value investing
We backtested a P/B < 1.5 + ROE > 8% screen on Stockholm-listed stocks from 2000 to 2025. 13.55% CAGR, Sharpe ratio of 0.524, and a down capture of only 44.29% vs the OMX Stockholm 30. Best risk-adjusted result of 17 exchanges we tested. Returns in SEK.
P/E compression
P/E compression on Chinese stocks returns 1.07% a year against 3.54% for the SSE Composite. Fully invested for all 25 years, so this failure isn't a data artifact. Negative Sharpe, -70% max drawdown, 94% down-capture.
equity growth
We backtested the Compounding Equity Screen on NSE stocks from 2000 to 2025. 5.15% CAGR vs 12.06% for the Sensex. The strategy underperforms the local benchmark by 6.90% annually, with 8 of 25 years in cash missing India's strongest bull market.
sector rotation
Sector mean reversion on XETRA large caps from 2000 to 2025: 2.58% CAGR vs the DAX's 5.19%. The strategy fires every quarter and still loses by -2.61% annually, at the same volatility and a deeper drawdown. Germany is the only market in the study that fails locally.
backtests
The yield gap strategy on TSX stocks returned 9.57% CAGR vs 4.44% for the TSX Composite (+5.13% excess) over 25 years. The strategy beat the local index in 68% of years, and outperformed SPY by +1.93% annually.
backtests
We ran the same cyclical timing signal across 15 exchanges over 24 years. India: +4.55% annual excess. China: -17.97% annual excess. Germany and Sweden also positive. The same revenue growth signal produced opposite outcomes in markets with different economic structures.
P/E compression
P/E compression on Hong Kong stocks returns -0.69% CAGR vs 0.49% for the Hang Seng. Both the strategy and the local market failed to deliver real returns over 25 years. Down-capture is 97% and up-capture 95%, so the strategy offers no protection the index doesn't.
owner earnings
We ran the same Owner Earnings Yield screen on 14 global exchanges over 25 years. Ten of 14 beat their local benchmark. India leads at 15.47% CAGR. The UK delivers the largest local alpha (+7.5% vs FTSE). Sweden produces the best Sharpe (0.389).
etf
We tested low ETF ownership stocks on 18 exchanges with local benchmarks. UK beats FTSE by +5.96%. India trails Sensex by -6.46%. 5 of 18 positive vs local benchmark. The full picture.
quality investing
We ran the FCF Compounders screen on 18 exchanges from 2000-2025 with local benchmarks. US led at 12.15% CAGR (+4.29% vs S&P 500). UK +9.48% vs FTSE. India trails Sensex by 6.14% annually. Only deep markets work.
Multi-Market
Testing capital efficiency across 6 major markets (2000-2025): India +6.96% vs Sensex, Switzerland +7.13% vs SMI, UK +8.12% vs FTSE, Germany +3.52% vs DAX, US +2.54% vs SPY, China -0.64% vs SSE. How low-capex, high-ROIC strategies travel across markets.
income-quality
We ran the Sloan accrual anomaly screen on 13 exchanges over 25 years. The high-low spread was positive in 12 of 13 markets. South Africa led at +22.1%. India showed no separation at all. Full comparison with methodology.