earnings surprise
Canada looks like a beat market until you strip the baseline. Near-consensus TSX stocks drift +1.51% vs the index, so beats add almost nothing and the real signal is the miss side (Q1 -1.79% net). Q5-Q1 spread: +1.89%.
earnings surprise
Japan PEAD looks strong until you enter a day late. The Q5-Q1 spread drops to +0.82%, the weakest major market. Biggest beats show no significant drift, and misses hold up vs near-consensus. It was mostly the announcement day.
earnings surprise
India has the strongest beat-side earnings drift we found. Positive surprises produce +2.78% CAR at T+63 vs Sensex, and it survives a next-day entry. Q5 biggest beats reach +3.83%. Q5-Q1 spread: +4.08%.
earnings surprise
We tested 161,243 US earnings announcements from 2000 to 2025 and entered at the next day's close. The beat-side drift vanishes, and only the miss side survives (Q1 -1.46%). Q5-Q1 spread: +1.42%.
pairs trading
A full 20-year backtest of correlation-based pairs trading on US stocks. -0.50% CAGR, six cash years, beta of 0.067. The 2008 defense was real. The long-run cost was too.
DCF
We ran a Gordon Growth DCF screen with quality filters on 25 years of Canadian TSX data. 9.32% CAGR, 1.68% annual excess return, and a -4.31% down capture — when the S&P 500 fell, Canadian DCF stocks gained on average, driven by resource sector dynamics in the early 2000s.
DCF
We ran the same DCF Threshold screen on 13 global stock exchanges. Seven markets beat SPY. Six underperformed. The dividing line follows a consistent geographic pattern — Western markets work, most Asian markets don't — and the structural reasons are documented.
DCF
We ran a Gordon Growth DCF screen with quality filters on 25 years of Indian BSE/NSE data. No qualifying stocks 2000–2004. From 2005, the strategy returned 11.12% CAGR vs 7.64% SPY, with explosive swing years — 2007 (+85%), 2009 (+84%), 2022 (+36%) — alongside a -61% max drawdown.
DCF
We ran a Gordon Growth DCF screen with quality filters on 25 years of London Stock Exchange data. No qualifying stocks 2000–2003. From 2004, 9.10% CAGR vs 7.64% SPY, with strong recovery years in 2006, 2009, 2012, and 2021 — and a -36% annual gap in 2014 driven by the energy sector collapse.
DCF
We added ROE, D/E, and OCF quality filters to a Gordon Growth DCF screen and tested it on 25 years of US stocks. The result was 11.25% CAGR vs 7.64% SPY, 3.60% annual excess return, and 38% down capture — the strategy captures only 38 cents of every dollar the market loses.
backtests
We tested Graham Number timing on Indian stocks (BSE+NSE). 13.44% CAGR vs 8.01% SPY, +5.43% excess (best globally). 57.1% down-capture with 122.5% up-capture. Value investing asymmetry in emerging markets.
backtests
We tested buying stocks trading below Benjamin Graham's intrinsic value formula. 12.40% CAGR vs 8.01% SPY over 25 years, with 122% up-capture and 0% cash periods. The 75-year-old formula still works without modification.