A student-run investment fund combining rigorous analysis, innovative thinking and a long-term perspective.
See how your investment could grow with our portfolio based on historical performance.
Data-driven investment decisions
A sustainable and consistent approach
Passionate and multidisciplinary
A focus on real-world value
SAMCO Partners is a student-run investment fund, designed to generate sustainable performance while fostering a deeper understanding of the financial markets. Our Conditional Small Value strategy combines Fama-French factor research with a systematic timing signal to capture the value premium when conditions are favourable.
"Disciplined investing today for a brighter tomorrow."
A factor-based ETF allocation, built on Fama-French research and a systematic value-timing signal.
We target small-capitalisation stocks, which have historically earned a premium over large caps.
We favour cheap, high book-to-market stocks β the value premium documented by Fama & French.
Trailing 12-month HML tells us when to deploy the factor β and when to fall back to diversification.
January 2007 β June 2026 Β· 234 months Β· Benchmark: S&P 1500 Composite
Growth of an index based at 100 in December 2006.
| Metric | P1 CAPM | P2 Foresight | P3 SV Cond. | P4 Equal Wt | S&P 1500 |
|---|---|---|---|---|---|
| Annual return | 7.68% | 11.47% | 8.52% | 6.95% | 8.90% |
| Volatility | 19.79% | 16.61% | 15.35% | 12.90% | 15.68% |
| Sharpe ratio | 0.40 | 0.65 | 0.51 | 0.47 | 0.53 |
| Skewness | -0.50 | -0.27 | -0.28 | -0.65 | -0.58 |
| Kurtosis | 2.84 | 4.70 | 2.03 | 1.96 | 1.15 |
| Tracking error | 7.93% | 11.82% | 6.18% | 4.30% | β |
| Treynor ratio | 0.0673 | 0.1383 | 0.0869 | 0.0753 | 0.0826 |
| Jensen's alpha | -1.78% | 4.33% | 0.39% | -0.58% | 0.00% |
| Information ratio | -0.05 | 0.21 | -0.07 | -0.52 | 0.00 |
| Beta (market) | 1.17 | 0.78 | 0.90 | 0.80 | 1.00 |
| Worst month | -24.67% | -24.67% | -15.49% | -15.49% | -17.46% |
| Best month | 19.75% | 19.75% | 17.55% | 10.80% | 12.76% |
| $1 invested | $4.24 | $8.31 | $4.92 | $3.71 | $5.28 |
| Ξ² RMRF (FF5) | 1.051 | 0.678 | 0.835 | 0.777 | 0.996 |
| Ξ² SMB (FF5) | 0.382 | 0.429 | 0.238 | 0.100 | -0.057 |
| Ξ² HML (FF5) | 0.319 | 0.245 | 0.177 | 0.058 | 0.036 |
| Ξ² RMW (FF5) | -0.028 | 0.189 | 0.062 | 0.123 | 0.052 |
| Ξ² CMA (FF5) | 0.033 | -0.067 | 0.100 | 0.079 | 0.023 |
| Alpha FF5 (ann.) | -2.32% | 3.75% | -0.60% | -2.18% | -2.11% |
| RΒ² (FF5) | 95.0% | 64.2% | 90.1% | 95.7% | 99.8% |
Annualized return by market regime β P3 vs S&P 1500.
Three episodes where the regime rule was tested: a crash followed by a value-led rebound, a rebound the signal deliberately sat out, and a rate shock. All figures are the actual out-of-sample monthly returns.
Defensive through the crash, offensive through the recovery.
The signal stayed defensive, and it cost relative performance.
Trailing HML was β7.9% then β34.9% β its worst reading in the whole sample. The rule kept the portfolio in Equal Weight, so it never took the small-value bet into a rally led by mega-cap growth. The signal was not wrong about the factor: value genuinely did not pay. Staying neutral is what the discipline costs, and what it is for.
Value came back, and the portfolio was already positioned.
HML entered 2022 at +21.4%, so Small Value mode was already active when rates rose. Energy β the deepest value exposure in the eligible set β carried the portfolio through a year the benchmark lost nearly a fifth of its value.
The rule does not predict rebounds. It reads whether the value premium is currently being paid, and positions accordingly. In 2009 and 2022 that put the portfolio on the right side of the move. In 2020 it kept it on the sidelines of a growth-led rally. Same rule, three different outcomes β which is precisely the cyclicality the strategy is built around.
"Better decisions today for a brighter tomorrow."
Explore how your investment could evolve over time, based on our portfolio's historical performance and assumptions.
Based on 36-month rolling Fama-French regressions and 234 months of out-of-sample testing.
Every assumption, weight and metric is documented and reproducible in our Excel workbook.
No discretionary calls. The HML signal decides the regime, every year, without exception.
"Ideas become impact when driven by the right people."
Different backgrounds, a shared ambition: using finance as a lever for a brighter tomorrow.
We combine rigorous analysis, innovative thinking and a long-term perspective to build a high-performing and responsible portfolio.
SAMCO Partners is a student-run investment fund that combines rigorous factor research, a disciplined timing rule and a long-term perspective to build a transparent, rules-based portfolio.
Fama-French 5-factor regressions on 36-month rolling windows.
20 years of out-of-sample testing, annual rebalancing, no look-ahead.
Every weight, formula and metric is reproducible in our workbook.
"Investing is a lever for a better tomorrow."
We believe that education and real-world experience can go hand in hand to make finance more transparent, more rigorous and more evidence-based.
SAMCO Partners aims to show that a disciplined, factor-based process can be built, tested and defended from first principles β and that proving when a strategy does not work is as valuable as proving when it does.
Capturing the size and value premia documented since Fama & French (1992).
Bridging academic research and real-world portfolio construction.
We publish what the data shows, including where we underperform.
A two-regime strategy driven entirely by the Fama-French framework. The same model that selects our ETFs also tells us when to deploy them.
36-month rolling regression on each ETF, extracting Ξ²SMB and Ξ²HML.
Score = Ξ²SMB + Ξ²HML. Rank the eligible small/value ETFs.
Trailing 12-month HML > 0 β Small Value. < 0 β Equal Weight.
Hold the allocation for 12 months, then rebalance. No look-ahead.
5 ETFs at 20% each: IWM, IJS, IJT, MDY, XLE. Concentrated factor exposure when the value premium is paying off. Portfolio Ξ²SMB = 0.74, Ξ²HML = 0.43 β both comfortably above the 0.3 threshold.
All 24 ETFs at 4.17% each. Maximum diversification across equities, fixed income, real estate and gold. No factor bet β the goal is to preserve capital when the signal isn't supportive.
8 years in Small Value mode (40%), 12 years in Equal Weight (60%). Current signal: +6.90% β Small Value active
Value stocks are cheap because they carry more economic risk β banks, energy, industrials. When investors turn risk-averse, they rotate into quality and growth, and the value premium turns negative. When confidence returns, those same discounted companies re-rate faster. The HML factor tracks this risk-appetite cycle directly, which is why we use it as our state variable rather than relying on a permanent value tilt.