backtests
Germany produced the best risk-adjusted cyclical timing result among developed markets. 8.48% CAGR (-0.41% excess), Sharpe 0.411, max drawdown -35.07%. German industrials and materials provided stable expansion signals across 24 years.
backtests
India is the only dedicated market in our 15-exchange cyclical timing study with sustained outperformance. 13.44% CAGR, +4.55% excess vs S&P 500, and a -0.6% down capture that made this strategy counter-cyclical in Indian markets.
backtests
We tested a 24-year strategy that invests in US cyclical stocks only when the sector is expanding (50%+ of companies with positive revenue growth). 8.04% CAGR, 34.3% down capture, and three cash calls that avoided major drawdowns. Full methodology and SQL included.
backtests
EV/EBITDA screening on XETRA: 6.83% CAGR vs 4.45% for the DAX. A 2.38% annual edge against the local index with a 68% win rate.
backtests
EV/EBITDA below 10x on NSE equities: 11.97% CAGR over 20 invested years vs 11.40% for the Sensex. A modest edge with lower beta.
backtests
EV/EBITDA screen on Borsa Italiana returned 5.94% CAGR over 25 years, trailing SPY's 7.64%. Thin universe and six cash years. The strategy doesn't justify the complexity over a simple index fund.
backtests
A simple EV/EBITDA screen on Stockholm-listed stocks returned 10.03% CAGR over 25 years vs OMX Stockholm 30's 2.95%. The strategy outperformed in 80% of years, with 138.6% up capture and only 52.0% down capture against the local index.
backtests
EV/EBITDA below 10x on the TSX: 9.74% CAGR vs TSX Composite 4.44%, 76% win rate. Canada's commodity-heavy market is structurally suited to this screen, with 150.2% up capture and 5.28% alpha.
backtests
EV/EBITDA below 10x is how private equity prices acquisitions. We tested it as an equity screen on 22,000+ US stocks over 25 years.
value-investing
Canada's TSX returned 9.79% CAGR on a low P/B screen over 25 years, +5.36% annual excess vs the TSX Composite. In 2022, the portfolio gained +32% while the TSX fell -8%, the largest annual spread across all 17 exchanges we tested.
dividend investing
We applied the rising dividend yield screen to 25 years of TSX data. 8.48% CAGR, +4.53% annual alpha vs TSX Composite, zero cash periods, and lower volatility than the US version. Canada''s resource and financial sectors are natural dividend growers.
dividend investing
Rising dividend yield on LSE: 6.56% CAGR, +5.34% annual alpha vs FTSE 100. The strategy works as a UK stock selector. Sharpe of 0.139 and -40.80% max drawdown are the honest costs.