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value investing
We screened NYSE, NASDAQ, and AMEX for D/E < 0.5 and Piotroski F-Score >= 7, then held the portfolio annually for 25 years. The result: 7.20% CAGR vs 7.85% for SPY, with max drawdown of -32.32% vs -38.01%. Lower return, but meaningfully better downside protection.
backtests
India produced the highest CAGR of any exchange in our 14-market sector momentum study: 26.95% annually over 26 years, +18.93% excess vs S&P 500, and 185.72% up capture. From $10,000 to ~$4.9M in INR-denominated terms. The max drawdown is severe at -63.87%, but the 26-year compound speaks for...
ROIC
Sustained high ROIC on LSE stocks from 2000 to 2025. 7.62% CAGR vs 7.30% SPY. Borderline alpha (+0.32%), but the quality spread is real: sustained beats low ROIC by 2.74% annually. Down capture of 74.9%.
NCAV
We backtested Graham net-net stocks on the Hong Kong Stock Exchange from 2001 to 2024. The strategy returned -3.17% annually with an -82% max drawdown. Pre-2015 it worked. Post-2015 it collapsed alongside Hong Kong's structural market decline.
NCAV
NCAV screen on Korean stocks from 2001 to 2024. 6.60% CAGR with only 22% volatility. Max drawdown -39.3%, lower than SPY. The Korea discount creates a reliable universe of balance sheet bargains.
NCAV
NCAV screen on Indian stocks from 2001 to 2024. 8.28% CAGR with 42% volatility. Recovery years hit +133%, +106%, and +81%. The trade-off is a -57.7% max drawdown.
NCAV
We backtested Graham net-net stocks on Taiwan exchanges from 2001 to 2024. The strategy returned 9.75% CAGR with a Sortino of 0.888, only 12.5% negative periods, and 39% down capture. Taiwan's small manufacturer ecosystem creates ideal conditions for net-net investing.
NCAV
We backtested Benjamin Graham's NCAV strategy across 8 global exchanges from 2001 to 2024. Japan delivered the best risk-adjusted returns (0.416 Sharpe, 47% down capture). Taiwan posted the highest CAGR at 9.75%. The other six markets trailed the S&P 500, with the US, UK, and Hong Kong showing...
NCAV
Xiao and Arnold (2008) found 19.7% annual returns for UK net-nets from 1980-2005. Our 2001-2024 backtest finds -0.62% CAGR. Two spectacular recovery years (+99% in 2009, +66% in 2020) couldn't offset persistent losses in normal markets.
NCAV
We ran the NCAV screen on Japan from 2007 to 2024. CAGR of 8.85% matched SPY with lower drawdown (-33.7% vs -40.3%) and a Sortino of 1.167. Japan's cash-heavy balance sheets make NCAV a better predictor of liquidation value than in any other developed market.
NCAV
NCAV screen on Canadian stocks from 2001 to 2024. 7.49% CAGR. The only exchange with zero cash years out of 24. Resource-heavy TSX produces net-nets every year, but the ride includes a -55.9% max drawdown.