MAVI is an equity valuation framework that combines earnings yield, public-float accessibility, and tradable market depth in a single score. Developed by Dr. Mohamed Elrefai.
Traditional value indices treat every share equally. MAVI adjusts for what actually matters.
The inverse of the P/E ratio — how much earnings you get for each dollar invested. This is the primary value signal and carries the most weight in the composite score. A P/E of 10 yields 10% earnings yield; a P/E of 50 yields just 2%.
The ratio of publicly traded shares to total shares outstanding. A company with 10% float receives a 90% penalty — because prices discovered among tiny floats are less trustworthy signals of fundamental value.
Log-scaled tradable market capitalization that rewards genuine institutional liquidity without allowing mega-caps to dominate. The difference between a $10B and $100B float is just one point, giving small- and mid-caps a fair chance.
For each S&P 500 constituent, aggregate the four most recent reported quarterly EPS figures from SEC filings — using strictly point-in-time data to eliminate look-ahead bias.
P/E = Price ÷ TTM EPS. Stocks with negative earnings or P/E > 500 are excluded from the universe. These are incompatible with a value-based framework.
MAVI = (100 ÷ P/E) × (Float ÷ Total Shares) × log₁₀(Float × Price). Every qualifying stock receives a single composite score reflecting cheapness, accessibility, and depth.
All qualifying stocks are ranked by MAVI score descending. The top quintile (top 20%) forms the portfolio — equal-weighted to prevent any single name from dominating.
Portfolio is rebalanced on the first trading day of January, April, July, and October. The universe is refreshed to current S&P 500 constituents at each rebalancing.
The portfolio is held until the next rebalancing date. Performance is tracked against an equal-weighted S&P 500 benchmark using price-only returns.
Comprehensive empirical validation from January 2021 through June 2026, covering 236 S&P 500 stocks across 22 quarterly rebalancing periods.
| Year | MAVI | S&P 500 EW | Excess | Market Context |
|---|---|---|---|---|
| 2021 | +25.7% | +27.3% | −1.6% | Growth / tech rally |
| 2022 | +4.9% | −0.2% | +5.2% | Broad market selloff; value outperforms |
| 2023 | +7.1% | +14.9% | −7.8% | AI-driven tech resurgence |
| 2024 | +21.1% | +24.8% | −3.7% | Continued growth dominance |
| 2025 | +24.0% | +15.2% | +8.8% | Value rotation amid rate stabilization |
| 2026 H1 | +8.0% | +8.3% | −0.3% | Broad market rally |
Price-only returns. Dividends not reinvested. Past performance does not guarantee future results.
MAVI is a research equity valuation index developed by Dr. Mohamed Elrefai. It is not an investment recommendation, financial advice, or a solicitation to buy or sell any security. Backtested performance is hypothetical, based on historical data, and does not represent actual trading. Results are subject to survivorship bias and other methodological limitations detailed in the full research papers. Past performance does not guarantee future results. No strategy can eliminate the risk of loss. Always consult a qualified financial adviser before making investment decisions.