Canada stocks
We backtested sector-relative EV/EBITDA on 23 years of Canadian stocks (TSX). 7.16% CAGR vs 4.44% TSX Composite (+2.72% excess), but max drawdown -44.68% and Sharpe 0.233. The signal works when sector discounts have a catalyst. In Canada's resource-heavy TSX, they often don't.
global stocks
We ran sector-relative EV/EBITDA on 14 global exchanges (2000-2025), using each market's own local benchmark. 11 of 14 markets show positive excess return. The "West works, East doesn't" framing disappears with local benchmarks. India and Thailand are the main underperformers. US leads at...
Germany stocks
We backtested sector-relative EV/EBITDA on 25 years of German stocks (XETRA). 8.97% CAGR vs 4.45% DAX (total return), +4.53% excess. Zero cash periods. Win rate 48% but big alpha years (2000: +48% excess vs DAX) drive the long-run case. DAX is a total-return index — this is a clean comparison.
India stocks
We backtested a sector-relative EV/EBITDA screen on NSE stocks (2006-2025). 10.75% CAGR and beats SPY by a wide margin, but the Sensex returned 11.4%. Against the local benchmark, the strategy trails by 0.66% per year. Full data, SQL screen, and honest assessment.
Japan stocks
We backtested sector-relative EV/EBITDA on 19 years of Japanese stocks (JPX, 2006-2025). 3.38% CAGR vs 2.95% Nikkei 225, +0.43% excess. Japan is a deep value market, but the excess is thin and risk-adjusted returns are poor (Sharpe 0.177, MaxDD -49.76%). Discounts close on government policy, not...
Switzerland stocks
We backtested sector-relative EV/EBITDA on 23 years of Swiss data (SIX). 8.83% CAGR vs 1.90% SMI (price return), 18.21% down capture, MaxDD -29.3%, Sharpe 0.421. Note: SMI excludes dividends — true excess vs total-return SMI is ~+3-4% annually. Still strong downside protection with a 15-stock...
EV/EBITDA
We tested a sector-relative EV/EBITDA screen on 25 years of US stock data. When a profitable company's EV/EBITDA falls 30%+ below its sector peers, it tends to mean-revert. 12.51% CAGR vs 7.64% for SPY, with 60.4% down capture and zero cash periods across 25 years.
P/E mean reversion
We tested sector-relative P/E mean reversion on 13 global stock markets from 2000 to 2025. The signal: buy when a stock's P/E drops below 60% of its sector median, filtered for quality (ROE > 8%, D/E < 2). The result splits cleanly along geography. Western
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of XETRA data. Buy when a stock trades at a 40%+ discount to its sector median P/E, filtered for quality. The strategy returned 10.20% annually vs 4.45% for the DAX, with 5.76% excess return, the highest Sharpe ratio of 13...
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of Indian stock data from the NSE. The strategy returned 9.96% annually, which beats the S&P 500 (7.64%) but trails the Sensex (11.4%). Local benchmark matters: a strategy that looks like alpha vs SPY is actually slightly...
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of UK stock data. Stocks trading at a 40%+ discount to sector peers, filtered for quality, returned 11.67% CAGR vs 0.86% for the FTSE 100. The highest local excess return of any exchange tested: 10.81%. Win rate: 76%.
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of US stock data. Buy quality stocks trading 40%+ below their sector''s median P/E. The strategy returned 9.87% annually vs 7.64% for SPY, with 2.23% excess return and zero cash periods across 25 years.