value investing
The Canadian version of our P/E compression screen produced 8.75% annually from 2000 to 2025, beating the S&P 500 by 1.11% per year. That's fine. What's more interesting: during down markets, this strategy absorbed only 23.7% of the S&
P/E compression
We tested P/E compression on 25 years of Canadian stock data. The strategy returned 8.75% annually vs 7.64% for SPY, with 1.11% excess return and exceptional downside protection. The 24% down-capture ratio is the best among all tested markets.
sector rotation
We tested buying the bottom 2 sectors by 12-month return on US large caps, quarterly, from 2000 to 2025. The result: 10.59% CAGR vs 8.02% for the S&P 500, a 1270% total return, and a 55.8% quarterly win rate over 104 periods.
sector rotation
Sector mean reversion on LSE large-cap stocks from 2000 to 2025: 6.47% CAGR vs 8.02% S&P 500. The strategy consistently fires (101 of 104 quarters invested) but underperforms by -1.56% annually in GBP. Energy dominates as the most selected sector.
sector rotation
Sector mean reversion on SET large caps from 2000 to 2025: 8.82% CAGR vs 8.02% S&P 500. +0.80% annual excess with 57.05% down capture. Small universe (27 avg stocks), 9 cash periods. 2023-2024 saw consecutive -28% to -30% excess. Energy and Communication Services dominate.
sector rotation
Taiwan's sector mean reversion produced 14.60% CAGR over 26 years with the highest Sharpe ratio (0.495) in a 14-exchange study. The standout metric: a down capture of -9.2%. When global markets fall, this strategy tends to go up.
sector rotation
Sector mean reversion on SIX large caps from 2000 to 2025: 4.51% CAGR vs 8.02% S&P 500. The worst excess return in this study at -3.51% annually. Consumer Cyclical and Healthcare dominate selection. Swiss market structure makes mean reversion structurally unreliable.
sector rotation
Sweden's sector mean reversion returned 12.63% annually over 26 years with a 57.7% win rate against SPY — the highest in the top five exchanges. The tradeoff: a down capture of 109.6% and a max drawdown of -62.3%.
sector rotation
Korea's sector mean reversion produced 14.65% CAGR over 26 years with a Sharpe of 0.466 and max drawdown of -37.4% — beating SPY on returns, risk-adjusted performance, and drawdown simultaneously. The standout metric: 36.7% down capture.
sector rotation
Buying the two most out-of-favor sectors on BSE and NSE each quarter returned 16.42% annually over 26 years, +8.40% above SPY. The cost: a -70.5% max drawdown and 37.5% annualized volatility that tests any strategy's durability.
sector rotation
Sector mean reversion on HKSE large caps from 2000 to 2025: 6.51% CAGR vs 8.02% S&P 500. 2009 was +105.53%. 2023 was -15.66% vs SPY +26%. Extreme year-to-year variance with -1.51% average annual underperformance.
sector rotation
Sector mean reversion on XETRA large caps from 2000 to 2025: 4.82% CAGR vs 8.02% S&P 500. The strategy fires consistently (101 of 104 quarters) but underperforms by -3.20% annually. Consumer Defensive and Utilities dominate selection. Export-led sector structure explains the failure.