value-investing
The P/TBV strategy on the London Stock Exchange returned 10.46% annualised over 25 years against the FTSE 100's 1.23%, adding 9.24% per year with a maximum drawdown of -38.54%. It beat the FTSE in 20 out of 25 years.
backtests
We screened for US stocks where earnings yields significantly exceed government bond rates and ran the backtest from 2000 to 2025. The strategy delivered 9.87% CAGR vs 7.64% for SPY, with most of that edge earned before 2010.
backtests
We ran the yield gap strategy across 20 equity markets from 2000 to 2025. Four full-window markets outperformed SPY: Sweden (+4.57%), UK (+2.38%), US (+2.23%), Canada (+1.93%). Against their own local indices the picture is better, 11 wins out of 14. Singapore was the weakest at -6.23% vs SPY.
value-investing
Stockholm Exchange delivered 10.71% CAGR over 25 years, +7.54%/yr vs OMX Stockholm 30. Sharpe ratio of 0.437 is 7x the benchmark's 0.060.
value-investing
Japan delivered 6.47% CAGR over 25 years, +3.07%/yr vs the Nikkei 225. Sharpe 0.284 vs benchmark 0.066. Up capture 99.7%, down capture 76.1%. The strategy beat the index in 16 of 26 years.
value-investing
South Africa's JSE delivered 5.98% CAGR over 25 years with strong downside protection. Beta 0.574, down capture 42.2%, -16.5% in 2008 vs S&P 500's -34.3%. Trails SPY on returns but adds real diversification value.
value-investing
PEG ratio on India's NSE: 12.12% CAGR over 25 years, +0.99%/yr vs the Sensex. The ride was violent, -67% in 2008, +116% in 2009. Here's the full data.
backtests
We tested EV/EBITDA below 10x on 17 global exchanges with local benchmarks. 14 of 17 beat their local index. The value premium is broader than SPY comparison suggested.
value-investing
Taiwan's DCF discount portfolio returned 9.24% CAGR over 25 years, beating the TAIEX by +6.19% annually. The 0.399 Sharpe, -35.91% max drawdown (shallowest of any Asian market), and ~2.8:1 up/down capture asymmetry show strong risk-adjusted performance.
value-investing
Canada's TSX PEG strategy delivered 9.67% CAGR with zero cash periods across 25 years, +4.59%/yr vs the TSX Composite. Next-day close execution, full backtest results and methodology.
value-investing
Peter Lynch's PEG ratio underperforms the full US exchange universe by 0.91%/yr over 25 years. Here's what works, what doesn't, and why universe selection changes everything.
value-investing
PEG ratio tested on 19 exchanges with local benchmarks. Sweden: +7.54% vs OMX30. Canada: +4.59% vs TSX. Japan: +3.07% vs Nikkei. India: +0.99% vs Sensex. 8 of 19 markets beat their home index. After the dividend adjustment, 4 of those 8 hold.