event-study
Stocks removed from the NASDAQ-100 average +5.13% vs QQQ in the 21 days after removal (t=3.29, median +2.61%). 25 years of data, 169 removal events. Here's the methodology and the screen.
stock splits
We analyzed 1,968 forward stock splits on US exchanges from 2000 to 2025. The post-split drift has disappeared in aggregate. But the split ratio tells the real story: 2-for-1 splits still outperform (+2.6%), while 5-for-1+ splits underperform by -11.7%.
backtests
Out of 22 exchanges we tested the Net Debt/EBITDA screen across, Sweden's Stockholm Stock Exchange produced the best result among developed markets: 10.36% CAGR, +7.18% above the OMX Stockholm 30 annually, Sharpe ratio 0.414. The signal works in Sweden because the exchange has an
backtests
We tested the ratio private equity firms use to screen acquisitions, Net Debt/EBITDA below 2x, on the full US market over 25 years. The result is honest and worth understanding.
backtests
The same signal that underperforms on the full US market produced 21.55% CAGR in India over 25 years, +10.43% above the Sensex annually. Here's what the data shows and why.
backtests
We ran the same Net Debt/EBITDA screen across 22 global exchanges over 25 years. With local benchmarks, 12 of 22 beat their home index. India: +10.43% vs Sensex. The exchange matters more than the signal.
value-investing
Stockholm Exchange delivered 9.99% CAGR over 25 years, +6.81%/yr vs OMX Stockholm 30. Sharpe ratio of 0.391 is 6.5x the benchmark's 0.060.
value-investing
South Africa's JSE delivered 7.21% CAGR over 25 years with strong downside protection. Beta 0.601, down capture 42.3%, -14.3% in 2008 vs S&P 500's -34.3%. Trails SPY on returns but adds real diversification value.
value-investing
India is the strongest PEG ratio market we tested. 13.68% CAGR over 25 years, +2.6%/yr vs the Sensex. The ride was violent, -65% in 2008, +102% in 2009. Here's the full data.
value-investing
Taiwan's DCF discount portfolio returned 9.15% CAGR over 25 years, beating the TAIEX by +6.10% annually. The 0.398 Sharpe, -36.80% max drawdown, and 3.8:1 up/down capture asymmetry show strong risk-adjusted performance.
value-investing
Peter Lynch's PEG ratio underperforms the full US exchange universe by 1.2%/yr over 25 years. Here's what works, what doesn't, and why universe selection changes everything.
value-investing
PEG ratio tested on 14 exchanges with local benchmarks. Sweden: +6.81% vs OMX30. Canada: +3.94% vs TSX. India: +2.56% vs Sensex. 6 of 14 markets beat their home index. The old SPY comparison was mixing currency effects with equity alpha.