backtests
We tested the yield gap strategy on London Stock Exchange stocks from 2000 to 2025. The UK delivered 11.83% CAGR vs 7.64% for SPY — the highest excess return across all 20 markets in our study.
backtests
We ran the yield gap strategy on Stockholm Stock Exchange stocks from 2000 to 2025. The result: 10.48% CAGR vs 7.64% for SPY (+2.84% excess), with a 64% annual win rate against SPY.
backtests
India's high risk-free rate (6.5%) sets a strict 9.5% earnings yield threshold for the yield gap screen. Despite that filter, BSE/NSE stocks returned 11.09% CAGR vs 7.64% for SPY over the 20-year invested period.
backtests
The yield gap strategy on TSX stocks returned 9.63% CAGR vs 7.64% for SPY over 25 years. The standout stat: a down-capture ratio of just 3.52%, meaning the portfolio barely fell when SPY sold off.
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 9.97% annually vs 7.64% for SPY, with 2.32% excess return and favorable downside protection.
P/E compression
We tested P/E compression mean reversion on 25 years of UK stock data from the London Stock Exchange. The strategy returned 9.02% annually (GBP-denominated) vs 7.64% for SPY, with 1.38% excess return and exceptional downside protection at 60% down-capture.
value investing
We ran our P/E compression screen on the London Stock Exchange for the first time: 25 years of data, 2000-2025, annual rebalancing. The strategy returned 9.02% annually vs 7.64% for the S&P 500. The outperformance is +1.38% per year. The more interesting number: during
P/E compression
We tested P/E compression on 25 years of Thai stock data. The strategy returned 7.87% annually vs 7.64% for SPY, with only 0.23% excess return and 28% cash periods. A marginal result that shows the strategy's limitations in smaller emerging markets.
value investing
We ran the P/E compression screen on the Stock Exchange of Thailand (SET) for 25 years, 2000-2025. The strategy returned 7.87% annually vs 7.64% for the S&P 500. That's +0.23% per year, barely outperforming. But the down capture of 35.7% is
value investing
We ran the P/E compression screen on the Swiss Exchange (SIX) for 25 years, 2000-2025. The strategy returned 5.08% annually vs 7.64% for the S&P 500. That's -2.56% per year in underperformance, compounding into 245.5% total return against SPY's
P/E compression
We tested P/E compression on 25 years of Japanese stock data. The strategy returned 5.35% annually vs 7.64% for SPY, underperforming by 2.29% per year. An honest look at why mean reversion struggles in Japan's unique market structure.
value investing
We ran the P/E compression screen on JPX (Tokyo Stock Exchange) from 2000 to 2025. The strategy found an average of 28 qualifying stocks per year, the signal fired reliably, and the portfolio still returned 5.35% annually vs 7.64% for the S&P 500. That'