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Contents 1. The Strategy 2. Methodology 3. Results 4. What Drives the Outperformance 5. Why India Works Where the US Doesn't 6. Run It Yourself 7. Limitations The same strategy that nearly matched SPY on US stocks delivered a genuine edge in India. The logic is identical: hold
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In 2008, the global financial system nearly collapsed. SPY fell -34.31%. Japan's sector momentum portfolio fell -11.9%. That +22.4% relative return in the worst year of the century tells you most of what you need to know about how this strategy behaves in Japanese markets.
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India produced the highest absolute CAGR of any exchange in our 14-market sector momentum study. 26.95% annually over 26 years. $10,000 grew to nearly $5 million in INR-denominated terms. No other market in the dataset came close. Contents 1. The Strategy 2. What We Found 3. Sector Rotation
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Germany delivered the best sector momentum results of any European market in our 14-exchange study. 13.07% CAGR over 26 years. $10,000 grew to €243,629 in EUR-denominated terms versus $74,347 for SPY. The 2008 global financial crisis tells a lot about why: the portfolio returned -21.68%
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Canada delivered the third-best excess return in our 14-exchange sector momentum study. +10.23% annually over 26 years, behind only India and Korea. Nobody writes about Canadian sector momentum. They should. Contents 1. The Strategy 2. What We Found 3. Why Canada Works 4. When It Worked and When It
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Contents 1. What We Tested 2. Full Results Table 3. The Pattern 4. Notable Observations 5. Run a Global Screen Yourself 6. Limitations The yield gap strategy, buy stocks where earnings yields exceed government bond rates, filter for quality, has an intuitive theoretical foundation. Stocks offering a wide spread over
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Contents 1. The Strategy 2. Methodology 3. Results 4. When It Works 5. When It Struggles 6. Run It Yourself 7. Limitations The idea behind the yield gap is simple: stocks have an earnings yield (1/PE), and bonds have a yield. When stocks yield more than bonds, equities offer
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Contents 1. The Strategy 2. Methodology 3. Results 4. What Drives the UK Outperformance 5. Why the UK Works for Value Investing 6. Run It Yourself 7. Limitations We tested the yield gap strategy across 20 equity markets. The UK came first. London Stock Exchange stocks with earnings yields 3+
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Contents 1. The Strategy 2. Methodology 3. Results 4. What Drove the Returns 5. Run It Yourself 6. Limitations Sweden doesn't come to mind first when thinking about value investing. But among the markets we tested, Stockholm delivered the third-highest excess return in our 20-exchange study, with a
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Contents 1. The Strategy 2. Methodology 3. Results 4. The Indian Market Story 5. Run It Yourself 6. Limitations The yield gap threshold for India is strict. With a risk-free rate of 6.5% (long-run average for Indian government bonds), the screen requires earnings yields above 9.5%, equivalent to
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Contents 1. The Strategy 2. Methodology 3. Results 4. The Sectoral Explanation 5. Run It Yourself 6. Limitations The yield gap strategy on Canadian stocks delivered positive alpha over 25 years, and an unusual property: when US markets fell, this portfolio barely moved. The down-capture ratio of 3.52% against
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Contents 1. Summary Table 2. The Strategy 3. Tier Analysis 4. Tier 1: Functional (21-43% cash rate) 5. Tier 2: Borderline (45-78% cash rate) 6. Tier 3: Not Worth Running (67-97% cash rate) 7. Why Cash Periods Drive Performance 8. The Standout Exchanges 9. When the Strategy Works Globally 10.