backtests
We ran the Industry Leader strategy on 13 exchanges. Only India outperforms SPY. Most markets trail by 1-5% annually. Here's what the data shows about where revenue leadership actually matters.
sector ETFs
We built a regime-detection system using 60-day rolling sector correlations and tested it on 26 years of US market data. The strategy correctly identified every major stress period. It still underperformed SPY by 1.89% annually.
backtests
We screened for US stocks where earnings yields significantly exceed government bond rates and ran the backtest from 2000 to 2025. The strategy delivered 8.60% CAGR vs 7.64% for SPY, with notably better bear market behavior.
backtests
We tested the yield gap strategy on London Stock Exchange stocks from 2000 to 2025. The UK delivered 11.29% CAGR vs 7.64% for SPY — the highest excess return across all 20 markets in our study, and +10.43% annually above the FTSE 100.
backtests
We ran the yield gap strategy on Stockholm Stock Exchange stocks from 2000 to 2025. The result: 10.61% CAGR vs 2.95% for OMX Stockholm 30 (+7.66% excess), with a 76% annual win rate against the local index.
backtests
India's high risk-free rate (6.5%) sets a strict 9.5% earnings yield threshold. NSE yield gap stocks returned 10.68% CAGR vs 11.40% for Sensex — trailing the local index by 0.72% annually but beating SPY by +3.04% over 19 invested years.
backtests
We ran the yield gap strategy across 20 equity markets from 2000 to 2025. Four markets outperformed SPY — UK (+4.19%), India (+3.45%), Sweden (+2.84%), Canada (+1.98%). Sixteen underperformed, with Korea at the bottom (-4.92%).
backtests
The yield gap strategy on TSX stocks returned 9.64% CAGR vs 4.44% for the TSX Composite (+5.21% excess) over 25 years. The strategy beat the local index in 72% of invested years, and outperformed SPY by +2.00% annually.
P/E compression
P/E compression on Canadian stocks returns 8.81% annually vs 4.44% for the TSX Composite. +4.37% annual alpha, 17 wins in 25 years, 59% down-capture and 133% up-capture vs the local benchmark.
P/E compression
We tested P/E compression mean reversion across 21 global stock markets from 2000-2025. The strategy worked in only 4 developed markets (US, UK, Canada, Thailand), underperformed in 16, and couldn't run effectively in 3. The pattern is clear efficiency, stability, and predictable earnings enable...
P/E compression
P/E compression on Indian NSE stocks delivers 8.00% CAGR vs 11.40% for the Sensex, underperforming by 3.40% per year. Strong absolute returns, but India's bull market is a tough benchmark to beat.
P/E compression
P/E compression on Japanese stocks returns 5.20% annually vs 2.95% for the Nikkei 225, beating the local benchmark by 2.25% per year with 52% down-capture. The strategy works in Japan when compared against the correct local benchmark.