value investing
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.
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
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.
P/E compression
P/E compression on UK stocks returns 2.48% annually (GBP) vs 0.86% for the FTSE 100 price index. Adjust for the FTSE's 3.5% dividend yield and the edge disappears. The strategy also sat in cash for 9 of 25 years.
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.
global stocks
We ran sector-relative EV/EBITDA on 15 global exchange sets (2000-2025) against each market's own local benchmark. 10 of the 13 with a usable record show positive excess. India, Japan and Thailand underperform. UK leads at +8.63%, US is the cleanest at +3.24%.
India stocks
We backtested a sector-relative EV/EBITDA screen on NSE stocks (2006-2025). 10.20% CAGR beats the S&P 500 by 2.56 points, but the Sensex returned 11.4%. Against the local benchmark, the strategy trails by 1.20% per year. Full data, SQL screen, and honest assessment.