value investing
We backtested value-momentum on 17 exchanges over 25 years with local benchmarks. 14 of 17 beat their local index. India leads at 15.69% CAGR. Hong Kong has the highest alpha (+8.03% vs Hang Seng). Only Korea, Thailand, and Norway underperformed.
value investing
Value-momentum composite on XETRA from 2002 to 2025. 8.15% CAGR with the lowest max drawdown (-32.12%), lowest volatility (14.80%), and highest Sortino ratio (0.694) of any exchange tested.
value investing
Value-momentum composite on HKSE from 2001 to 2025. 9.34% CAGR with +8.03% excess over Hang Seng. Deep drawdowns (-62.75%) but strong recoveries. Only 2 cash periods.
value investing
Value-momentum composite on NSE from 2004 to 2025. 15.69% CAGR, 4,016% total return. 62% down capture, 110% up capture, 5.45% annual alpha vs Sensex.
value investing
Value-momentum composite on Johannesburg Stock Exchange from 2004 to 2025. 11.61% CAGR with the lowest down capture (1.65%) and shallowest max drawdown (-28.44%) of any exchange tested.
value investing
Value-momentum composite on Stockholm Exchange from 2003 to 2025. 9.67% CAGR with +6.75% alpha vs the OMX30, 58% down capture, and a 0.697 Sortino ratio.
value investing
We combined value (low P/E) and momentum (12-month price trend) into a composite screen and backtested it on all US exchanges from 2000 to 2025. Value-Momentum returned 11.18% annually vs 7.75% for the S&P 500.
value investing
We backtested a P/B < 1.5 + ROE > 8% screen on Stockholm-listed stocks from 2000 to 2025. 12.43% CAGR, Sharpe ratio of 0.473, and a down capture of only 46.79% vs the OMX Stockholm 30. Best risk-adjusted result of 18 exchanges we tested. Returns in SEK.
survivorship bias
We ran the same value screen on the S&P 500 twice: once with today's members, once with historical membership. Survivorship bias inflated CAGR by 2.02% and hid 7.8 percentage points of drawdown over 25 years. The risk distortion is worse than the return distortion.
value investing
Same earnings yield screen, 13 exchanges. Only India (+6.62% vs SPY) and South Africa (+2.66%) beat the S&P 500 CAGR. vs local benchmarks, 12 of 13 show positive excess. Context matters: the strategy beats local markets but the US market itself was exceptional.
piotroski
We ran the Piotroski F-Score on US value stocks from 1997 to 2024. Score 8-9 returned 6.1% vs 9.4% for SPY. Selection alpha is -1.6% per year. Avoidance alpha is +2.8%. The F-Score works as a floor (skip Score 0-2) but not as a ceiling in large-cap US.
value investing
Earnings yield screening on NSE returned 14.64% CAGR vs 11.12% for the Sensex. +3.52% annual excess with 57.3% quarterly win rate. Returns in INR, max drawdown -61.5%.