small cap
We backtested small-cap value on Indian exchanges (BSE + NSE) from 2000 to 2025. 22.48% CAGR, beating the Sensex by 10.42% per year. The highest absolute return of any exchange in our 14-market comparison.
small cap
We backtested small-cap value on Japanese stocks (JPX) from 2000 to 2025. 8.13% CAGR vs 3.31% for the Nikkei 225. Japan was the original Fama-French value market, and the premium still shows up: +4.82% annual excess, 0.364 Sharpe.
small cap
We backtested small-cap value on the Johannesburg Stock Exchange (JSE) from 2000 to 2025. 12.80% CAGR, +4.95% excess over SPY. Strong mid-2000s commodity boom returns, but the 0.163 Sharpe ratio reveals the cost of South Africa's high risk-free rate.
small cap
We backtested small-cap value on Nasdaq Stockholm from 2000 to 2025. 11.70% CAGR, +9.15% over the OMX Stockholm 30. Post-crisis recoveries are explosive, but the -40.95% max drawdown is real.
small cap
We backtested small-cap value on TWSE from 2000 to 2025. 12.63% CAGR with a max drawdown of just -11.38%. +8.54% excess over the TAIEX. The second-best risk-adjusted result in our 14-exchange global comparison.
small cap
We backtested small-cap value on Thailand's SET from 2000 to 2025. 12.25% CAGR, just -23.54% max drawdown, +7.11% excess over the SET Index. The cleanest emerging market result in our 14-exchange comparison.
small cap
We backtested a small-cap value screen on US stocks from 2000 to 2025. Buy the 30 cheapest small caps by P/B with quality controls. Result: 18.10% CAGR vs 7.85% for SPY, with half the drawdown.
earnings
Taiwan is the exception in a global beat-and-dip study. 411 events from 2014–2025 show statistically significant mean reversion: +2.20%** at T+21 overall, and +7.35%** for the 10–20% dip category. Every other market in the study shows flat or negative drift.
value investing
Value-momentum composite on Toronto Stock Exchange from 2000 to 2025. 9.17% CAGR with zero cash periods, 40% down capture vs TSX Composite, and a 64.71% win rate.
value investing
We backtested value-momentum on 17 exchanges over 25 years with local benchmarks. 14 of 17 beat their local index. India leads at 15.69% CAGR. Hong Kong has the highest alpha (+8.03% vs Hang Seng). Only Korea, Thailand, and Norway underperformed.
value investing
Value-momentum composite on XETRA from 2002 to 2025. 8.15% CAGR with the lowest max drawdown (-32.12%), lowest volatility (14.80%), and highest Sortino ratio (0.694) of any exchange tested.
value investing
Value-momentum composite on HKSE from 2001 to 2025. 9.34% CAGR with +8.03% excess over Hang Seng. Deep drawdowns (-62.75%) but strong recoveries. Only 2 cash periods.