value-investing
Brazil's B3 returned 16.12% CAGR on a low P/B screen over 25 years. 8.47% annual alpha over the S&P 500, the highest across all 18 exchanges tested. Down capture of just 7.5%. Returns in BRL; currency adjustment reduces but doesn't eliminate the alpha.
value-investing
Canada's TSX delivered 9.72% CAGR on a low P/B screen from 2000 to 2025. That's 2.08% annual excess return over the S&P 500. The number that stands out more is down capture: 8.02%. When the S&P 500 fell
backtests
We ran a low-debt + Piotroski F-Score screen on 13 exchanges over 25 years. India leads at 14.05% CAGR with -2.02% down capture. Canada is the biggest surprise. Switzerland has the best Sharpe. Here''s the full global breakdown.
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: 7.09% CAGR vs 7.83% for SPY, with max drawdown of -29.77% vs -36.27%. Lower return, but meaningfully better downside protection.
quality investing
D/E < 0.5 and Piotroski F-Score >= 7 on LSE stocks across 25 years. 6.14% CAGR vs 7.83% SPY. Down capture of 96.58% — near zero protection. 2016 Brexit rally (+31.4%) was the standout. 0 cash periods, 61 avg stocks.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 on SET-listed stocks, backtested 2000-2025. 3.30% CAGR vs 7.83% SPY. Down capture of 26.48% is the lowest in the global study. Up capture of 44.25% prevents that from translating into returns. Seven cash periods and a 25-stock average universe limit compounding.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 on the SIX Swiss Exchange produced the highest Sharpe ratio of any market tested (0.429), 8.14% CAGR, 69.27% down capture, and zero cash periods across 25 years.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 on the Stockholm exchange returned 8.97% CAGR vs 7.83% for SPY, with 106.29% up capture and 7 protective cash periods. A thin but effective universe of 22 stocks.
quality investing
D/E < 0.5 and Piotroski F-Score >= 7 on JPX stocks across 25 years. 6.00% CAGR vs 7.83% SPY. 112 avg qualifying stocks, 75.1% down capture. Abenomics drove +47.4% in 2012 and +38.9% in 2014. Japan's deflation era cost the strategy its 25-year edge.
value investing
We ran a low-debt quality screen on BSE and NSE stocks from 2000 to 2025. D/E below 0.5, Piotroski F-Score of 7 or higher, annual rebalance in July. The result was 14.05% CAGR in Indian Rupees, against a 7.83% SPY benchmark. That's +6.22%
quality investing
We screened all HKSE-listed stocks for D/E < 0.5 and Piotroski F-Score of 7 or higher, then held the portfolio annually from 2000 to 2025. The result: 3.67% CAGR vs 7.83% for SPY. The strategy trailed by 4.17% per year. Total return was 146.01%
quality investing
We screened XETRA-listed German equities for D/E < 0.5 and Piotroski F-Score >= 7 across 25 years. Result: 6.72% CAGR vs 7.83% for SPY. The 2001 Neue Markt collapse cost the strategy -33.6% in a single year. 0 cash periods, 48 avg stocks.