value investing
We backtested Graham's net-net strategy on all US exchanges (NYSE, NASDAQ, AMEX) from 2001 to 2024. The result is 4.97% CAGR vs 8.86% for the S&P 500. The premium that Oppenheimer documented in 1986 has largely disappeared. Here's what the data shows.
small cap
We backtested small-cap value on TSX from 2000 to 2025. 13.21% CAGR, +9.26% over the TSX Composite. But -48.13% max drawdown reveals heavy resource sector exposure. The highest-risk version of the strategy in our 14-exchange comparison.
small cap
We backtested small-cap value on China's A-share market (Shanghai + Shenzhen) from 2000 to 2025. 12.62% CAGR, +10.19% excess over the SSE Composite. But the path includes -57.63% max drawdown and individual years of +132% and -29%.
small cap
We backtested small-cap value on XETRA from 2000 to 2025. 11.42% CAGR, +6.38% excess over the DAX, with a 0.396 Sharpe ratio. Germany's Mittelstand small industrials are a natural fit for P/B screening.
small cap
We backtested small-cap value on Indian exchanges (BSE + NSE) from 2000 to 2025. 22.48% CAGR, beating the Sensex by 10.42% per year. The highest absolute return of any exchange in our 14-market comparison.
small cap
We backtested small-cap value on Japanese stocks (JPX) from 2000 to 2025. 8.13% CAGR vs 3.31% for the Nikkei 225. Japan was the original Fama-French value market, and the premium still shows up: +4.82% annual excess, 0.364 Sharpe.
small cap
We backtested small-cap value on the Johannesburg Stock Exchange (JSE) from 2000 to 2025. 12.80% CAGR, +4.95% excess over SPY. Strong mid-2000s commodity boom returns, but the 0.163 Sharpe ratio reveals the cost of South Africa's high risk-free rate.
small cap
We backtested small-cap value on Nasdaq Stockholm from 2000 to 2025. 11.70% CAGR, +9.15% over the OMX Stockholm 30. Post-crisis recoveries are explosive, but the -40.95% max drawdown is real.
small cap
We backtested small-cap value on TWSE from 2000 to 2025. 12.63% CAGR with a max drawdown of just -11.38%. +8.54% excess over the TAIEX. The second-best risk-adjusted result in our 14-exchange global comparison.
small cap
We backtested small-cap value on Thailand's SET from 2000 to 2025. 12.25% CAGR, just -23.54% max drawdown, +7.11% excess over the SET Index. The cleanest emerging market result in our 14-exchange comparison.
small cap
We backtested a small-cap value screen on US stocks from 2000 to 2025. Buy the 30 cheapest small caps by P/B with quality controls. Result: 18.10% CAGR vs 7.85% for SPY, with half the drawdown.
value investing
Value-momentum composite on Toronto Stock Exchange from 2000 to 2025. 9.17% CAGR with zero cash periods, 40% down capture vs TSX Composite, and a 64.71% win rate.