value investing
Over 25 years on the Toronto Stock Exchange, a Price-to-Tangible-Book strategy returned 8.61% annually against SPY's 7.83%, a margin of 0.77 percentage points. That's the narrowest outperformance of any market we publish a dedicated blog for. Canada works, barely, and understanding why it
backtests
We tested buying S&P 500 sectors when their aggregate P/E falls 1+ standard deviation below the 5-year average. 12.70% CAGR vs 10.65% SPY over 21 years, with 67.6% down-capture ratio. Full methodology and SQL included.
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
The UK produced the lowest max drawdown of any dedicated market in our cyclical timing study (-28.54%). 7.94% CAGR (-0.95% excess), Sharpe 0.277. Five cash periods including three consecutive (2014, 2015, 2017) suppressed returns but limited losses.
backtests
Switzerland tied for highest Sharpe ratio in our cyclical timing study (0.415), despite 7.46% CAGR (-1.43% excess). Six cash periods (25%), but strong returns when invested. Swiss precision machinery and specialty chemicals created consistent signal quality.
backtests
Sweden is one of two dedicated markets in our study with positive excess returns. 9.67% CAGR (+0.78% excess), Sharpe 0.344, high variance. The Swedish industrial economy fires the expansion signal less often but delivers strong results when invested.
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
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
Canada has the lowest down capture of any market in our 15-exchange study (28.4%). But overall CAGR is weak at 5.78% (-3.11% excess). Energy sector concentration creates boom-bust dynamics that the revenue growth signal times but can't fully escape.
backtests
ASX cyclical timing returned 7.45% CAGR (-1.45% excess) over 24 years. Australia's resources-heavy economy ties cyclical signals closely to commodity prices. 2005-2006: supercycle surge (+35.8%, +33.1%). 2021: worst year (-21.3%). Modest underperformance but reliable signal quality.
defensive investing
Defensive Quality Across 11 Markets: What Works, What Doesn't, and Why We ran the same defensive quality screen across 16 global exchanges from 2000 to 2024. The signal: quality stocks in Consumer Defensive, Utilities, and Healthcare sectors, ranked by dividend yield. Contents 1. Method 2. The Results 3.
defensive investing
We backtested a quality screen across Consumer Defensive, Utilities, and Healthcare on all US exchanges from 2000 to 2024. 9.80% CAGR vs 7.83% for the S&P 500, with a -9.5% down capture ratio. When markets fall on average, this portfolio gains. Not just protects. Gains.