value investing - Ceta Research (Page 4)

Growth of $10,000 invested in Price-to-Book Value Screen vs S&P 500 from 2000 to 2025

value investing

Price-to-Book in the US: The Academic Gold Standard Barely Works Anymore

We backtested a P/B < 1.5 + ROE > 8% screen on US stocks from 2000 to 2025. 7.56% CAGR vs 7.64% for the S&P 500. The Nobel Prize-documented premium has been arbitraged away. The down capture story (79.0%) is still real.

Growth of $10,000 invested in earnings yield screen vs S&P 500 from 2000 to 2025 on US exchanges.

value investing

Earnings Yield Screen on US Stocks: 25 Years of Data, Modest Alpha

We backtested an earnings yield screen with quality filters on 25 years of US stock data (NYSE, NASDAQ, AMEX). 8.38% CAGR vs 8.02% for the S&P 500. Modest alpha, textbook value factor cyclicality.

Growth of $10,000 invested in Owner Earnings Yield on Chinese A-shares (SHH+SHZ) vs SSE Composite from 2000 to 2025.

value investing

Owner Earnings Yield on Chinese Stocks: 9.6% CAGR, +7.2% vs SSE Composite

Owner Earnings Yield on Shanghai + Shenzhen A-shares from 2000 to 2025. 9.61% CAGR vs SSE Composite 2.43%, +7.18% excess. Zero cash periods. 72% win rate vs local benchmark.

owner earnings

One Screen, 13 Exchanges: Where Owner Earnings Yield Works Around the World

We ran the same Owner Earnings Yield screen on 13 global exchanges over 25 years. Nine of 13 beat their local benchmark. India leads at 17.17% CAGR. The US delivers the best risk-adjusted result (0.432 Sharpe). Hong Kong, Sweden, and China each produced 7%+ alpha vs local indices.

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: 10.4% CAGR With Zero Cash Periods

We screened HKSE stocks for high Owner Earnings yield from 2000 to 2025. The strategy returned 10.44% annually vs 1.64% for the Hang Seng Index, with zero cash periods across all 25 years. 68% win rate, 47% down capture.

Growth of $10,000 invested in Owner Earnings Yield on Indian stocks vs BSE Sensex from 2000 to 2025. OE Yield grew to $525K, Sensex to $172K.

value investing

Owner Earnings Yield on Indian Stocks: 17.2% CAGR, +5.1% Excess vs the Sensex Over 21 Active Years

Owner Earnings Yield screen on NSE, 2000-2025. 17.17% CAGR vs Sensex 12.06%. +5.1% annual excess with next-day close execution. All returns in INR against a local benchmark.

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: 9.6% 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 9.59% annually vs 2.55% for the OMX Stockholm 30. 80% win rate, 40% down capture, 0.390 Sharpe.

Growth of $10,000 invested in Owner Earnings Yield vs S&P 500 from 2000 to 2025. OE Yield grew to $180K, 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 12.25% annually vs 7.85% for the S&P 500 with a down capture ratio of 33.1%.

Growth of $10,000 invested in Rising Dividend Yield US strategy vs S&P 500 from 2000 to 2025.

dividend investing

Rising Dividend Yield: Separating Compounders from Value Traps on 25 Years of US Data

We screened for stocks with 3 consecutive years of rising dividend yield driven by dividend growth, then backtested on all US exchanges from 2000 to 2025. 9.56% CAGR, +1.71% alpha, zero cash periods.

DCF Threshold strategy cumulative growth vs S&P 500, Canada TSX 2000–2025.

DCF

DCF Threshold in Canada: 9.32% CAGR and Negative Down Capture Over 25 Years

We ran a Gordon Growth DCF screen with quality filters on 25 years of Canadian TSX data. 9.32% CAGR, 1.68% annual excess return, and a -4.31% down capture — when the S&P 500 fell, Canadian DCF stocks gained on average, driven by resource sector dynamics in the early 2000s.

DCF Threshold CAGR comparison across 13 exchanges, 2000–2025. US and India lead with +3.60% and +3.47% excess respectively. Korea and China trail with -3.70% and -3.44%.

DCF

DCF Threshold Across 13 Markets: A Consistent Geographic Pattern

We ran the same DCF Threshold screen on 13 global stock exchanges. Seven markets beat SPY. Six underperformed. The dividing line follows a consistent geographic pattern — Western markets work, most Asian markets don't — and the structural reasons are documented.

DCF Threshold strategy cumulative growth vs S&P 500, India BSE/NSE 2000–2025.

DCF

DCF Threshold in India: 11.12% CAGR Over 20 Invested Years of BSE/NSE Data

We ran a Gordon Growth DCF screen with quality filters on 25 years of Indian BSE/NSE data. No qualifying stocks 2000–2004. From 2005, the strategy returned 11.12% CAGR vs 7.64% SPY, with explosive swing years — 2007 (+85%), 2009 (+84%), 2022 (+36%) — alongside a -61% max drawdown.