We have completed 8-year backtests on the Price/Book or "Book Value" and P/E strategies of purchasing the JSE's lowest Price/Book and PE ratio stocks. The backtests includes a detailed analysis of the effectiveness of the two strategies. We have also created a "Backtest Dashboard" that shows the strategies with the best back-tested performance. So far a Price/Book, two PE and one Piotroski strategy are in the dashboard.
This is ongoing work requiring analysis of mountains of data. We will continue to extend these tests further back in time to give you more confidence as to the effectivenes of the strategies they represent and to better understand their long term characteristics.
Our next backtest will be the Price/Sales ratio, made famous by O'Shaughnessy's "What works on Wall Street". We expecto to publish this research about early May.
The backtests are all available from the RESEARCH main menu.