low volatility
We backtested low-vol quality on the Taiwan Stock Exchange (TAI) from 2000 to 2025. It returned 6.68% CAGR with a 0.424 Sharpe, beating the TAIEX by +2.30% annually. Down capture 29% and beta 0.314 in a market dominated by TSMC and semiconductors. The boring-stock premium beats the local index.
low volatility
Low-vol quality stocks on the JPX returned 6.38% CAGR vs the Nikkei 225's 3.40% from 2000 to 2025. 0.398 Sharpe, 4.42% alpha, 58.25% win rate. Max drawdown of -42.16%. The strategy sat in cash for 14% of quarters due to late Japanese financial filings. Down capture of 43.22%.
equity growth
We backtested the Compounding Equity Screen on XETRA stocks from 2000 to 2025. 3.26% CAGR vs 5.04% for the DAX. A -1.78% annual shortfall against the local benchmark, with 57% down capture and a 56% win rate. Germany trails the local index but by far less than it looked vs SPY.
small cap
We backtested a small-cap value screen on US stocks from 2000 to 2025. Buy the 30 cheapest small caps by P/B with quality controls. Result: 18.10% CAGR vs 7.85% for SPY, with half the drawdown.
small cap
We backtested small-cap value on Thailand's SET from 2000 to 2025. 12.25% CAGR, just -23.54% max drawdown, +7.11% excess over the SET Index. The cleanest emerging market result in our 14-exchange comparison.
small cap
We backtested small-cap value on TWSE from 2000 to 2025. 12.63% CAGR with a max drawdown of just -11.38%. +8.54% excess over the TAIEX. The second-best risk-adjusted result in our 14-exchange global comparison.
small cap
We backtested small-cap value on Nasdaq Stockholm from 2000 to 2025. 11.70% CAGR, +9.15% over the OMX Stockholm 30. Post-crisis recoveries are explosive, but the -40.95% max drawdown is real.
small cap
We backtested small-cap value on the Johannesburg Stock Exchange (JSE) from 2000 to 2025. 12.80% CAGR, +4.95% excess over SPY. Strong mid-2000s commodity boom returns, but the 0.163 Sharpe ratio reveals the cost of South Africa's high risk-free rate.
small cap
We backtested small-cap value on Japanese stocks (JPX) from 2000 to 2025. 8.13% CAGR vs 3.31% for the Nikkei 225. Japan was the original Fama-French value market, and the premium still shows up: +4.82% annual excess, 0.364 Sharpe.
small cap
We backtested small-cap value on Indian exchanges (BSE + NSE) from 2000 to 2025. 22.48% CAGR, beating the Sensex by 10.42% per year. The highest absolute return of any exchange in our 14-market comparison.
small cap
We backtested small-cap value on XETRA from 2000 to 2025. 11.42% CAGR, +6.38% excess over the DAX, with a 0.396 Sharpe ratio. Germany's Mittelstand small industrials are a natural fit for P/B screening.
small cap
We backtested small-cap value on China's A-share market (Shanghai + Shenzhen) from 2000 to 2025. 12.62% CAGR, +10.19% excess over the SSE Composite. But the path includes -57.63% max drawdown and individual years of +132% and -29%.