Building CetaResearch. Data analysis for policy, research, and startups.
value-investing
Peter Lynch's PEG ratio underperforms the full US exchange universe by 1.2%/yr over 25 years. Here's what works, what doesn't, and why universe selection changes everything.
value-investing
India's DCF Discount strategy returned 11.70% CAGR over 25 years, barely edging out the Sensex at 11.49%. The alpha is essentially zero. The catch: a -64% max drawdown vs the Sensex's -38%. Here is the full data.
value investing
Sweden delivered the highest CAGR of any European market for DCF discount. Over 25 years, the strategy returned 12.04% CAGR vs 7.33% for SPY, with a 0.399 Sharpe and +4.71% annual excess return.
value investing
Korean stocks are famous for being cheap. The "Korea discount," the persistent gap between Korean equities and their global peers, has been discussed by analysts, academics, and fund managers for decades. Complex chaebol structures, weak corporate governance, and geopolitical risk all keep prices depressed. We ran our DCF
value investing
We ran the same DCF discount strategy across 16 global exchanges. Same signal, same model, same transaction costs, same 25-year window, but with per-exchange local currency market cap thresholds. Each exchange is benchmarked against its local index. Brazil topped the list at 18.05% CAGR (+9.47% excess vs Bovespa)
value-investing
Canada's TSX delivered 11.49% CAGR with zero cash periods over 25 years. The portfolio captured 128.73% of upside and only 20.4% of downside vs the TSX Composite. Max drawdown stayed at -30.12%. Full backtest results.
backtests
We screened every German stock on XETRA for discount to intrinsic value using a Gordon Growth Model and backtested from 2000 to 2025. The strategy returned 9.28% CAGR vs 4.51% for the DAX, with zero cash periods across all 25 years.
value investing
Australia's DCF discount screen returned 6.08% CAGR over 25 years, beating the ASX 200 by +2.41% annually. Max drawdown -62.36%, down capture 91.76%, 56% win rate. The A$500M threshold runs a concentrated 20-stock portfolio.
value investing
Brazil produced the highest CAGR of any market we tested for DCF discount. Over 25 years, SAO-listed stocks trading below intrinsic value returned 18.05% CAGR vs 8.58% for the Bovespa, with only -24.87% max drawdown. Returns are in BRL, with significant currency depreciation.
value investing
We screened every US stock for discount to intrinsic value using a Gordon Growth Model and backtested from 2000 to 2025. The strategy returned 8.59% CAGR vs 7.33% for the S&P 500, with 1.26% annual excess return. The edge is real but comes with higher volatility and deeper drawdowns.
value investing
We backtested Greenblatt's Magic Formula on Indian exchanges from 2000 to 2025. The strategy returned 24.25% annually vs 11.12% for the Sensex. $10,000 became $2.67M. Both returns in INR, so the 13.1% excess is a clean same-currency comparison.
value investing
We backtested Greenblatt's Magic Formula on the Jakarta Stock Exchange from 2000 to 2025. With a proper IDR 5T market cap threshold (~$310M USD), the strategy returned 7.15% annually, slightly below SPY. An earlier analysis using IDR 1B (~$65K USD) showed 19.58% CAGR, but that was micro-cap noise.