Evidence: every screen on the site, compared on one yardstick
Top fifth minus bottom fifth, twelve months ahead, versus the S&P 500 and small caps, with the market-state split, for every factor we screen on. The Screen Lab lets you test any other combination the same way.
- Universe: 657 U.S. companies with ten-plus years of prices (8,703 company-years). All factors, every screen.
- 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.
| Screen | Company-years | Best fifth vs S&P | Worst fifth | Spread vs S&P | Spread vs small caps | Spread, 3 yrs / yr | Where it lives |
|---|---|---|---|---|---|---|---|
| Dividend yield | 5,001 | +4.3 pts | −2.4 pts | +6.7 pts | +6.1 pts | +4.5 pts | Screen → |
| Price to book (all caps) | 7,684 | +10.4 pts | −1.2 pts | +11.6 pts | +11.0 pts | +4.1 pts | Screen → |
| Price to book, small caps (< $2B) | 3,541 | +18.7 pts | +0.8 pts | +17.9 pts | +17.6 pts | +11.3 pts | Screen → |
| Piotroski F-score (quality) | 7,836 | +0.4 pts | +3.4 pts | −3.0 pts | −2.7 pts | −0.5 pts | Screen → |
| Insider buying in the prior 6 months (opportunistic buys, count) | 8,703 | +4.6 pts | +0.6 pts | +4.1 pts | +4.1 pts | +1.0 pts | Screen → |
| NCAV / price (net-nets) | 5,065 | +8.2 pts | +6.6 pts | +1.6 pts | +1.3 pts | −3.4 pts | Screen → |
| Owner-earnings 10-yr IRR (equity bond) | 13,036 | +0.4 pts | −1.0 pts | +1.4 pts | — | −1.6 pts | Screen → |
Insider buying is measured on a different clock (63 trading days, versus small caps) and sits in its own pieces. Same universe caveats throughout.
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.