It made the most of anything we tested. The teardown asks whether the sophistication earned it, or the cheapness did.

Two comparisons frame everything. A single cheapness ratio, our Acquirer's Multiple, made about 20% a year. This six metric composite made 30%. And the same composite with a momentum filter added, our Trending Value, made 22%. So stacking cheapness metrics helped enormously, and refining them with momentum hurt. Sophistication, here, was good in one direction and bad in the other.

More cheapness metrics genuinely helped

Unlike some multi factor screens that dissolve into noise, this one sorted beautifully and concentration paid: the broad thirty and the tighter cuts all compounded in the high twenties, and the ranking stepped cleanly from expensive to cheap. Six independent measures of cheapness, averaged, cancelled out the flukes that trip up any single ratio, so the composite found genuinely, robustly cheap companies rather than accidentally cheap ones. The extra metrics were not decoration. They were diversification within the value signal itself.

A fierce small cap value tilt, with huge alpha

Strip the name off and it is a smaller company tilt, tracking a broad equal weight index at about 0.93. But the excess it added was the largest in this entire series, roughly 8% a year over that closest index, and it beat the market in nearly every five year window. This is not repackaged beta. It is a genuine, large, and durable value premium, harvested by buying the cheapest of the cheap without flinching.

And it lives entirely on the economic cycle

For all its sophistication it remains a cheap, cyclical basket, so it rises and falls with the economy. Its median month when growth was expanding was roughly five times its median month when growth slowed. Six metrics chose better cheap stocks; they did nothing to free the strategy from needing a growing India to pay off. This is the engine, and its fuel is the cycle.

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.

Buy cheap, six ways, and hold your nerve

The teardown lands on a clean rule. Layering measures of cheapness works, because it finds truer bargains; layering in momentum, at least here, did not. So the best version of this idea is the fierce, pure one: score cheapness every way you can, buy the cheapest broadly, and then do the only hard part, which is holding a portfolio of hated small companies through a near 70% fall. The metrics are easy. The nerve is everything, and it is the one thing no screen can supply.

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