P/E compression
P/E compression on Indian stocks delivers 4.15% CAGR vs 7.64% SPY, with -0.071 Sharpe ratio and 102% down-capture. The strategy amplifies losses instead of protecting downside. Honest test of where volatility kills mean reversion.
value investing
We ran our P/E compression screen on BSE and NSE for 25 years. The result: 4.15% CAGR, a negative Sharpe ratio of -0.071, and 101.8% down capture. The portfolio absorbed more of the S&P 500's losses during down years than the S&
P/E compression
P/E compression on Hong Kong stocks delivers -0.26% CAGR and 133% down-capture. The strategy amplifies losses significantly. When SPY lost 10%, this portfolio lost 13.3%. A clear failure case.
value investing
We ran the P/E compression screen on HKSE (Hong Kong Stock Exchange) from 2000 to 2025. The strategy averaged 20 qualifying stocks per year, held cash in only 2 of 25 years, and still returned -0.26% annually vs 7.64% for the S&P 500. A $10,
value investing
We ran our P/E compression screen on XETRA (Deutsche Boerse) for 25 years. The strategy returned 4.18% annually vs 7.64% for the S&P 500. That's -3.46% per year in excess return, with a win rate of 28%, meaning the screen underperformed in
P/E compression
P/E compression on Chinese stocks delivers -0.68% CAGR vs 7.64% SPY, the worst absolute performance among all tested markets. Negative Sharpe and -63.70% max drawdown show P/E dynamics differ fundamentally in Chinese markets.
value investing
We ran the P/E compression screen on Shenzhen (SHZ) and Shanghai (SHH) A-shares from 2000 to 2025. The strategy found qualifying stocks every single year, zero cash periods across 25 years, averaging 23.9 stocks annually. -0.68% CAGR. A $10,000 investment lost $1,560 in nominal terms
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.