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
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
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
Fourteen of 15 exchanges beat their local benchmark over 25 years using a Price-to-Tangible-Book strategy. Only Korea underperformed. The strategy works where physical and financial assets are the primary value driver: manufacturing, banking, energy, materials. The one failure, Korea, reveals structural limits worth understanding. But the broad picture is clear:
P/E compression
P/E compression on Japanese stocks returns 5.20% annually vs 2.95% for the Nikkei 225, beating the local benchmark by 2.25% per year with 52% down-capture. The strategy works in Japan when compared against the correct local benchmark.
P/E compression
P/E compression on UK stocks returns 9.72% annually (GBP) vs 0.86% for the FTSE 100, with 8.86% excess return. The FTSE 100 has been a weak benchmark over 25 years. The strategy also beats SPY at 2.08% excess.
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 9.92% annually vs 7.64% for SPY, with 2.28% excess return and favorable downside protection.
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.
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.
value investing
We previously published a DCF discount backtest for Australian stocks reporting 6.08% CAGR. The result was partly an artifact of broken split-adjusted prices in our upstream FMP data (314 ASX symbols affected). We retract the original number and explain why.