value investing
We screened JSE-listed stocks for low price-to-sales ratios with qualifying margins and profitability, then backtested the resulting portfolio from 2000 to 2025. After data-quality fixes (removing price-oscillation artifacts and capping extreme single-period returns from bad adjusted-close data), the strategy returned 6.24% annually vs 8.02% for the S&
value investing
We backtested Graham's net-net strategy on Japan's JPX exchange from 2006 to 2024. Japan net-nets returned 7.39% CAGR vs 4.32% for the Nikkei 225, a +3.1% annual excess with 45% down capture. Japan is the major developed market where the net-net premium shows up most clearly in the data.
value investing
We screened NYSE, NASDAQ, and AMEX for D/E < 0.5 and Piotroski F-Score >= 7, then held the portfolio annually for 25 years. The result: 7.57% CAGR vs 7.85% for SPY, with max drawdown of -31.41% vs -38.01%. Lower return, but meaningfully better downside protection.
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of US stock data. Buy quality stocks trading 40%+ below their sector's median P/E. The strategy returned 10.25% annually vs 7.64% for SPY, with 2.61% excess return and zero cash periods across 25 years.
NCAV
Graham net-net backtest on Hong Kong stocks (2001-2024). -0.26% CAGR vs Hang Seng's +2.53% (-2.80% deficit). Pre-2015: powerful recoveries. Post-2015: structural collapse alongside Hong Kong's market decline.
NCAV
Xiao and Arnold (2008) found 19.7%/yr for UK net-nets 1980-2005. Our 2001-2024 backtest: +0.77% CAGR vs FTSE +1.81% (-1.04% deficit). Strong recovery trades (+78% in 2020) but struggles in normal markets.
NCAV
We backtested Graham net-net stocks on Taiwan exchanges from 2001 to 2024. The strategy returned 9.75% CAGR with a Sortino of 0.888, only 12.5% negative periods, and 39% down capture. Taiwan's small manufacturer ecosystem creates ideal conditions for net-net investing.
free cash flow
We screened for high FCF yield on US stocks from 2000 to 2025. 11.12% CAGR vs 7.85% for the S&P 500. The portfolio captured only 39% of the market's downside while following up with 117% of its recoveries. FCF yield measures what a company earns after paying to run the business.
free cash flow
We ran the same FCF yield screen across 10 stock exchanges from 2000 to 2025, each measured against its own local index. Seven beat their benchmark, led by the UK at +8.75% over the FTSE 100. Switzerland looked good until we checked which companies were actually in the portfolio.
free cash flow
We screened for high FCF yield on Hong Kong Stock Exchange stocks from 2000 to 2025. 5.31% CAGR, +3.67% excess over Hang Seng. The screen beats a near-flat local index, but with a Sharpe of 0.119 and no crisis protection: in 2008 it fell 16.9% against a 16.2% index decline.
free cash flow
We screened for high FCF yield on London Stock Exchange stocks from 2000 to 2025. 9.98% CAGR, +8.75% excess over FTSE 100. In 2008, the portfolio fell only 4.4% while FTSE 100 dropped 22%. Down capture of 23% with 196% up capture. Quality-filtered cash generators dominate flat UK markets.
value investing
We screened XETRA-listed stocks for low price-to-sales ratios with qualifying margins and profitability, then backtested the resulting portfolio from 2000 to 2025. The strategy returned 8.13% annually vs 5.12% for the DAX, over 25 years and 103 quarterly periods. The Sharpe ratio is 0.291. The portfolio was