backtests
We ran a 3-year net income growth streak screen on 17 exchanges over 25 years, benchmarked vs local indices. Result: UK +11.12% vs FTSE, Canada +7.38% vs TSX, US +3.70% vs SPY. India underperforms Sensex (-2.02%). Japan beats Nikkei (+3.38%). Full data for all 17 exchanges.
backtests
The TSX isn't the S&P 500. Energy companies, banks, and miners dominate Canada's index. They trade cyclically. When commodity prices fall, quality resource stocks hit 52-week lows. When the cycle turns, they recover. This backtest ran from 2002 to 2025 to see whether a
backtests
We ran the Graham Number screen on the SIX Swiss Exchange for 25 years. 6.55% CAGR vs 1.90% SMI, a +4.66% annual excess. Sharpe 0.326, max drawdown -35.33%, win rate 64%. The defensive case for Swiss value, now measured against the right benchmark.
backtests
India's result is worse than it looks: 4.45% 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 -10.03% per year. The Sharpe ratio is -0.08. The strategy
backtests
We ran the Graham Number screen on XETRA for 25 years. 8.21% CAGR vs 4.45% DAX, a +3.77% annual excess. Beta 1.00 vs the DAX, up capture 125.4%, down capture 79.8%, and alpha +3.77%. A genuine value edge over the local benchmark.
backtests
The Graham Number strategy returned 14.04% CAGR on Brazil's B3 from 2000–2024 vs 8.44% for the Bovespa, a +5.60% annual excess. All in BRL, where inflation ran 6–8% annually. Plus a known FMP data quality caveat on SAO adjusted-close prices. Here's the honest account.
backtests
The same strategy, different market. On XETRA, the 52-Week Low Quality screen returned 7.13% annually over 23.8 years. The DAX returned 6.76% over the same period. That's +0.37% excess return vs the local benchmark, roughly a match. Contents 1. Method 2. The Strategy 3.
backtests
We tracked 30 major US corporate spinoffs (2011-2024) at six time horizons. The forced-selling effect is real and statistically confirmed at T+5 (-3.5%, p<0.05). The long-run recovery is positive but driven by outliers — GEV +108%, REZI -68%. Full data and SQL included.
backtests
Japan's sector momentum portfolio returned -12.31% in 2008 while the Nikkei 225 fell -38.45%, a +26.14% gap. Over 26 years: 8.73% CAGR, +4.80% excess, +6.05% alpha at a beta of 0.674. Lowest down capture of our 13 markets at 45.37%.
backtests
Germany produced the smallest excess return of the four European markets in our 13-exchange study: 9.41% CAGR, +4.22% vs DAX. What it does deliver is a beta of 0.693, a 59.70% down capture and a shallower drawdown than the index. Technology held a top-2 slot in 35 of 104 quarters.
backtests
Canada ranked second for excess return in our 13-exchange sector momentum study: +11.51% annually over 26 years vs the TSX Composite, driven by Basic Materials (38q) and Energy (37q) in the top two. It also posts the study's highest Sharpe ratio at 0.591. C$10K grew to C$562,372.
backtests
We tested 52-week low stocks filtered by Piotroski F-score on US markets from 2002 to 2025. The strategy returned 6.64% annually vs 9.67% for the S&P 500. Down-capture of 112.6% explains the gap.