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backtests
The same revenue-leadership strategy on Indian markets (BSE + NSE) returned 11.88% CAGR over 24 years, beating SPY by 2.98% annually. India is the one major market where revenue leaders genuinely outperform.
sector rotation
We ran sector momentum rotation on 14 stock exchanges. 13 of 14 beat SPY. Korea, India, and Canada lead. Switzerland is the only market that fails, and the reason reveals when momentum stops working.
backtests
We ran the yield gap strategy across 20 equity markets from 2000 to 2025. Four markets outperformed SPY — UK (+4.19%), India (+3.45%), Sweden (+2.84%), Canada (+1.98%). Sixteen underperformed, with Korea at the bottom (-4.92%).
backtests
We screened for US stocks where earnings yields significantly exceed government bond rates and ran the backtest from 2000 to 2025. The strategy delivered 8.60% CAGR vs 7.64% for SPY, with notably better bear market behavior.
backtests
We tested the yield gap strategy on London Stock Exchange stocks from 2000 to 2025. The UK delivered 11.83% CAGR vs 7.64% for SPY — the highest excess return across all 20 markets in our study.
backtests
We ran the yield gap strategy on Stockholm Stock Exchange stocks from 2000 to 2025. The result: 10.48% CAGR vs 7.64% for SPY (+2.84% excess), with a 64% annual win rate against SPY.
backtests
India's high risk-free rate (6.5%) sets a strict 9.5% earnings yield threshold for the yield gap screen. Despite that filter, BSE/NSE stocks returned 11.09% CAGR vs 7.64% for SPY over the 20-year invested period.
backtests
The yield gap strategy on TSX stocks returned 9.63% CAGR vs 7.64% for SPY over 25 years. The standout stat: a down-capture ratio of just 3.52%, meaning the portfolio barely fell when SPY sold off.
P/E compression
We tested a P/E compression mean reversion screen on 25 years of US stock data. Buy when current P/E drops 15% below its 5-year average with quality filters. The strategy returned 9.97% annually vs 7.64% for SPY, with 2.32% excess return and favorable downside protection.
P/E compression
We tested P/E compression mean reversion on 25 years of UK stock data from the London Stock Exchange. The strategy returned 9.02% annually (GBP-denominated) vs 7.64% for SPY, with 1.38% excess return and exceptional downside protection at 60% down-capture.
value investing
We ran our P/E compression screen on the London Stock Exchange for the first time: 25 years of data, 2000-2025, annual rebalancing. The strategy returned 9.02% annually vs 7.64% for the S&P 500. The outperformance is +1.38% per year. The more interesting number: during
P/E compression
We tested P/E compression on 25 years of Thai stock data. The strategy returned 7.87% annually vs 7.64% for SPY, with only 0.23% excess return and 28% cash periods. A marginal result that shows the strategy's limitations in smaller emerging markets.