backtests
We ran the yield gap strategy on Stockholm Stock Exchange stocks from 2000 to 2025. The result: 10.61% CAGR vs 2.95% for OMX Stockholm 30 (+7.66% excess), with a 76% annual win rate against the local index.
backtests
We tested the yield gap strategy on London Stock Exchange stocks from 2000 to 2025. The UK delivered 11.29% CAGR vs 7.64% for SPY — the highest excess return across all 20 markets in our study, and +10.43% annually above the FTSE 100.
backtests
We screened for US stocks where earnings yields significantly exceed government bond rates and ran the backtest from 2000 to 2025. The strategy delivered 8.60% CAGR vs 7.64% for SPY, with notably better bear market behavior.
P/E compression
P/E compression on Canadian stocks returns 8.81% annually vs 4.44% for the TSX Composite. +4.37% annual alpha, 17 wins in 25 years, 59% down-capture and 133% up-capture vs the local benchmark.
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.
P/E compression
We tested P/E compression mean reversion across 21 global stock markets from 2000-2025. The strategy worked in only 4 developed markets (US, UK, Canada, Thailand), underperformed in 16, and couldn't run effectively in 3. The pattern is clear efficiency, stability, and predictable earnings enable...
P/E compression
P/E compression on German stocks underperforms SPY by 3.46% annually. 4.18% CAGR despite zero cash periods and good diversification shows the strategy failed.
P/E compression
P/E compression on Hong Kong stocks returns -0.32% CAGR vs 0.49% for the Hang Seng. Both the strategy and the local market failed to deliver real returns over 25 years. Down-capture is 95% vs the local benchmark.
P/E compression
P/E compression on Indian NSE stocks delivers 8.00% CAGR vs 11.40% for the Sensex, underperforming by 3.40% per year. Strong absolute returns, but India's bull market is a tough benchmark to beat.
P/E compression
P/E compression on Japanese stocks returns 5.20% annually vs 2.95% for the Nikkei 225, beating the local benchmark by 2.25% per year with 52% down-capture. The strategy works in Japan when compared against the correct local benchmark.
P/E compression
P/E compression on Swiss stocks returns 5.36% CAGR vs 1.90% for the SMI. That's +3.47% annual alpha with 23.86% down-capture. Switzerland is one of the clearest positive cases in this series.
P/E compression
We tested P/E compression on 25 years of Thai stock data. The strategy returned 8.06% annually vs 4.16% for the SET Index, with +3.90% excess return and 9.14% down-capture. What looked marginal vs SPY becomes meaningful outperformance against the local benchmark.