Three Factor Backtest

Capstone’s Proprietary Research

Using a Bloomberg 3-factor backtest shows that small-size, high-margin, low-PE stocks outperformed larger, lower-margin, high-PE stocks over the last 20 years by 8.29% per year on average.

Supporting Academic Research
This research is further validated by the Harvard Business School paper, Optimal Tilts: Combining Persistent Characteristic Portfolios. Click here to read the research.