Building CetaResearch. Data analysis for policy, research, and startups.
backtests
We ran the Graham Number screen on 13 exchanges over 25 years, each benchmarked against its local stock index. 10 of 13 beat their local benchmark. Sweden and Japan lead with +8.6% annual excess. Only India, Hong Kong, and the US underperformed their home market.
backtests
We ran the Graham Number screen on XETRA for 25 years. 7.14% CAGR vs 4.45% DAX, a +2.69% annual excess. Beta 1.028 vs the DAX, up capture 121.2%, down capture 87.9%, and alpha +2.62%. A genuine value edge over the local benchmark.
backtests
Japan produced strong results in our Graham Number backtest: 11.59% CAGR vs 2.95% for the Nikkei 225 over 25 years. +8.64% annual excess, 76% win rate, and 12.1% down capture vs the local index. Deep structural cheapness, Abenomics tailwinds, and TSE governance reforms all show up in the data.
backtests
Graham Number strategy on Nasdaq Stockholm returned 11.61% annually from 2000-2024, beating the OMX Stockholm 30 in 20 of 25 years. The 80% win rate is the highest of 13 exchanges tested. Up capture: 149.4%. Down capture: 43.8%.
backtests
We ran the Graham Number screen on the SIX Swiss Exchange for 25 years. 6.94% CAGR vs 1.90% SMI, a +5.04% annual excess. Sharpe 0.350, max drawdown -30.15%, win rate 68%. The defensive case for Swiss value, now measured against the right benchmark.
backtests
We ran Benjamin Graham's formula (sqrt(22.5 × EPS × BVPS)) across US stocks from 2000 to 2024. The honest result: 6.34% CAGR vs 7.64% for SPY. The down capture of 72.1% is real. The structural underperformance since 2013 is also real.
backtests
We ran the same Net Debt/EBITDA screen across 22 global exchanges over 25 years. With local benchmarks, 13 of 22 beat their home index. India: +6.50% vs Sensex. The exchange matters more than the signal.
backtests
We tested Net Debt/EBITDA below 2x on 22,000+ US stocks over 25 years. Result: 5.13% CAGR vs 8.02% for SPY, -2.89% excess per year. The honest version of a popular strategy.
backtests
The same signal that underperforms on the full US market produced 17.62% CAGR on Indian stocks (NSE) over 25 years, +6.50% above the Sensex annually. Here's what the data shows and why.
backtests
EV/EBITDA below 10x on the TSX: 9.84% CAGR vs TSX Composite 4.44%, 76% win rate. Canada's commodity-heavy market is structurally suited to this screen, with 150.5% up capture and 5.36% alpha.
backtests
We tested EV/EBITDA below 10x on 18 global exchanges with local benchmarks. 14 of 18 beat their local index. The value premium is broader than SPY comparison suggested.
backtests
EV/EBITDA screening on XETRA: 7.40% CAGR vs 4.45% for the DAX. A 2.96% annual edge against the local index with a 68% win rate.