backtests
The same strategy, different market. On XETRA, the 52-Week Low Quality screen returned 7.81% annually over 23.8 years. The DAX returned 6.76% over the same period. That's +1.05% excess return vs the local benchmark, the only major exchange where this strategy consistently beats its
backtests
A $10,000 investment in 2002 following this strategy on the Hong Kong Stock Exchange was worth $5,472 by end of 2025. That's a 45% nominal loss over 24 years, not accounting for inflation. Contents 1. Method 2. What We Found 3. Year-by-Year 4. Why Hong Kong
backtests
India's result is worse than it looks: 3.62% CAGR over 24 years on NSE. Compare that to the Sensex, which returned 14.48% annually over the same period. The strategy trailed the local benchmark by -10.86% per year. The Sharpe ratio is -0.114. The strategy
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 $10,011 over 24 years.
backtests
We combined two ideas that shouldn't need explaining separately: buy stocks near their lows, but only the ones with strong balance sheets. The 52-Week Low Quality strategy screens for US stocks within 15% of their 52-week low, then filters to those with a Piotroski F-score of 7 or
event-study
We analyzed 157,269 earnings events from 2000-2025 on NYSE/NASDAQ/AMEX with next-day close entry. Beats drift -0.32% vs SPY at T+63. Misses decline -0.91%. Q5-Q1 spread: +1.34pp. The announcement-day reaction is the bulk of PEAD. Post-entry, the US signal is a miss-avoidance tool.
event-study
NSE stocks drift +2.93% vs the Sensex after positive earnings surprises over 63 trading days (next-day close entry). Q5-Q1 spread: +4.28pp. In a world where US beats show no post-entry drift, India's signal is the strongest globally.
event-study
With MOC entry and the Nikkei as benchmark, Japan's beat drift vanishes (-0.30%, t=-2.16). Misses still decline -0.83% (t=-5.21). Q5-Q1: +1.07pp. The relative signal survives, but the tradeable edge is miss-avoidance.
event-study
18,363 earnings events on TSX+TSXV (2000-2025). Beats drift +1.28% vs TSX Composite at T+63 (t=+8.17). Misses drift -0.08% (t=-0.45, not significant). Q5-Q1 spread: +2.06pp. Next-day close entry.
event-study
PEAD event study on 14 exchanges with MOC entry and local benchmarks. Q5-Q1 positive on 13 of 14. Taiwan leads at +4.55pp, India at +4.28pp. US beats don't drift post-entry (-0.32%). Asia-Pacific markets show real drift. Major developed markets don't.
value investing
A quality-filtered P/S value screen on the TSX returned 8.71% annually vs 5.08% for the TSX Composite, with zero cash periods across 25 years and an average of 26.2 stocks per quarter. Sharpe 0.325, max drawdown -44.67%.
value investing
We screened XETRA-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 9.70% annually vs 5.12% for the DAX, over 25 years and 100 quarterly periods. The Sharpe ratio is 0.368. The portfolio was