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P/E compression
P/E compression on UK stocks returns 9.72% annually (GBP) vs 0.86% for the FTSE 100, with 8.86% excess return. The FTSE 100 has been a weak benchmark over 25 years. The strategy also beats SPY at 2.08% excess.
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 9.92% annually vs 7.64% for SPY, with 2.28% excess return and favorable downside protection.
sector rotation
Sector mean reversion on TSX large caps from 2000 to 2025: 8.41% CAGR vs 8.02% S&P 500. The strategy barely edges SPY (+0.38% annually in CAD) but with extreme volatility. 2013 excess was -48.61%, 2015 was -28.37%, 2016 was +37.26%. Energy drives most of the variance.
sector rotation
Same sector mean reversion strategy across 14 exchanges. vs local benchmarks: Sweden +9.01%, Taiwan +8.97%, UK +7.86%, Korea +7.33% excess CAGR. Germany is the only market that fails to beat its local index (-0.59%). The benchmark matters.
sector rotation
Sector mean reversion on XETRA large caps from 2000 to 2025: 4.82% CAGR vs 8.02% S&P 500. The strategy fires consistently (101 of 104 quarters) but underperforms by -3.20% annually. Consumer Defensive and Utilities dominate selection. Export-led sector structure explains the failure.
sector rotation
Sector mean reversion on HKSE large caps from 2000 to 2025: 6.51% CAGR vs 8.02% S&P 500. 2009 was +105.53%. 2023 was -15.66% vs SPY +26%. Extreme year-to-year variance with -1.51% average annual underperformance.
sector rotation
Buying the two most out-of-favor sectors on NSE each quarter returned 13.48% annually over 26 years, +2.23% above Sensex. The cost: a -72.65% max drawdown and 38% annualized volatility that tests any strategy's durability.
sector rotation
Sector mean reversion on JPX large caps from 2000 to 2025: 7.12% CAGR vs 8.02% S&P 500. Near-breakeven (-0.91%) with Sharpe 0.337 (better than US 0.319 due to near-zero Japanese risk-free rate) and 57.7% down capture. Utilities selected 41% of quarters. Fukushima created persistent Utilities...
sector rotation
Korea's sector mean reversion produced 14.65% CAGR over 26 years with a Sharpe of 0.466 and max drawdown of -37.4% — beating SPY on returns, risk-adjusted performance, and drawdown simultaneously. The standout metric: 36.7% down capture.
sector rotation
Sweden's sector mean reversion returned 12.63% annually over 26 years with a 57.7% win rate against SPY — the highest in the top five exchanges. The tradeoff: a down capture of 109.6% and a max drawdown of -62.3%.
sector rotation
We tested buying the bottom 2 sectors by 12-month return on US large caps, quarterly, from 2000 to 2025. The result: 10.63% CAGR vs 8.02% for the S&P 500, a 1282% total return, and a 55.8% quarterly win rate over 104 periods.
sector rotation
Sector mean reversion on SIX large caps from 2000 to 2025: 4.51% CAGR vs 8.02% S&P 500. The worst excess return in this study at -3.51% annually. Consumer Cyclical and Healthcare dominate selection. Swiss market structure makes mean reversion structurally unreliable.