The Market-Adjusted Value Index (MAVI): A Float-Adjusted, Earnings-Weighted Equity Valuation Index
Introduces the MAVI framework integrating three dimensions of a stock's investability: earnings cheapness (via earnings yield), market honesty (via float ratio), and liquidity depth (via log-scaled float market capitalization). Presents the full formula, component rationale, edge case handling, rebalancing protocol, and aggregate backtest results over the 2021–2026 period. The MAVI top-quintile portfolio delivers a cumulative return of +129.1% vs +127.1% for the benchmark, with superior downside protection in bear markets.
The Market-Adjusted Value Index (MAVI): Comprehensive Backtest Validation, 2021–2026
A detailed empirical validation of the MAVI strategy covering 236 S&P 500 stocks across 22 quarterly rebalancing periods. Reports the full period-by-period log, factor exposures, concentration analysis, and risk decomposition. Key findings include a down-market capture ratio of 84.0%, average portfolio P/E of 9.2× (roughly 40% of the market multiple), and a gain-to-pain ratio of 1.07× with a 50% quarterly hit rate. Concludes that MAVI represents a sound, defensible value index with empirical evidence of downside protection and structural alpha generation.
⚠ Research & Investment-Risk Disclaimer
The publications on this page are for informational and educational purposes only. They do not constitute investment advice, a recommendation to buy or sell any security, or a solicitation of any kind. Backtested results are hypothetical and may not reflect actual trading outcomes. Past performance does not guarantee future results. See the full research papers for detailed methodology and limitations.