Can Math actually beat the Casino? Backtested a Fundamental Model (2020-2025) and it’s crushing the S&P.
You’ve all heard the story about the monkey throwing darts beating Wall Street pros. Honestly, on days like today—with tariffs and geopolitical chaos making the charts look like a heart attack—the monkey looks like a genius.
But as someone with a background in Mathematics and Mathematical Finance, I wanted to see if we could do better than a primate with a dartboard. I built a **"Fundamental Scoring Model"** to see if systematic data can actually outperform the absolute noise of the current market.
**The Backtest**
I ran this from 2020 through the end of 2025 using Point-in-Time (PIT) data. This is crucial because it accounts for earnings lags and avoids that "look-ahead bias" that makes most fake gurus look like gods.
|**Period**|**My Portfolio Return**|**S&P 500 Return**|
|:-|:-|:-|
|**2020–2025**|**+253.51%**|\+108.00%|
|**2021–2025**|**+149.02%**|\+83.00%|
|**2022–2025**|**+104.47%**|\+46.00%|
|**2023–2025**|**+116.16%**|\+75.00%|
**Stats:** The model maintained a **90% "win rate"** (profitable tickers). Even in the 2022 bloodbath, the portfolio stayed green (+18%) while the S&P 500 got nuked (-17%).
**Case Study: Amazon ($AMZN) Fair Value Analysis**
Everyone is panicking about Amazon’s $200B AI capex plan, but the model flags this as a classic "irrational sell-off." Here is the current fundamental breakdown:
* **Weighted Average Fair Value:** **$241.26**
* **Current Price:** **\~$204.79**
* **Total Upside:** **+17.81% (Undervalued)**
**How we get there (Individual Valuation Methods):**
* **Discounted Cash Flow (DCF):** $272.23 (The model sees high terminal value in AWS).
* **Trading Multiples (P/E):** $251.03
* **Peter Lynch Fair Value:** $200.53
**The Methodology (The Pillars)**
The model weighs four pillars:
1. **Financial Health:** FCF yield, Debt-to-Equity, Earnings... (filters out the "zombie" companies).
2. **Competitive Position:** Industry-specific moat analysis.
3. **Macro Risk:** Sensitivity to current high-rate/tariff environments.
4. **Risk-Adjusted Returns:** Expected Sharpe ratio performance.
**The Reality Check**
Is this level of outperformance sustainable, or am I just a lucky monkey? I know the last 5 years were a wild bull run for tech, and I'm currently refining the model to handle deeper bear cycles.
I’m happy to share the raw logic or discuss specific entry/exit parameters in the comments—I just want to see if the math holds up to the "sanity test" of this sub.
**TL;DR:** Backtested a fundamental model from 2020-2025. Beat the S&P 500 in every window with a 90% win rate. Data says **$AMZN** is a massive value play right now. Is value king again, or am I missing a key risk?
