87+11.0 pts t 1.3+4.3 pts
Other86+11.6 pts t 1.9+6.9 pts
Services75+12.7 pts t 2.3+13.0 pts
Retail & consumer70+18.8 pts t 2.0+12.3 pts
Energy53+22.1 pts t 1.7−0.8 pts
Construction49+14.4 pts t 1.7−2.5 pts
Finance & real estate43−5.6 pts t -1.0−7.6 pts
Biotech & pharma39+60.4 pts t 1.8+12.2 pts
Software & IT services35+39.9 pts t 1.8+1.2 pts
Medical devices25+17.3 pts t 1.0+21.1 pts

Holds up out of sample? Before 2018: +13.5 pts (n 466, t 6.0). From 2018: +19.9 pts (n 589, t 4.4). Same sign in both halves.

Year2010201120122013201420152016201720182019202020212022202320242025
vs S&P+17 pts+8 pts+15 pts+22 pts+0 pts−1 pts+25 pts+15 pts−0 pts−14 pts+106 pts+6 pts+16 pts−7 pts−6 pts+19 pts
n62480826067876053741045055808984

Read the research behind this screen: Cheap small caps on book value: the widest spread in our data → · Test your own combination in the Screen Lab →

Our model values are recomputed daily but were never stored historically, so this band cannot be backtested honestly yet. Daily snapshots began 2026-09-10; a true record accrues from there. Until then the nearest tested cousin is shown — cheap on book value — and labelled as a proxy. Point-in-time: each entry is one company bought at the first close after its 10-K filing date, using only filings available that day, held 12 months; result = total return minus SPY over the same months (vs IWM for 12 months; 3-yr annualised). Survivorship-tilted universe; no costs; read spreads, not levels. Educational, hypothetical, before costs.

Open the screen with today's names →Test your own combination
Where it does not apply
The universe is survivorship-tilted, so the levels are flattered; the spread is the finding. Cheap-on-book includes companies whose book is about to be written down — pair it with the distress checks.

SAVNG is an educational research publication, not a Registered Investment Adviser. Everything here is general-circulation information produced by an automated pipeline — the same for every reader — and is not personalized investment advice, an offer, or a recommendation to buy or sell any security. Any performance figure is hypothetical; past performance does not predict future results. Details.

Published by SAVNG Research. Every figure on this page is read from the study data at render time; if the study changes, the page changes with it.

← All research