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 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 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 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 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 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 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 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.
value investing
We backtested a P/B < 1.5 + ROE > 8% screen on Stockholm-listed stocks from 2000 to 2025. 13.55% CAGR, Sharpe ratio of 0.524, and a down capture of only 44.29% vs the OMX Stockholm 30. Best risk-adjusted result of 17 exchanges we tested. Returns in SEK.
value investing
Owner Earnings Yield screen on NSE, 2000-2025. 15.47% CAGR vs Sensex 12.06%. +3.4% annual excess with next-day close execution. All returns in INR against a local benchmark.
owner earnings
We ran the same Owner Earnings Yield screen on 14 global exchanges over 25 years. Ten of 14 beat their local benchmark. India leads at 15.47% CAGR. The UK delivers the largest local alpha (+7.5% vs FTSE). Sweden produces the best Sharpe (0.389).
value investing
Owner Earnings Yield on Shanghai + Shenzhen A-shares from 2000 to 2025. 6.76% CAGR vs SSE Composite 2.43%, +4.33% excess. Zero cash periods. 68% win rate vs local benchmark.