FindingSAVNG Research · September 10, 2026

Price-to-book still sorts, across all sizes

The claim. If you had bought the fifth of companies that scored best on price to book (all caps) at each annual report, 2010 to 2025, and held for a year, you would have beaten the S&P 500 by +10.4 pts on average (very unlikely to be luck) and the worst-scoring fifth by +11.6 pts; against small caps the gap was +11.0 pts. Bought during a sell-off the best fifth returned +40.5 pts (189 cases). Measured on 7,684 company-years across 596 companies.

The oldest value signal there is. Ranking non-financials by price-to-book each year, the cheapest fifth beat the most expensive fifth over the following twelve months in most years, with the edge concentrated in sell-offs.

How we tested it
  • Universe: 657 U.S. companies with ten-plus years of prices (8,703 company-years). Non-financials with positive book value. 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)+10.4 pts n 1,543 · median −1.1 ptsQ2−1.7 pts n 1,536 · median −6.2 ptsQ3−0.1 pts n 1,538 · median −4.4 ptsQ4−0.9 pts n 1,536 · median −4.6 ptsQ5 (worst)−1.2 pts n 1,531 · median −5.9 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)+40.5 pts n 189+0.7 pts+39.7 pts
Calm+6.2 pts n 1,354−1.4 pts+7.6 pts
Does it apply to your sector?
Sector (SEC group)Company-yearsBest fifth, 12 moWorst fifthSpreadRead
Industrials & manufacturing2,432+9.5 pts n 478−0.2 pts+9.6 ptsSorts well
Services682+11.3 pts n 104−5.6 pts+16.9 ptsSorts well
Tech hardware & semis644+8.9 pts n 123−0.4 pts+9.3 ptsSorts well
Retail & consumer544+15.5 pts n 105−1.2 pts+16.7 ptsSorts well
Energy480+6.2 pts n 149−10.7 pts+16.9 ptsSorts well
Other380+7.0 pts n 131−0.5 pts+7.4 ptsSorts well
Biotech & pharma364+45.6 pts n 43+4.0 pts+41.7 ptsSorts well
Utilities354+6.2 pts n 73−24.2 pts+30.4 ptsSorts well
Medical devices345+12.5 pts n 31−6.3 pts+18.8 ptsSorts well
Finance & real estate340−1.7 pts n 76−7.8 pts+6.1 ptsSorts well
Software & IT services262+35.7 pts n 37+3.5 pts+32.2 ptsSorts well
Construction187+10.6 pts n 54+27.5 pts−16.9 ptsDoes not sort
Transport & logistics158+7.2 pts n 27−0.8 pts+8.0 ptsSorts well
Food, drink & tobacco145+7.5 pts n 20−2.0 pts+9.5 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: Price-to-book ≤ 1.00 · bought the day of the annual report, held 12 months
Robust 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 +15.8 pts (988 entries, 251 companies, very unlikely to be luck). 51% of entries beat the S&P; 27% beat it by 30 points or more; 29% trailed it by 20 points or more. Owning everything instead averaged +1.7 pts, so the screen's edge is +14.1 pts.
+15.8 ptsvs S&P, average
51%beat the S&P
27%up 30+ pts vs S&P
29%down 20+ pts vs S&P
+17.0 ptsvs small caps, 12 mo
−14.3 pts 2019worst year to buy ?
6.0luck check ?
Does the holding period matter?3 mo: +3.4 pts 50% beat6 mo: +6.1 pts 51% beat12 mo: +15.8 pts 51% beat24 mo: +30.5 pts 48% beat3 yr, per yr: +4.0 pts 42% beat
Market state at entryCompany-yearsvs S&P 12 movs small caps
Calm ◀ today855+10.4 pts t 4.9+12.5 pts
Sell-off (S&P ≥10% off high)133+50.6 pts t 3.7+46.1 pts
Sector (SEC group)nvs S&P 12 mo3 yrs / yr
Industrials & manufacturing314+14.3 pts t 3.6+0.1 pts
Other91+10.4 pts t 1.9+5.3 pts
Energy85+14.3 pts t 1.6−3.4 pts
Tech hardware & semis82+13.0 pts t 1.4+2.5 pts
Services65+16.5 pts t 2.9+16.1 pts
Retail & consumer56+27.9 pts t 2.4+15.6 pts
Finance & real estate46+0.3 pts t 0.1+2.7 pts
Construction41+12.4 pts t 1.6+0.6 pts
Utilities41+11.2 pts t 0.8−2.0 pts
Telecom & media36+20.7 pts t 0.9−2.8 pts
Biotech & pharma34+62.0 pts t 1.6+26.7 pts
Software & IT services28+19.7 pts t 2.1+3.0 pts

Holds up out of sample? Before 2018: +14.2 pts (n 437, t 6.1). From 2018: +17.2 pts (n 551, t 3.9). Same sign in both halves.

Year2010201120122013201420152016201720182019202020212022202320242025
vs S&P+12 pts+5 pts+17 pts+25 pts+1 pts−3 pts+26 pts+15 pts−2 pts−14 pts+95 pts+16 pts+17 pts−13 pts−7 pts+26 pts
n17348364455880565572914450738977

Read the research behind this screen: Price-to-book still sorts, across all sizes → · Test your own combination in the Screen Lab →

Non-financials with positive book value. 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
Book value is least meaningful for asset-light businesses (software, brands); the sector table says where the sort works.

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