backtests
We ran Benjamin Graham's formula (sqrt(22.5 × EPS × BVPS)) across US stocks from 2000 to 2024. The honest result: 7.01% CAGR vs 7.64% for SPY. The down capture of 68.8% is real. The structural underperformance since 2013 is also real.
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.
value investing
Same earnings yield screen, 13 exchanges. Among foreign markets only India (+6.40% vs SPY) and South Africa (+1.06%) beat the S&P 500 CAGR. vs local benchmarks, all 13 show positive excess. Context matters: the strategy beats local markets but the US market itself was exceptional.
quality investing
We ran the same FCF Conversion screen on 15 exchanges from 2000-2025 with MOC execution and local benchmarks. 11 of 15 beat their local index. Top alpha in UK (+7.42% vs FTSE), Switzerland (+6.35% vs SMI), India (+6.13% vs Sensex).
equity growth
We backtested the Compounding Equity Screen across 14 exchanges worldwide from 2000 to 2025. Five markets outperform their local benchmarks (UK, Sweden, Switzerland, Japan, Canada). Only the UK also beats the S&P 500. The results reveal where equity compounding works and where it doesn't.
quality investing
We ran our FCF Conversion screen on SET stocks from 2000-2025. 3.30% CAGR in THB, trailing the SET Index (5.13%) by 1.83%. 40% win rate, 80.54% down capture. $10K grew to ~$23K vs ~$35K for the index. The signal doesn't work well here.
piotroski
Preliminary analysis under revision due to FMP adjClose data issues on ASX. Score 0-2 returned -0.7% annually over 32 years. Avoidance alpha: +13.7%. Score 8-9 returned just 1.5%, trailing ASX 200 by 3.5% and All Value by 11.5%. Numbers may be inflated by data artifacts.
quality investing
We ran our FCF Conversion screen on JPX-listed stocks from 2000-2025. 4.89% CAGR in JPY, beating the Nikkei 225 (3.31%) by 1.58% annually. 52% win rate, 51% down capture. $10K grew to ~$33K vs ~$23K for the Nikkei.
quality investing
We ran our FCF Conversion screen on TWSE stocks from 2000-2025. 3.69% CAGR in TWD, trailing the TAIEX (4.09%) by just 0.39%. Max drawdown of -22.6% is the shallowest of any exchange. Similar returns to the index with significantly lower risk, but 7 cash periods drag performance.
india stocks
D/E reduction + ROE > 8% screen delivers +3.85% annually vs the Sensex in India. CAGR 14.97%, down capture 77%, total return 3,534%. The signal works here because balance sheet discipline is genuinely scarce in India's growth economy.
piotroski
We ran the Piotroski F-Score on 15 exchanges with MOC execution and data quality guards. Spread is positive on 9, negative on 6. Score 8-9 beats the local benchmark on 10 of 15. Range: +12.0% (Thailand) to -7.2% (India). Avoidance works on 12 of 15.
piotroski
We ran the Piotroski F-Score on US value stocks from 1997 to 2024. Score 8-9 returned 6.1% vs 9.4% for SPY. Selection alpha is -1.6% per year. Avoidance alpha is +2.8%. The F-Score works as a floor (skip Score 0-2) but not as a ceiling in large-cap US.