P/E compression
P/E compression on Indian NSE stocks delivers 5.79% CAGR vs 11.40% for the Sensex, underperforming by 5.61% a year. Most of the gap is one eight-year hole at the start where thin price data left the strategy with no position.
sector rotation
Same sector mean reversion strategy across 13 exchanges, each against its own local index. Taiwan +9.35%, Korea +8.74%, Sweden +7.40% excess CAGR. Germany is the only local failure at -2.61%. But India's +1.44% excess is a negative alpha once you adjust for beta, and so is most of the US result.
sector rotation
We tested buying the bottom 2 sectors by 12-month return on US large caps, quarterly, from 2000 to 2025. The result: 10.60% CAGR vs 8.02% for the S&P 500, a 1273% total return, and a 53.85% quarterly win rate over 104 periods. Beta-adjusted, the alpha is +0.75%.
backtests
Oversold Quality (Piotroski >= 7 + RSI < 30) on 18 exchanges. China beats the SSE Composite by +3.02%, Germany beats the DAX by +2.05%, and the US draws even with the S&P 500. The other 15 trail their local benchmarks.
backtests
Oversold Quality on German XETRA stocks: 7.17% CAGR, +2.05% above the DAX, Sharpe 0.308, and a 29% down-capture. The best risk-adjusted result in our 18-exchange series, with a max drawdown less than half the DAX's. The 39% cash rate is the honest caveat.
backtests
The Oversold Quality strategy on Chinese A-shares (SHZ+SHH) delivered 7.21% CAGR vs 4.19% for the SSE Composite over 25 years. One of the exchanges in our global series where the strategy clearly beats the local benchmark, with strong downside protection.
backtests
We combined Piotroski quality scores with RSI oversold signals and tested it on 25 years of US market data. The strategy matches SPY over the full period, with most of the work done by a handful of crash and recovery years.
event-study
18,363 earnings events on TSX+TSXV (2000-2025). Beats drift +1.28% vs TSX Composite at T+63 (t=+8.17). Misses drift -0.08% (t=-0.45, not significant). Q5-Q1 spread: +2.06pp. Next-day close entry.
event-study
We analyzed 157,269 earnings events from 2000-2025 on NYSE/NASDAQ/AMEX with next-day close entry. Beats drift -0.32% vs SPY at T+63, misses -0.91%. Both legs sit below SPY, so read the gap: misses trail beats by 0.59pp and the Q5-Q1 spread is +1.34pp.
event-study
With MOC entry and the Nikkei as benchmark, Japan's beat drift vanishes (-0.30%, t=-2.16). Misses land at -0.83% (t=-5.21). Both legs sit below the index, so what survives is the ranking: Q5-Q1 +1.07pp, 2000-2025.
event-study
NSE stocks drift +2.93% vs the Sensex after positive earnings surprises over 63 trading days (next-day close entry). Q5-Q1 spread: +4.28pp. In a world where US beats show no post-entry drift, India's signal is the strongest globally.
event-study
PEAD event study on 14 exchanges, 2000-2025, with MOC entry and local benchmarks. Taiwan leads on quintile spread at +4.55pp, India at +4.28pp. US beats don't drift post-entry. Updated 2026-08-29: UK and Germany rows withdrawn on domicile grounds.