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
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.
P/E compression
P/E compression on UK stocks returns 9.72% annually (GBP) vs 0.86% for the FTSE 100, with 8.86% excess return. The FTSE 100 has been a weak benchmark over 25 years. The strategy also beats SPY at 2.08% excess.
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 9.92% annually vs 7.64% for SPY, with 2.28% excess return and favorable downside protection.
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
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 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.
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 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
Buying the two most out-of-favor sectors on NSE each quarter returned 13.48% annually over 26 years, +2.23% above Sensex. The cost: a -72.65% max drawdown and 38% annualized volatility that tests any strategy's durability.