value investing
We ran a P/S value screen on NYSE, NASDAQ, and AMEX from 2000 to 2025 requiring P/S below 1.0, gross margin above 20%, operating margin above 5%, and ROE above 10%. The strategy returned 11.14% annually vs 8.01% for the S&P 500.
value investing
We ran a P/S value screen on the Stockholm Stock Exchange from 2000 to 2025. The strategy returned 9.36% annually with a Sharpe ratio of 0.365, above SPY's 0.354. Cash during 2000-2002 provided accidental protection during the dot-com bust.
value investing
We screened JSE-listed stocks for low price-to-sales ratios with qualifying margins and profitability, then backtested the resulting portfolio from 2000 to 2025. The strategy returned 9.71% annually vs 8.01% for the S&P 500. That's +1.70% annual outperformance. But the Sharpe ratio of 0.
value investing
We screened JPX for stocks with P/S below 1 and quality margin filters, then ran 25 years of backtests. The strategy returned 7.44% annually, 0.57% below SPY, but posted a Sharpe ratio of 0.369 that ranks among the best of all 13 exchanges tested globally.
value investing
A quality-filtered P/S value screen on BSE and NSE returned 15.53% CAGR from 2000 to 2025, the best raw return of all 13 exchanges tested, with +7.52% excess return over the S&P 500 and a max drawdown of -74.63%.
value investing
We screened XETRA-listed stocks for low price-to-sales ratios with qualifying margins and profitability, then backtested the resulting portfolio from 2000 to 2025. The strategy returned 10.74% annually vs 8.01% for the S&P 500, over 25 years and 100 quarterly periods. The Sharpe ratio of 0.408
value investing
We ran a P/S value screen on the TSX from 2000 to 2025. The strategy returned 9.54% annually vs 8.01% for the S&P 500, with zero cash periods across 25 years and an average of 26.2 stocks per quarter.
value investing
We ran the same P/B screen across 18 stock exchanges and 25 years of data. Four beat SPY. Fourteen didn't. Here's where the value premium survived and where it didn't.
value investing
We backtested a P/B < 1.5 + ROE > 8% screen on US stocks from 2000 to 2025. 7.50% CAGR vs 7.64% for the S&P 500. The Nobel Prize-documented premium has been arbitraged away. The down capture story (79.3%) is still real.
value investing
We backtested a P/B < 1.5 + ROE > 8% screen on Stockholm-listed stocks from 2000 to 2025. 11.93% CAGR, Sharpe ratio of 0.447, and a down capture of only 51.56%. Best risk-adjusted result of 18 exchanges we tested. Returns in SEK.
value investing
We ran Graham's net-net strategy on 7 global markets over 24 years. Japan matched the S&P 500 with lower drawdown. Hong Kong lost 82% peak-to-trough. The US underperformed by 3.8% per year. Here's the full cross-market comparison with year-by-year data.
value investing
We backtested Graham's net-net strategy on all US exchanges (NYSE, NASDAQ, AMEX) from 2001 to 2024. The result is 5.02% CAGR vs 8.84% for the S&P 500. The premium that Oppenheimer documented in 1986 has largely disappeared. Here's what the data shows.