backtests
Japan produced strong results in our Graham Number backtest: 11.59% CAGR vs 2.95% for the Nikkei 225 over 25 years. +8.64% annual excess, 76% win rate, and 12.1% down capture vs the local index. Deep structural cheapness, Abenomics tailwinds, and TSE governance reforms all show up in the data.
backtests
Graham Number strategy on Nasdaq Stockholm returned 11.61% annually from 2000-2024, beating the OMX Stockholm 30 in 20 of 25 years. The 80% win rate is the highest of 13 exchanges tested. Up capture: 149.4%. Down capture: 43.8%.
backtests
We ran the Graham Number screen on the SIX Swiss Exchange for 25 years. 6.94% CAGR vs 1.90% SMI, a +5.04% annual excess. Sharpe 0.350, max drawdown -30.15%, win rate 68%. The defensive case for Swiss value, now measured against the right benchmark.
backtests
We ran Benjamin Graham's formula (sqrt(22.5 × EPS × BVPS)) across US stocks from 2000 to 2024. The honest result: 6.34% CAGR vs 7.64% for SPY. The down capture of 72.1% is real. The structural underperformance since 2013 is also real.
backtests
We ran the same Net Debt/EBITDA screen across 22 global exchanges over 25 years. With local benchmarks, 13 of 22 beat their home index. India: +6.50% vs Sensex. The exchange matters more than the signal.
backtests
We tested Net Debt/EBITDA below 2x on 22,000+ US stocks over 25 years. Result: 5.13% CAGR vs 8.02% for SPY, -2.89% excess per year. The honest version of a popular strategy.
backtests
The same signal that underperforms on the full US market produced 17.62% CAGR on Indian stocks (NSE) over 25 years, +6.50% above the Sensex annually. Here's what the data shows and why.
backtests
EV/EBITDA below 10x on the TSX: 9.84% CAGR vs TSX Composite 4.44%, 76% win rate. Canada's commodity-heavy market is structurally suited to this screen, with 150.5% up capture and 5.36% alpha.
backtests
We tested EV/EBITDA below 10x on 18 global exchanges with local benchmarks. 14 of 18 beat their local index. The value premium is broader than SPY comparison suggested.
backtests
EV/EBITDA screening on XETRA: 7.40% CAGR vs 4.45% for the DAX. A 2.96% annual edge against the local index with a 68% win rate.
backtests
EV/EBITDA below 10x on NSE equities: 12.15% CAGR over 20 invested years vs 11.40% for the Sensex. A modest edge with lower beta.
backtests
EV/EBITDA screen on Borsa Italiana returned 6.03% CAGR over 25 years, trailing SPY's 7.64%. Thin universe and six cash years. The strategy doesn't justify the complexity over a simple index fund.