P/E compression
We tested a P/E compression mean reversion screen on 25 years of US stock data from NYSE, NASDAQ, and AMEX. The signal triggers when a stock's current P/E ratio drops 15% below its 5-year historical average, filtered for quality. The strategy returned 9.97% annually vs
P/E compression
We tested a P/E compression mean reversion screen on 25 years of UK stock data from the London Stock Exchange. The signal triggers when current P/E drops 15% below the 5-year average, filtered for quality. The strategy returned 9.02% annually (GBP-denominated returns) vs 7.64% for SPY
P/E compression
We tested P/E compression mean reversion on 25 years of Thai stock data from the SET. The strategy returned 7.87% annually (THB-denominated) vs 7.64% for SPY, with only 0.23% excess return. This is a marginal result: the strategy barely adds value and spent 28% of periods
P/E compression
P/E compression on Swiss stocks underperforms SPY by 2.56% annually. The strategy returned 5.08% (CHF-denominated) vs 7.64% for SPY. Switzerland's reputation for stability and low volatility doesn't translate to profitable mean reversion. Compressed P/E ratios in defensive, mature Swiss companies often
P/E compression
We tested P/E compression mean reversion on 25 years of Japanese stock data. The strategy returned 5.35% annually (JPY-denominated) vs 7.64% for SPY, underperforming by 2.29% per year. This is an honest look at why P/E compression doesn't work in Japan: structural deflation,
P/E compression
P/E compression on Indian stocks underperforms SPY by 3.50% annually with a negative Sharpe ratio (-0.071) and 102% down-capture. The strategy amplified losses instead of protecting downside. When SPY lost 10%, this portfolio lost 10.2%. Extreme volatility makes P/E compression unreliable: compressed multiples are often
P/E compression
P/E compression on Hong Kong stocks returns -0.26% CAGR vs 7.64% for SPY, underperforming by 7.91% annually. The worst metric: 133% down-capture. When SPY lost 10%, this portfolio lost 13.3%. The strategy doesn't just fail to protect downside; it actively amplifies losses. This
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
P/E compression
P/E compression on Chinese stocks delivers -0.68% CAGR, the worst absolute performance among all 21 tested markets. The strategy underperforms SPY by 8.32% annually with negative Sharpe ratio and -63.70% max drawdown. P/E dynamics differ in Chinese markets: government policy, state ownership, and speculative trading
P/E compression
We tested P/E compression mean reversion on 25 years of Canadian stock data from the TSX. The strategy returned 8.75% annually (CAD-denominated) vs 7.64% for SPY, with 1.11% excess return. The defining characteristic: 24% down-capture, the best downside protection among all tested markets. When SPY lost