value investing - Ceta Research (Page 5)

owner earnings

One Screen, 14 Exchanges: Where Owner Earnings Yield Works Around the World

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).

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%.

P/E compression

Japan P/E Compression: +2.45% Annual Alpha vs Nikkei 225

P/E compression on Japanese stocks returns 5.40% annually vs 2.95% for the Nikkei 225, beating the local benchmark by 2.45% per year with 53% down-capture. The strategy works in Japan when compared against the correct local benchmark.

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). 8.92% CAGR vs 8.02% for the S&P 500. Modest alpha, textbook value factor cyclicality.

Growth of $10,000 invested in Value-Momentum on HKSE vs Hang Seng.

value investing

Value-Momentum on Hong Kong Stocks: 9.88% CAGR, +8.57% Excess Return vs Hang Seng

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.

Growth of $10,000 invested in Value-Momentum on TSX vs TSX Composite.

value investing

Value-Momentum on Canadian Stocks: 9.30% CAGR, +4.64% Excess Return vs TSX Composite

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.

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 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.

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.