sector rotation
Korea's sector mean reversion produced 14.65% CAGR over 26 years with a Sharpe of 0.466 and max drawdown of -37.4% — beating SPY on returns, risk-adjusted performance, and drawdown simultaneously. The standout metric: 36.7% down capture.
sector rotation
Buying the two most out-of-favor sectors on BSE and NSE each quarter returned 16.42% annually over 26 years, +8.40% above SPY. The cost: a -70.5% max drawdown and 37.5% annualized volatility that tests any strategy's durability.
sector rotation
Sector mean reversion on HKSE large caps from 2000 to 2025: 6.51% CAGR vs 8.02% S&P 500. 2009 was +105.53%. 2023 was -15.66% vs SPY +26%. Extreme year-to-year variance with -1.51% average annual underperformance.
sector rotation
Sector mean reversion on XETRA large caps from 2000 to 2025: 4.82% CAGR vs 8.02% S&P 500. The strategy fires consistently (101 of 104 quarters) but underperforms by -3.20% annually. Consumer Defensive and Utilities dominate selection. Export-led sector structure explains the failure.
sector rotation
Sector mean reversion on TSX large caps from 2000 to 2025: 8.41% CAGR vs 8.02% S&P 500. The strategy barely edges SPY (+0.38% annually in CAD) but with extreme volatility. 2013 excess was -48.61%, 2015 was -28.37%, 2016 was +37.26%. Energy drives most of the variance.
backtests
We tested the Oversold Quality strategy (Piotroski >= 7 + RSI < 30) on 16 stock exchanges. It underperforms SPY everywhere, but the gap ranges from -0.47% in China to -12.19% in Thailand. Cash rates explain most of the variation.
backtests
We combined Piotroski quality scores with RSI oversold signals and tested it on 25 years of US market data. The strategy underperforms SPY overall but shows defensive characteristics in bear markets.
backtests
Oversold Quality on German XETRA stocks: 5.76% CAGR, Sharpe 0.193, and only 59.6% down-capture vs SPY. The best risk-adjusted result in our 16-exchange series, with a significant caveat: 35% of quarters the portfolio held cash.
backtests
The Oversold Quality strategy on Chinese A-shares (SHZ+SHH) delivered 7.54% CAGR vs 8.01% for SPY over 25 years. The standout stat: 12.5% down-capture ratio during SPY drawdowns.
value investing
We ran a P/S value screen on NYSE, NASDAQ, and AMEX from 2000 to 2025 requiring P/S below 1.0, gross margin above 20%, operating margin above 5%, and ROE above 10%. The strategy returned 11.14% annually vs 8.01% for the S&P 500.
value investing
We ran a P/S value screen on the Stockholm Stock Exchange from 2000 to 2025. The strategy returned 9.36% annually with a Sharpe ratio of 0.365, above SPY's 0.354. Cash during 2000-2002 provided accidental protection during the dot-com bust.
value investing
We screened JSE-listed stocks for low price-to-sales ratios with qualifying margins and profitability, then backtested the resulting portfolio from 2000 to 2025. The strategy returned 9.71% annually vs 8.01% for the S&P 500. That's +1.70% annual outperformance. But the Sharpe ratio of 0.