value investing - Ceta Research (Page 4)

Growth of $10,000 invested in Owner Earnings Yield on Swedish stocks vs OMX Stockholm 30 from 2000 to 2025.

value investing

Owner Earnings Yield on Swedish Stocks: 9.5% CAGR, +7.0% Over OMX Stockholm 30

We screened for stocks with high Owner Earnings yield on Sweden's Stockholm exchange from 2000 to 2025. The strategy returned 9.51% annually vs 2.55% for the OMX Stockholm 30. 76% win rate, 36% down capture, 0.389 Sharpe.

Growth of $10,000 invested in Owner Earnings Yield on HKSE vs Hang Seng Index from 2000 to 2025.

value investing

Owner Earnings Yield on Hong Kong Stocks: 5.2% CAGR With Zero Cash Periods

We screened HKSE stocks for high Owner Earnings yield from 2000 to 2025. The strategy returned 5.24% annually vs 1.64% for the Hang Seng Index, with zero cash periods across all 25 years. 60% win rate, 58.5% down capture.

Growth of $10,000 invested in Owner Earnings Yield vs S&P 500 from 2000 to 2025. OE Yield grew to $91K, S&P 500 to $66K.

value investing

Owner Earnings Yield: Buffett's Metric Backtested on 25 Years of US Stock Data

We screened for stocks with high Owner Earnings yield across all US exchanges from 2000 to 2025. The strategy returned 9.22% annually vs 7.85% for the S&P 500 with a down capture ratio of 42.1%.

Growth of $10,000: biased vs unbiased S&P 500 value screen, 2000-2025

survivorship bias

Survivorship Bias: The 2% Error in Every S&P 500 Backtest

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.

Growth of $10,000 invested in P/S value screen US vs S&P 500 from 2000 to 2025. Portfolio grew to approximately $160K, S&P 500 to approximately $73K.

value investing

Price-to-Sales Below 1: A Quality-Filtered Value Screen on 25 Years of US Stock Data

We ran a P/S value screen on NYSE, NASDAQ, and AMEX from 2000 to 2025 requiring P/S below 1.0, gross margin above 20%, operating margin above 5%, and ROE above 10%. The strategy returned 11.66% annually vs 8.02% for the S&P 500.

piotroski

Piotroski F-Score Backtest: What 28 Years of US Data Actually Show

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.

Earnings yield CAGR comparison across 13 global exchanges. India leads at 14.42%, South Africa at 9.08%.

value investing

Earnings Yield Across 13 Global Exchanges: Where High E/P Screening Works

Same earnings yield screen, 13 exchanges. Among foreign markets only India (+6.40% vs SPY) and South Africa (+1.06%) beat the S&P 500 CAGR. vs local benchmarks, all 13 show positive excess. Context matters: the strategy beats local markets but the US market itself was exceptional.

Growth of $10,000 invested in earnings yield screen on NSE vs Sensex from 2000 to 2025, returns in Indian Rupees.

value investing

Earnings Yield on Indian Stocks: 14.4% CAGR, +3.3% Annual Excess vs Sensex

Earnings yield screening on NSE returned 14.42% CAGR vs 11.12% for the Sensex. +3.30% annual excess with 57.3% quarterly win rate. Returns in INR, max drawdown -61.4%.

Growth of $10,000 invested in Value-Momentum US vs S&P 500 from 2000 to 2025.

value investing

Value-Momentum: Combining Cheap Stocks and Price Trends on 25 Years of US Data

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 11.32% annually vs 7.77% for the S&P 500.

Growth of $10,000 invested in Value-Momentum on NSE vs Sensex.

value investing

Value-Momentum on Indian Stocks: 15.87% CAGR Over 21 Years of NSE Data

Value-momentum composite on NSE from 2004 to 2025. 15.87% CAGR, 4,176% total return. 61% down capture, 110% up capture, 5.67% annual alpha vs Sensex.

Growth of $10,000 invested in Value-Momentum on JNB vs S&P 500.

value investing

Value-Momentum on South African Stocks: Shallowest Drawdown, No Alpha

Value-momentum on JNB from 2006 to 2025. 6.76% CAGR with the shallowest drawdown of any exchange (-24.47%), but the strategy now trails SPY by 1.01% annually after data quality filtering.

Growth of $10,000 invested in Value-Momentum on XETRA vs DAX.

value investing

Value-Momentum on German Stocks: 8.17% CAGR, +3.11% vs DAX

Value-momentum composite on XETRA from 2002 to 2025. 8.17% CAGR with +3.11% excess over DAX and 47.86% down capture against the local index. Mittelstand industrials fit the screen.