value-investing
The P/TBV strategy on Germany's XETRA returned 6.90% annualised over 25 years, beating the DAX's 5.04% by 1.86% per year. Down capture of 34.4% means the portfolio absorbs about a third of the DAX's losses in down years.
value-investing
The P/TBV strategy on China's Shenzhen and Shanghai exchanges returned 9.84% annualised over 25 years against the SSE Composite's 2.43%, adding 7.41% per year. It beat the domestic benchmark in 18 of 25 years.
value investing
Swedish industrial companies, sorted by the ratio of market cap to tangible book value, returned 9.25% annually from 2000 to 2025, beating the OMX Stockholm 30 by 6.70 percentage points. The OMX returned just 2.55% annualised over the same period. The strategy spent four years in cash
value investing
Over 25 years on the Toronto Stock Exchange, a Price-to-Tangible-Book strategy returned 9.32% annually against the TSX Composite's 3.95%, a margin of 5.37 percentage points. That's a meaningful edge over the domestic benchmark, more than doubling the index return. The TSX Composite only
value investing
Fourteen of 15 exchanges beat their local benchmark over 25 years using a Price-to-Tangible-Book strategy. Only 11 of those 14 keep the edge once you allow for the dividends those price indices leave out. Only Korea underperformed. The strategy works where physical and financial assets are the primary value driver:
backtests
We ran the Industry Leader strategy on 13 exchanges. Against local benchmarks, most markets show positive excess. India is the exception: it beats SPY but trails the Sensex. The UK has the highest excess vs its local index.
backtests
We picked the top 3 companies by revenue in every US industry showing positive growth, rebalanced annually for 24 years. The result: 8.65% CAGR vs 8.89% SPY. The honest answer on whether revenue leaders beat the market.
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 1.83% 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 9.87% CAGR vs 7.64% for SPY, with most of that edge earned before 2010.
backtests
We ran the yield gap strategy across 20 equity markets from 2000 to 2025. Four full-window markets outperformed SPY: Sweden (+4.57%), UK (+2.38%), US (+2.23%), Canada (+1.93%). Against their own local indices the picture is better, 11 wins out of 14. Singapore was the weakest at -6.23% vs SPY.
P/E compression
P/E compression tested across 21 global markets. Three can't be assessed at all. Of the 18 that can, 7 beat their benchmark, and only Canada, the US and Japan survive once you account for benchmarks that exclude dividends.
P/E compression
We tested a P/E compression mean reversion screen on 25 years of US stock data. Buy when current P/E drops 15% below its 5-year average with quality filters. The strategy returned 10.92% annually vs 7.64% for SPY, with 3.27% excess return and 49% down-capture.