> ## Documentation Index
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> Use this file to discover all available pages before exploring further.

# Benjamin Graham NCAV/MV Strategy

> A Graham-inspired net current asset value strategy for selecting balance-sheet-strong S&P 500 stocks.

## Introduction

The **Net Current Asset Value to Market Value** strategy, commonly known as the **NCAV/MV strategy**, is a classic deep-value approach associated with Benjamin Graham. Graham defined net current asset value as:

$$
NCAV = Current\ Assets - Total\ Liabilities
$$

On a per-share basis:

$$
NCAV\ per\ share = \frac{Current\ Assets - Total\ Liabilities}{Shares\ Outstanding}
$$

The strict Graham rule looks for companies trading below liquidation-style value, meaning:

$$
Market\ Value < NCAV
$$

or equivalently:

$$
NCAV/MV > 1.0
$$

The original strategy was designed for deep-value opportunities, typically among smaller companies. In the modern S\&P 500 universe, true NCAV stocks are rare because large-cap companies usually trade far above liquidation value. Therefore, this implementation uses a **Graham-inspired ranking approach**: select the S\&P 500 stocks with the highest NCAV/MV ratios.

## Procedure

The live strategy is implemented as an automated trading agent on **ALPACA\_PAPER**.

### Configuration

* **Venue:** ALPACA\_PAPER
* **Allocated capital:** \$1,000
* **Maximum drawdown limit:** 20%
* **Universe:** Current S\&P 500 constituents
* **Portfolio size:** Top 10 stocks
* **Weighting:** Equal-weighted
* **Rebalancing frequency:** Monthly
* **Selection metric:** Highest NCAV/MV ratio

### Monthly Process

1. Fetch the current S\&P 500 constituents.

2. Pull latest available fundamental data for each stock:
   * Current assets
   * Total liabilities
   * Basic shares outstanding
   * Market capitalization

3. Compute:

   $$
   NCAV = Current\ Assets - Total\ Liabilities
   $$

   $$
   NCAV/MV = \frac{NCAV}{Market\ Capitalization}
   $$

4. Exclude companies without meaningful current-assets data, primarily banks, insurers, REITs, and other financial firms where NCAV is not economically comparable.

5. Rank remaining stocks by NCAV/MV from highest to lowest.

6. Select the top 10 stocks.

7. Rebalance the portfolio to equal weights.

8. The strategy pauses automatically if drawdown exceeds the configured 20% maximum loss threshold.

## Results

### Historical Backtest Summary

The strategy was backtested on the S\&P 500 universe from 2020 to 2026 using the top 10 stocks by NCAV/MV ratio.

| Metric                | NCAV/MV Strategy | S\&P 500 / SPY |
| --------------------- | ---------------: | -------------: |
| Total Return          |          409.75% |        165.42% |
| Annualized Return     |           31.07% |         17.60% |
| Annualized Volatility |           28.71% |         17.82% |
| Sharpe Ratio          |             1.08 |           0.99 |
| Max Drawdown          |          -43.27% |        -25.36% |

### Live Strategy Snapshot

The most recent live screen found that no S\&P 500 stocks met Graham’s strict criterion of **NCAV/MV > 1.0**. The strategy therefore selected the highest-ranking stocks by NCAV/MV.

Recent top-ranked holdings included:

| Rank | Ticker | NCAV/MV |
| ---: | ------ | ------: |
|    1 | SMCI   |   0.292 |
|    2 | EPAM   |   0.202 |
|    3 | MRNA   |   0.182 |
|    4 | TTD    |   0.177 |
|    5 | CPRT   |   0.153 |
|    6 | COIN   |   0.138 |
|    7 | INCY   |   0.136 |
|    8 | XYZ    |   0.134 |
|    9 | REGN   |   0.110 |
|   10 | DECK   |   0.108 |

### Interpretation

The historical results were strong, with the NCAV/MV ranking strategy outperforming SPY over the test period. However, the strategy also had materially higher volatility and deeper drawdowns. This is consistent with a concentrated value-oriented portfolio.

The strategy is currently configured with a smaller live paper allocation of **\$1,000** and a **20% max drawdown limit**, which should help contain downside risk during adverse market environments.

## Conclusion

The implemented strategy is best understood as a **Graham-inspired large-cap balance-sheet value strategy**, not a pure Graham net-net strategy. In the modern S\&P 500, companies rarely trade below net current asset value, so the system ranks companies by relative NCAV strength rather than requiring strict liquidation-value discounts.

Key takeaways:

* The strict Graham criterion is rarely satisfied in the S\&P 500.
* The modified ranking approach historically produced strong returns from 2020 to 2026.
* The strategy tends to select companies with relatively strong current assets and lower liability burdens.
* The approach carries higher volatility and drawdown risk than SPY.
* The live agent trades through ALPACA\_PAPER with \$1,000 allocated and a 20% max drawdown limit.

This strategy may be most useful as a systematic balance-sheet-value sleeve within a broader portfolio, rather than as a standalone all-weather investment strategy.Written by SHUBHAM JAIN.............