Three of 4 Stock Formulas Beat Market From 2000 to 2022, Led by 2.2% Annualized Edge
Updated
Updated · Forbes · Jun 21
Three of 4 Stock Formulas Beat Market From 2000 to 2022, Led by 2.2% Annualized Edge
1 articles · Updated · Forbes · Jun 21
Summary
A long-run test of four stock-picking formulas found three delivered sizable annualized outperformance versus the market in investor-implementable top-40 portfolios from 2000 to 2022.
The strongest result came from Acquirer’s Multiple, which beat its benchmark by 2.2% a year, while F-Score and Magic Formula also outperformed and the Conservative Formula lagged slightly but with lower volatility and drawdowns.
Across the broader 1963-2022 sample, all four formulas showed better returns as rankings improved, with top-decile stocks meaningfully beating bottom-decile names and top portfolios outperforming the market.
That excess return came with sharp tracking risk: the long-term winners had higher volatility and deeper drawdowns than the market, and Acquirer’s Multiple posted a 12.4% tracking error, implying swings of about 24.8 percentage points versus the index in a normal year.
The study argues value and profitability—plus momentum in one formula—remain durable drivers, even as Russell 2000 companies with negative earnings have outperformed profitable peers since early 2025.