backtests
We ran a strict financial quality screen on 13 exchanges over a 25-year backtest window. Two filters: debt-to-equity below 0.5, and a Piotroski F-Score of 7 or higher. Annual rebalance each July. Equal weight, all qualifying stocks. Contents 1. Method 2. Results by Exchange 3. What Drives the Differences
backtests
Price-to-Tangible-Book filters out the accounting fog and asks a simple question: what are the hard assets actually worth relative to price? Run on US large-caps with basic quality filters, this strategy returned 10.03% CAGR over 25 years versus 7.83% for SPY, with a down-capture ratio of just 10.
value-investing
The P/TBV strategy on the London Stock Exchange returned 9.61% annualised over 25 years against SPY's 7.83%, adding 1.78% per year while drawing down to only -31.25% at its worst. That maximum drawdown figure is the standout: it's the lowest of
backtests
India's equity market is built on physical capital. Steel, cement, chemicals, engineering, infrastructure. The companies that dominate the BSE and NSE have accumulated decades of tangible assets on their balance sheets, and markets have persistently underpriced them relative to book. A P/TBV screen on Indian large-caps returned
value-investing
The P/TBV strategy on Germany's XETRA exchange returned 8.83% annualised over 25 years, beating SPY's 7.83% by 1.00% per year. The CAGR is the least dramatic number in this dataset. The real story is down capture: -22.69%. When SPY falls, Germany&
value-investing
The P/TBV strategy on China's Shenzhen and Shanghai exchanges returned 9.71% annualised over 25 years against SPY's 7.83%, adding 1.88% per year with a beta of 0.113. That near-zero beta is the structural fact that defines this strategy on Chinese markets:
backtests
Sector P/E Compression: Buying Cheap Industries Based on Valuation Mean Reversion Everyone talks about buying cheap stocks. What about buying cheap sectors? Contents 1. The Strategy 2. Backtest Results (2005-2025, With Costs) 3. How We Calculate Sector P/E 4. The Z-Score Signal 5. When Sector Compression Works 6.
backtests
Cyclical Sector Timing: 15 Markets, Same Signal, Radically Different Outcomes India: +4.55% annual excess CAGR. China: -17.97% annual excess. Same signal. Same sectors. Same selection method. 24 years of data. Contents 1. The Strategy 2. Full 15-Exchange Results 3. The India vs China Contrast 4. Taiwan and Korea:
backtests
Cyclical Sector Timing: A Revenue Growth Signal for Basic Materials, Industrials, Energy, and Consumer Cyclical The strategy lost only 34.3% of what the market lost in down periods over 24 years, while staying in the market most of the time. Contents 1. Method 2. What Research Shows 3. The
backtests
Cyclical Sector Timing in the UK: Lowest Max Drawdown of Any Market Tested The UK produced the lowest max drawdown in our entire 15-exchange study. Contents 1. Method 2. Results 3. Key Periods 4. Full Annual Returns 5. Limitations LSE cyclical timing (2001-2024): 7.94% CAGR, -28.54% max drawdown.
backtests
Cyclical Sector Timing in Switzerland: Tied for Highest Sharpe Ratio Switzerland tied Germany for the highest Sharpe ratio in the cyclical timing study at 0.415. The CAGR is modest at 7.46% against SPY's 8.89%, but the risk-adjusted profile reflects a consistency that raw returns don&
backtests
Cyclical Sector Timing in Sweden: Positive Excess, Extreme Variance Sweden is one of two dedicated markets in our 15-exchange study with positive excess returns. The Swedish cyclical timing strategy returned 9.67% annually over 24 years vs 8.89% for SPY, a +0.78% annual edge. Max drawdown -48.02%