momentum investing
We backtested the Sector-Adjusted Momentum strategy on XETRA (German stocks) from 2000 to 2025. The strategy buys stocks outperforming their own sector peers on a 12-month return basis, stripping out sector trends to isolate stock-level momentum. The result: 10.29% annual return versus the S&P 500 benchmark'
momentum investing
German equities don't make many headlines in factor investing literature. Most momentum research focuses on the US, Japan, or global markets. The XETRA data tells a different story. Pure 12-month momentum on German stocks from 2000 to 2025 delivered 12.58% annually with a Sharpe ratio of 0.
Germany stocks
We ran a sector-relative EV/EBITDA screen on 25 years of German stock data from XETRA. The signal: buy when a stock's EV/EBITDA falls below 70% of its sector median, filtered for quality (ROE > 8%, D/E < 2.0, MCap > €500M). The strategy returned
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of German stock data from XETRA. The signal triggers when a stock's P/E ratio falls 40% below its sector median, filtered for quality. The strategy returned 10.39% annually vs 7.64% for the S&
equity growth
We backtested the Compounding Equity Screen on XETRA stocks from 2000 to 2025. The portfolio returned 4.44% annually vs 7.83% for the S&P 500. That -3.39% annual shortfall compounded into $10,000 becoming $29,600 vs $65,900 for the benchmark. Contents 1. Method 2.
P/E compression
P/E compression on German stocks underperforms SPY by 3.46% annually. The strategy returned 4.18% (EUR-denominated) vs 7.64% for SPY. Despite zero cash periods and good diversification (19.7 stocks on average), the strategy failed. Compressed P/E ratios in Germany's export-driven economy often reflect