value investing
We ran the P/E compression screen on the Stock Exchange of Thailand (SET) for 25 years, 2000-2025. The strategy returned 7.87% annually vs 7.64% for the S&P 500. That's +0.23% per year, barely outperforming. But the down capture of 35.7% is
value investing
We ran the P/E compression screen on the Swiss Exchange (SIX) for 25 years, 2000-2025. The strategy returned 5.08% annually vs 7.64% for the S&P 500. That's -2.56% per year in underperformance, compounding into 245.5% total return against SPY's
P/E compression
We tested P/E compression on 25 years of Japanese stock data. The strategy returned 5.35% annually vs 7.64% for SPY, underperforming by 2.29% per year. An honest look at why mean reversion struggles in Japan's unique market structure.
P/E compression
P/E compression on Indian stocks delivers 4.15% CAGR vs 7.64% SPY, with -0.071 Sharpe ratio and 102% down-capture. The strategy amplifies losses instead of protecting downside. Honest test of where volatility kills mean reversion.
value investing
We ran our P/E compression screen on BSE and NSE for 25 years. The result: 4.15% CAGR, a negative Sharpe ratio of -0.071, and 101.8% down capture. The portfolio absorbed more of the S&P 500's losses during down years than the S&
P/E compression
P/E compression on Hong Kong stocks delivers -0.26% CAGR and 133% down-capture. The strategy amplifies losses significantly. When SPY lost 10%, this portfolio lost 13.3%. A clear failure case.
value investing
We ran the P/E compression screen on HKSE (Hong Kong Stock Exchange) from 2000 to 2025. The strategy averaged 20 qualifying stocks per year, held cash in only 2 of 25 years, and still returned -0.26% annually vs 7.64% for the S&P 500. A $10,
value investing
We ran our P/E compression screen on XETRA (Deutsche Boerse) for 25 years. The strategy returned 4.18% annually vs 7.64% for the S&P 500. That's -3.46% per year in excess return, with a win rate of 28%, meaning the screen underperformed in
P/E compression
P/E compression on Chinese stocks delivers -0.68% CAGR vs 7.64% SPY, the worst absolute performance among all tested markets. Negative Sharpe and -63.70% max drawdown show P/E dynamics differ fundamentally in Chinese markets.
value investing
We ran the P/E compression screen on Shenzhen (SHZ) and Shanghai (SHH) A-shares from 2000 to 2025. The strategy found qualifying stocks every single year, zero cash periods across 25 years, averaging 23.9 stocks annually. -0.68% CAGR. A $10,000 investment lost $1,560 in nominal terms
value investing
The Canadian version of our P/E compression screen produced 8.75% annually from 2000 to 2025, beating the S&P 500 by 1.11% per year. That's fine. What's more interesting: during down markets, this strategy absorbed only 23.7% of the S&
P/E compression
We tested P/E compression on 25 years of Canadian stock data. The strategy returned 8.75% annually vs 7.64% for SPY, with 1.11% excess return and exceptional downside protection. The 24% down-capture ratio is the best among all tested markets.