Value Factor — US

10 value ratios & composites, history since 2003

product_id value_factor_us · 4800+ stocks · daily refresh · since 2003-01-01 · 10 data columns · API/CSV

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Overview

Factor Investing remains the go-to solution for many investors. While no single value metric is able to fully explain the long-term risk and return performance of equities, we aim to capture the return of factors which have demonstrated excess historical market returns.

Data Highlights

We do the leg work. We intake, calculate and process more data than humanly possible. This means you have more time and resources to manage wealth effectively and ultimately do more with less.
More data, more insights. Human analysts are forced to focus on a limited number of factors. We are able to manage all factors. By having access to more, you can discover previously hidden insights.
A 360-degree view. Are you looking at a particular time period? A particular sector? Our data is as wide as it is deep. We are able to provide a 360-degree view of the factors and can slide-and-dice the data according to your needs.

Performance

Statistics

Metric	Q1	Q2	Q3	Q4	Q5	Q6	Q7	Q8	Q9	Q10	SPY
CAGR	9.50%	9.46%	9.72%	8.97%	9.26%	10.24%	9.19%	10.40%	10.22%	14.20%	9.37%
Cumulative Return	762.27	754.98	804.61	670.02	719.38	913.55	707.58	948.72	909.02	2240.68	678.46
Annual Volatility	18.51%	16.42%	15.37%	15.68%	16.90%	17.23%	17.20%	18.12%	21.29%	22.61%	14.47%
Sharpe	0.58	0.63	0.68	0.63	0.61	0.65	0.60	0.64	0.57	0.70	0.69
Calmar	0.17	0.18	0.19	0.20	0.18	0.18	0.16	0.19	0.17	0.27	0.18
Max Drawdown	-55.03%	-51.49%	-50.51%	-45.63%	-51.06%	-57.02%	-57.05%	-54.61%	-61.06%	-52.14%	-52.56%
Omega	1.56	1.64	1.68	1.63	1.64	1.69	1.63	1.67	1.62	1.82	1.68
Sortino	0.91	0.97	1.05	0.96	0.93	1.03	0.89	1.01	0.88	1.17	1.04
Skew	-0.10	-0.28	-0.33	-0.44	-0.38	-0.14	-0.75	-0.03	0.03	0.27	-0.61
Kurtosis	1.37	2.29	1.93	2.89	4.10	4.16	5.40	4.01	6.56	7.12	1.40
Tail	1.20	1.05	1.10	1.09	1.13	1.18	1.11	1.02	1.08	1.28	0.99
Value At Risk	-0.08	-0.07	-0.06	-0.07	-0.07	-0.07	-0.07	-0.08	-0.09	-0.09	-0.06
Alpha	1.44%	1.77%	2.45%	1.68%	1.57%	2.43%	1.52%	2.47%	1.54%	5.10%	0.00%
Beta	1.12	1.03	0.96	0.98	1.05	1.06	1.06	1.09	1.26	1.30	1.00

Data through 2026-10-26

Comparison

Statistics · Q1

Metric	VC 1	VC 2	VC 3	Earnings Yield	Buyback Yield	Shareholder Yield	Book to Price	Sales to Price	FCF to Price	EBITDA to EV
CAGR	9.50%	9.72%	10.07%	11.80%	9.45%	9.91%	8.30%	9.15%	9.87%	11.09%
Cumulative Return	762.27	806.07	875.75	1312.83	754.65	842.70	564.85	699.96	836.01	1116.59
Annual Volatility	18.51%	19.45%	19.07%	24.19%	20.15%	20.02%	19.57%	17.02%	21.96%	20.14%
Sharpe	0.58	0.58	0.60	0.58	0.55	0.57	0.51	0.60	0.54	0.62
Calmar	0.17	0.17	0.17	0.18	0.15	0.17	0.14	0.18	0.14	0.18
Max Drawdown	-55.03%	-57.14%	-58.27%	-65.49%	-61.91%	-59.48%	-58.60%	-49.86%	-69.06%	-61.86%
Omega	1.56	1.56	1.60	1.64	1.57	1.58	1.53	1.59	1.55	1.63
Sortino	0.91	0.91	0.95	0.96	0.85	0.91	0.80	0.94	0.85	0.99
Skew	-0.10	-0.01	0.01	0.31	-0.09	0.01	0.13	-0.04	0.09	-0.06
Kurtosis	1.37	1.42	1.49	4.70	3.46	2.56	5.14	1.63	4.12	1.70
Tail	1.20	1.05	1.03	1.21	0.97	1.03	1.21	1.10	1.04	1.19
Value At Risk	-0.08	-0.08	-0.08	-0.10	-0.09	-0.09	-0.08	-0.07	-0.09	-0.09
Alpha	1.44%	1.40%	1.80%	2.26%	0.78%	1.27%	0.22%	1.60%	1.05%	2.38%
Beta	1.12	1.17	1.15	1.42	1.23	1.22	1.16	1.03	1.29	1.22

Data through 2026-10-26

Data

Value Factor scores are available for all the tradable stock equities on the US stock exchanges, including major securities markets such as NYSE, Nasdaq and Dow Jones Industrial.

Coverage · top 10 sectors

Sector	Count	Type	Start date
Finance	1,118	Equities	2003-01-01
Health Technology	759	Equities	2003-01-01
Technology Services	388	Equities	2003-01-01
Electronic Technology	384	Equities	2003-01-01
Producer Manufacturing	301	Equities	2003-01-01
Consumer Services	279	Equities	2003-01-01
Non-Energy Minerals	234	Equities	2003-01-01
Commercial Services	219	Equities	2003-01-01
Energy Minerals	217	Equities	2003-01-01
Industrial Services	189	Equities	2003-01-01

Delivery & access

Value factors are calculated daily for thousands of stocks This data is available via API and CSV download.

Sample data

Documentation

Approach

Systematic value investors face many options when it comes to choosing which value metric to utilize when constructing portfolios. Building on the foundation of commonly used value factors, we also have added composite factors, using a multi-metric approach, to our comparison. For the sakes of this analysis, our composite factors are labelled VC1, VC 2 and VC3. These composite factors include different combinations of the aforementioned ratios. This is largely to accommodate for different investment strategies, especially if targeting specific sectors in specific regions.

Factors evaluated

The individual and composite factors considered include:

·Earnings Yield

·Buyback Yield

·Shareholder Yield

·Book to Price

·Sales to Price

·Free Cashflow (FCF) to Price

·EBITDA/Enterprise Value (EBITDA/EV)

·VC1 (Value composite Factor 1)

·VC2 (Value composite Factor 2)

·VC3 (Value composite Factor 3)

Methodology

The portfolios are constructed by selecting the top 10% of the universe. The universe is the largest 500 US equities by market capitalization, and is ranked from high to low by value factors. The portfolio is re-rebalanced monthly, with 20 basis points as costs per transaction. Market cap weighting is used here.

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