event-study
Stocks removed from the NASDAQ-100 average +4.90% vs QQQ in the 21 days after removal (t=3.11, median +2.61%). 25 years of data, 163 removal events. Here's the methodology and the screen.
event-study
We measured every S&P 500 addition and removal from 2000-2025. Additions underperform SPY by -0.82% in the first week. Removals average +4.01% but the median is +0.56%. Here's what the gap means.
value investing
We ran the same P/B screen across 17 stock exchanges and 25 years of data. Four beat SPY. Thirteen didn't. But with local benchmarks, 12 of 17 beat their own market. Here's where the value premium survived and where it didn't. After the dividend adjustment, 7 of those 12 hold.
backtests
Out of 22 exchanges, Sweden's Stockholm Stock Exchange produced the best developed-market result: 10.36% CAGR, +7.18% above the OMX Stockholm 30 annually, Sharpe 0.414. Here's why the signal works here.
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
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
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.
value-investing
PEG ratio on India's NSE: 12.12% CAGR over 25 years, +0.99%/yr vs the Sensex. The ride was violent, -67% in 2008, +116% in 2009. Here's the full data.
backtests
We tested EV/EBITDA below 10x on 17 global exchanges with local benchmarks. 14 of 17 beat their local index. The value premium is broader than SPY comparison suggested.
value-investing
South Africa's JSE delivered 5.98% CAGR over 25 years with strong downside protection. Beta 0.574, down capture 42.2%, -16.5% in 2008 vs S&P 500's -34.3%. Trails SPY on returns but adds real diversification value.
value-investing
Stockholm Exchange delivered 10.71% CAGR over 25 years, +7.54%/yr vs OMX Stockholm 30. Sharpe ratio of 0.437 is 7x the benchmark's 0.060.
value-investing
Japan delivered 6.47% CAGR over 25 years, +3.07%/yr vs the Nikkei 225. Sharpe 0.284 vs benchmark 0.066. Up capture 99.7%, down capture 76.1%. The strategy beat the index in 16 of 26 years.