backtests
We ran the yield gap strategy on Stockholm Stock Exchange stocks from 2000 to 2025. The result: 10.48% CAGR vs 7.64% for SPY (+2.84% excess), with a 64% annual win rate against SPY.
backtests
India's high risk-free rate (6.5%) sets a strict 9.5% earnings yield threshold for the yield gap screen. Despite that filter, BSE/NSE stocks returned 11.09% CAGR vs 7.64% for SPY over the 20-year invested period.
backtests
The yield gap strategy on TSX stocks returned 9.63% CAGR vs 7.64% for SPY over 25 years. The standout stat: a down-capture ratio of just 3.52%, meaning the portfolio barely fell when SPY sold off.
P/E compression
We tested a P/E compression mean reversion screen on 25 years of US stock data. Buy when current P/E drops 15% below its 5-year average with quality filters. The strategy returned 9.97% annually vs 7.64% for SPY, with 2.32% excess return and favorable downside protection.
P/E compression
We tested P/E compression mean reversion on 25 years of UK stock data from the London Stock Exchange. The strategy returned 9.02% annually (GBP-denominated) vs 7.64% for SPY, with 1.38% excess return and exceptional downside protection at 60% down-capture.
value investing
We ran our P/E compression screen on the London Stock Exchange for the first time: 25 years of data, 2000-2025, annual rebalancing. The strategy returned 9.02% annually vs 7.64% for the S&P 500. The outperformance is +1.38% per year. The more interesting number: during
P/E compression
We tested P/E compression on 25 years of Thai stock data. The strategy returned 7.87% annually vs 7.64% for SPY, with only 0.23% excess return and 28% cash periods. A marginal result that shows the strategy's limitations in smaller emerging markets.
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&