The overview showed the machine works and buys familiar stocks. The teardown asks whether all that machinery earned its keep.

Start with the blunt comparison. A single cheapness number, our Acquirer's Multiple test, made about 20% a year. This six metric composite made about 22 to 23%. So all the extra machinery bought you two or three points, real but hardly transformational. The more interesting difference is not in the average. It is in what you were allowed to do with it.

Here, unusually, concentration actually paid

Pure deep value punishes conviction: in the Acquirer's Multiple, squeezing into the ten cheapest names lowered your return. This composite did the opposite. The tightest ten stocks earned the most, about 25% a year, more than the broad decile. That is the momentum tie breaker earning its place: by favouring cheap stocks that were already turning up, it filtered out the value traps that sink a concentrated deep value book. The sophistication did not raise the average much, but it made the strategy safe to concentrate, which one cheapness ratio never was.

A small cap value tilt, with genuinely large alpha

Strip the name off and it is, like most of these, a smaller company tilt, tracking a broad equal weight index at about 0.93. But the excess it added on top was among the biggest we have measured, roughly 8% a year over that closest index. This is not merely repackaged beta. The combination of deep value and a momentum filter genuinely picked better than the index it resembled, and did so consistently, beating the market in more than nine of ten five year windows.

But it still runs on the economic cycle

For all its refinement it remains a cheap, cyclical basket, and so it lives and dies by the macro tide. When growth was expanding its median month was strong; when growth slowed it barely cleared zero. Momentum sharpens the selection, but it cannot change the fact that you own energy, metals and materials, and those need a growing economy to re rate. Sophistication in the screen does not buy independence from the cycle.

What the machinery actually bought you

Here is the honest reckoning. Trending Value did not beat simple cheapness by a landslide on the average, and it landed you in the same unloved corner of the market. What the eleven rules genuinely added was the momentum referee, and that was worth having: it let you concentrate where plain value could not, and it lifted the alpha to among the best in the series. Complexity, used well, did not replace the simple idea underneath. It sharpened it into something you could actually hold with conviction, which is a real and underrated kind of progress.

What it held, and the worst it would have handed you

Two last checks make the risk concrete: what the basket was actually made of, by company size, and, instead of the single drawdown path, the worst fall you would have suffered no matter which month you started and held for five years.

So we took it to Krest, and ran it through the whole test.