value investing
Value-momentum composite on Stockholm Exchange from 2003 to 2025. 9.93% CAGR with +7.01% excess return vs the OMX30, 52% down capture, and a 0.753 Sortino ratio.
value investing
Value-momentum composite on Toronto Stock Exchange from 2000 to 2025. 9.30% CAGR with zero cash periods, 36% down capture vs TSX Composite, and a 66.67% win rate.
value investing
Value-momentum composite on HKSE from 2001 to 2025. 9.88% CAGR with +8.57% excess over Hang Seng. Deep drawdowns (-61.79%) but strong recoveries. Only 2 cash periods.
value investing
We backtested a P/B < 1.5 + ROE > 8% screen on US stocks from 2000 to 2025. 5.78% CAGR vs 7.64% for the S&P 500. The Nobel Prize-documented premium has been arbitraged away, and the old downside-protection story is gone too.
value investing
We backtested an earnings yield screen with quality filters on 25 years of US stock data (NYSE, NASDAQ, AMEX). 8.92% CAGR vs 8.02% for the S&P 500. Modest alpha, textbook value factor cyclicality.
dividend investing
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. 9.54% CAGR, +1.69% alpha, zero cash periods.
DCF
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
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
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.
DCF
We ran a Gordon Growth DCF screen with quality filters on 25 years of London Stock Exchange data. No qualifying stocks 2000–2003. From 2004, 9.10% CAGR vs 7.64% SPY, with strong recovery years in 2006, 2009, 2012, and 2021 — and a -36% annual gap in 2014 driven by the energy sector collapse.
DCF
We added ROE, D/E, and OCF quality filters to a Gordon Growth DCF screen and tested it on 25 years of US stocks. The result was 11.25% CAGR vs 7.64% SPY, 3.60% annual excess return, and 38% down capture — the strategy captures only 38 cents of every dollar the market loses.
UK stocks
We backtested a sector-relative EV/EBITDA screen on 25 years of UK stock data (LSE). 9.77% CAGR vs 0.86% for the FTSE 100 (price return), zero cash periods, and a max drawdown of -31.12%. Note: FTSE 100 is price-only — true excess vs total-return FTSE is closer to +5-6% annually.