backtests
We tested the ratio private equity firms use to screen acquisitions, Net Debt/EBITDA below 2x, on the full US market over 25 years. The result is honest and worth understanding.
backtests
The same signal that underperforms on the full US market produced 21.55% CAGR in India over 25 years, +10.43% above the Sensex annually. Here's what the data shows and why.
backtests
We ran the same Net Debt/EBITDA screen across 22 global exchanges over 25 years. With local benchmarks, 12 of 22 beat their home index. India: +10.43% vs Sensex. The exchange matters more than the signal.
value-investing
Stockholm Exchange delivered 9.99% CAGR over 25 years, +6.81%/yr vs OMX Stockholm 30. Sharpe ratio of 0.391 is 6.5x the benchmark's 0.060.
value-investing
India is the strongest PEG ratio market we tested. 13.68% CAGR over 25 years, +2.6%/yr vs the Sensex. The ride was violent, -65% in 2008, +102% in 2009. Here's the full data.
value-investing
South Africa's JSE delivered 7.21% CAGR over 25 years with strong downside protection. Beta 0.601, down capture 42.3%, -14.3% in 2008 vs S&P 500's -34.3%. Trails SPY on returns but adds real diversification value.
value-investing
Taiwan's DCF discount portfolio returned 9.15% CAGR over 25 years, beating the TAIEX by +6.10% annually. The 0.398 Sharpe, -36.80% max drawdown, and 3.8:1 up/down capture asymmetry show strong risk-adjusted performance.
value-investing
PEG ratio tested on 14 exchanges with local benchmarks. Sweden: +6.81% vs OMX30. Canada: +3.94% vs TSX. India: +2.56% vs Sensex. 6 of 14 markets beat their home index. The old SPY comparison was mixing currency effects with equity alpha.
value-investing
Canada's TSX PEG strategy delivered 9.03% CAGR with zero cash periods across 25 years, +3.94%/yr vs the TSX Composite. Next-day close execution, full backtest results and methodology.
value-investing
Peter Lynch's PEG ratio underperforms the full US exchange universe by 1.2%/yr over 25 years. Here's what works, what doesn't, and why universe selection changes everything.
value-investing
India's DCF Discount strategy returned 11.70% CAGR over 25 years, barely edging out the Sensex at 11.49%. The alpha is essentially zero. The catch: a -64% max drawdown vs the Sensex's -38%. Here is the full data.
value investing
Sweden delivered the highest CAGR of any European market for DCF discount. Over 25 years, the strategy returned 12.04% CAGR vs 7.33% for SPY, with a 0.399 Sharpe and +4.71% annual excess return.