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. 10.88% CAGR vs 7.64% for the S&P 500, with 73.0% down capture and zero cash periods across 25 years.
P/E mean reversion
Sector-relative P/E mean reversion across 13 global markets, 2000-2025. Four beat the S&P 500 (UK +3.23%, Germany +2.73%, India +2.62%, US +2.61%). Nine beat their own local index. Only Korea and Taiwan fail on both measures.
P/E mean reversion
A sector-relative P/E mean reversion screen on 25 years of NSE data returned 10.26% annually, beating the S&P 500 (7.64%) but trailing the Sensex (11.4%). Alpha vs SPY, below-market vs the domestic index. Extreme volatility: 34% annual standard deviation, -61% max drawdown in 2008.
value investing
D/E < 0.5 + Piotroski F-Score >= 7 on NSE, backtested 2000-2025. 13.65% CAGR vs Sensex 12.06%, +1.60% annual excess. Max drawdown -16.45% vs Sensex -32.20%. India delivers sustained alpha with half the drawdown.
value investing
Fourteen of 15 exchanges beat their local benchmark over 25 years using a Price-to-Tangible-Book strategy. Only 11 of those 14 keep the edge once you allow for the dividends those price indices leave out. Only Korea underperformed. The strategy works where physical and financial assets are the primary value driver:
value investing
Over 25 years on the Toronto Stock Exchange, a Price-to-Tangible-Book strategy returned 9.32% annually against the TSX Composite's 3.95%, a margin of 5.37 percentage points. That's a meaningful edge over the domestic benchmark, more than doubling the index return. The TSX Composite only
value investing
Swedish industrial companies, sorted by the ratio of market cap to tangible book value, returned 9.25% annually from 2000 to 2025, beating the OMX Stockholm 30 by 6.70 percentage points. The OMX returned just 2.55% annualised over the same period. The strategy spent four years in cash
P/E compression
We tested a P/E compression mean reversion screen on 25 years of US stock data. Buy when current P/E drops 15% below its 5-year average with quality filters. The strategy returned 10.92% annually vs 7.64% for SPY, with 3.27% excess return and 49% down-capture.
value investing
We ran the same P/B screen across 17 stock exchanges and 25 years of data. Four beat SPY. Thirteen didn't. But with local benchmarks, 12 of 17 beat their own market. Here's where the value premium survived and where it didn't. After the dividend adjustment, 7 of those 12 hold.
value investing
Sweden produced 14.57% CAGR from the DCF discount strategy vs 2.40% for the OMX Stockholm 30 (price-only). The +12.17% headline excess narrows to roughly +9 points after dividend adjustment, still the strongest local-benchmark result in our global comparison.
value investing
DCF discount screening on the Korea Stock Exchange returned 5.65% CAGR over 25 years, ahead of the KOSPI by +1.21% annually. Adjusting for the KOSPI's missing dividend yield (~2%), the realistic edge is closer to neutral. 48% win rate, -44.79% max drawdown.
value investing
Same DCF screen across 14 global exchanges with local benchmarks. Sweden led on every metric (+12.17% vs OMXS30, Sharpe 0.579). Germany +7.89% vs DAX, Canada +7.40% vs TSX. India trailed its Sensex. Universe construction matters as much as the signal.