Sector-adjusted momentum on STO (Stockholm) returned 11.45% annually from 2000 to 2025 vs the OMX Stockholm 30's 3.17%, with +8.28% excess CAGR, the largest in a 14-market study, and a 0.457 Sharpe ratio.
Sector-adjusted momentum on US stocks returned 9.46% annually from 2000-2025 vs the S&P 500's 8.02%. The 1.45-point raw edge is pure beta: lower Sharpe, deeper drawdowns, and the worst down capture in the study. Risk-adjusted, the index wins.
We tested the 52-week high proximity strategy on Taiwanese stocks (TAI) from 2000 to 2025. 9.18% CAGR, +4.80% vs TAIEX, 42.9% down capture. The signal protected hard in 2022 (-6.0% vs TAIEX -22.2%) and rode the 2023 semiconductor rally.
Sector-adjusted momentum on XETRA returned 10.99% annually from 2000 to 2025 vs the DAX''s 5.12%, with +5.87% excess CAGR and 54.55% down capture. Germany''s 9.0 average active sectors make it one of the most reliable markets for the RS signal.
The P/TBV strategy on the Hong Kong Stock Exchange returned 6.48% annualised over 25 years against the Hang Seng's 1.64%, adding 4.84% per year with a 68% win rate. $10,000 grew to $48,000 vs $15,000 for the index.
Sector-adjusted momentum on NSE stocks returned 18.54% annually from 2000 to 2025 vs the Sensex''s 11.12%. +7.42% annual alpha, 82% down capture vs Sensex. India had the highest absolute return across 14 global exchanges tested.
We ran the same small-cap value screen across 14 stock exchanges and 25 years of data. All 14 beat their local benchmark. UK produced the best risk-adjusted result (0.750 Sharpe, -10.89% MaxDD). India led on absolute return (20.89% CAGR).
We backtested sector-adjusted momentum (12M-1M return minus sector average) on 14 exchanges from 2000 to 2025. Eleven beat their local benchmark on raw return. Japan, South Africa, and China fell short. The US wins on raw return but only through beta.
We tested the 52-Week Low + Piotroski F-score strategy across 16 global exchanges from 2002 to 2025. Five beat their local benchmark. Japan and China lead on raw excess; Germany delivers the best risk-adjusted profile.
Owner Earnings Yield screen on LSE-listed stocks from 2000 to 2025. 8.72% CAGR vs FTSE 100 1.23%. +7.5% annual excess, the largest local-benchmark alpha of any exchange in our 14-market comparison. 18.4% down capture, 76% win rate.
A $10,000 investment in 2002 following this strategy on the Hong Kong Stock Exchange was worth $7,465 by end of 2025. That's a 25% nominal loss over 24 years, not accounting for inflation. Contents 1. Method 2. What We Found 3. Year-by-Year 4. Why Hong Kong
Testing capital efficiency on SIX: low-capex, high-ROIC Swiss companies delivered 10.20% CAGR from 2000-2025, beating the SMI (3.07% CAGR) by 7.13%/year. 82.6% win rate, the highest of any market tested.
backtests
Buying stocks near their annual lows sounds like a straightforward mean-reversion play. Add a Piotroski quality filter to avoid value traps and you have a disciplined, testable strategy. We ran it on the SIX Swiss Exchange from 2002 through 2025. The result: $10,000 became $6,371 over 24 years.
backtests
Screened XETRA for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 8.59% CAGR vs 5.04% DAX (+3.55%), Sharpe 0.423, 64% win rate, 0 cash periods. Signal works vs the local benchmark; absolute returns lower than Anglo-Saxon markets.
backtests
Screened NSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 10.04% CAGR vs 12.06% Sensex (-2.02%). Strong absolute returns but underperforms local benchmark. 2014: +48.3% excess, 2009: +37.9% excess. 7 cash years (2000-2006), 18 invested years.
backtests
Screened LSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 12.35% CAGR vs 1.23% FTSE 100 price index (+11.12%), max drawdown -22.0%, 92% win rate (highest of 17 exchanges). 2008: +0.9% while FTSE 100 fell -22.0%. FTSE 100 benchmark is price-only.
backtests
Screened TSX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.34% CAGR vs 3.95% TSX Composite (+7.38%), Sharpe 0.611 (best of 17 exchanges), down capture -31.7%. 0 cash periods, 21.6 avg stocks, 76% win rate. 2000: +45.7% excess vs TSX.
backtests
We ran the Graham Number screen on 12 exchanges over 25 years, each benchmarked against its local stock index. 9 of 12 beat their local benchmark clearly. Sweden leads with +10.08% annual excess; Japan delivers the best Sharpe. Only India and the US underperform their home market; Hong Kong ties.
backtests
China's equity markets are retail-dominated, sentiment-driven, and structurally disconnected from the fundamentals of individual companies. That makes them a strange testing ground for a quality-filtered 52-week low screen. The result is better than you'd expect. Contents 1. Method 2. What We Found 3. Year-by-Year 4. China&
backtests
Screened NYSE/NASDAQ/AMEX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.55% CAGR vs 7.85% SPY (+3.70%), Sharpe 0.574, max drawdown -24.4%, down capture 60.8%. 25 years, 0 cash periods, 27 avg stocks. Full backtest data.
value investing
We ran the same P/S value screen (P/S < 1, quality filters) on 15 exchanges globally. Compared against local benchmarks, 11 of 15 outperform. Against SPY, only 6 do. Sweden now ranks first on Sharpe (0.452). Hong Kong is the biggest re-rating after data-quality fixes: +7.75% vs Hang Seng.
backtests
We ran a 3-year net income growth streak screen on 17 exchanges over 25 years, benchmarked vs local indices. Result: UK +11.12% vs FTSE, Canada +7.38% vs TSX, US +3.70% vs SPY. India underperforms Sensex (-2.02%). Japan beats Nikkei (+3.38%). Full data for all 17 exchanges.
margin expansion
We tested margin expansion across 12 global exchanges. Taiwan produced a +15.57% annual spread. India showed a -14.24% reverse signal. The US barely registered at +0.83%. Margin expansion works in concentrated, export-driven markets and fails in diversified or high-growth economies. Full data...
backtests
We ran the Graham Number screen on the SIX Swiss Exchange for 25 years. 6.55% CAGR vs 1.90% SMI, a +4.66% annual excess. Sharpe 0.326, max drawdown -35.33%, win rate 64%. The defensive case for Swiss value, now measured against the right benchmark.