P/E compression
We tested P/E compression on 25 years of Thai stock data. The strategy returned 7.87% annually vs 7.64% for SPY, with only 0.23% excess return and 28% cash periods. A marginal result that shows the strategy's limitations in smaller emerging markets.
value investing
We ran the P/E compression screen on the Stock Exchange of Thailand (SET) for 25 years, 2000-2025. The strategy returned 7.87% annually vs 7.64% for the S&P 500. That's +0.23% per year, barely outperforming. But the down capture of 35.7% is
value investing
We ran the P/E compression screen on the Swiss Exchange (SIX) for 25 years, 2000-2025. The strategy returned 5.08% annually vs 7.64% for the S&P 500. That's -2.56% per year in underperformance, compounding into 245.5% total return against SPY's
P/E compression
We tested P/E compression on 25 years of Japanese stock data. The strategy returned 5.35% annually vs 7.64% for SPY, underperforming by 2.29% per year. An honest look at why mean reversion struggles in Japan's unique market structure.
value investing
We ran the P/E compression screen on JPX (Tokyo Stock Exchange) from 2000 to 2025. The strategy found an average of 28 qualifying stocks per year, the signal fired reliably, and the portfolio still returned 5.35% annually vs 7.64% for the S&P 500. That'
P/E compression
P/E compression on Indian stocks delivers 4.15% CAGR vs 7.64% SPY, with -0.071 Sharpe ratio and 102% down-capture. The strategy amplifies losses instead of protecting downside. Honest test of where volatility kills mean reversion.
value investing
We ran our P/E compression screen on BSE and NSE for 25 years. The result: 4.15% CAGR, a negative Sharpe ratio of -0.071, and 101.8% down capture. The portfolio absorbed more of the S&P 500's losses during down years than the S&
P/E compression
P/E compression on Hong Kong stocks delivers -0.26% CAGR and 133% down-capture. The strategy amplifies losses significantly. When SPY lost 10%, this portfolio lost 13.3%. A clear failure case.
value investing
We ran the P/E compression screen on HKSE (Hong Kong Stock Exchange) from 2000 to 2025. The strategy averaged 20 qualifying stocks per year, held cash in only 2 of 25 years, and still returned -0.26% annually vs 7.64% for the S&P 500. A $10,
value investing
We ran our P/E compression screen on XETRA (Deutsche Boerse) for 25 years. The strategy returned 4.18% annually vs 7.64% for the S&P 500. That's -3.46% per year in excess return, with a win rate of 28%, meaning the screen underperformed in
P/E compression
P/E compression on Chinese stocks delivers -0.68% CAGR vs 7.64% SPY, the worst absolute performance among all tested markets. Negative Sharpe and -63.70% max drawdown show P/E dynamics differ fundamentally in Chinese markets.
value investing
We ran the P/E compression screen on Shenzhen (SHZ) and Shanghai (SHH) A-shares from 2000 to 2025. The strategy found qualifying stocks every single year, zero cash periods across 25 years, averaging 23.9 stocks annually. -0.68% CAGR. A $10,000 investment lost $1,560 in nominal terms