NCAV
Xiao and Arnold (2008) found 19.7% annual returns for UK net-nets from 1980-2005. Our 2001-2024 backtest finds -0.62% CAGR. Two spectacular recovery years (+99% in 2009, +66% in 2020) couldn't offset persistent losses in normal markets.
NCAV
We backtested Graham net-net stocks on the Hong Kong Stock Exchange from 2001 to 2024. The strategy returned -3.17% annually with an -82% max drawdown. Pre-2015 it worked. Post-2015 it collapsed alongside Hong Kong's structural market decline.
NCAV
NCAV screen on Korean stocks from 2001 to 2024. 6.60% CAGR with only 22% volatility. Max drawdown -39.3%, lower than SPY. The Korea discount creates a reliable universe of balance sheet bargains.
NCAV
NCAV screen on Indian stocks from 2001 to 2024. 8.28% CAGR with 42% volatility. Recovery years hit +133%, +106%, and +81%. The trade-off is a -57.7% max drawdown.
NCAV
We backtested Graham net-net stocks on Taiwan exchanges from 2001 to 2024. The strategy returned 9.75% CAGR with a Sortino of 0.888, only 12.5% negative periods, and 39% down capture. Taiwan's small manufacturer ecosystem creates ideal conditions for net-net investing.
NCAV
We ran the NCAV screen on Japan from 2007 to 2024. CAGR of 8.85% matched SPY with lower drawdown (-33.7% vs -40.3%) and a Sortino of 1.167. Japan's cash-heavy balance sheets make NCAV a better predictor of liquidation value than in any other developed market.
NCAV
NCAV screen on Canadian stocks from 2001 to 2024. 7.49% CAGR. The only exchange with zero cash years out of 24. Resource-heavy TSX produces net-nets every year, but the ride includes a -55.9% max drawdown.
NCAV
We computed NCAV for every US stock from 2001 to 2024 and bought the ones trading below liquidation value. CAGR was 5.02% vs 8.84% for SPY. The real finding is what NCAV reveals as a balance sheet tool, which current assets matter, and why the formula uses them instead of total assets.
ROIC
Sustained high ROIC on XETRA stocks from 2000 to 2025. 7.08% CAGR vs 7.30% SPY. No alpha, but the best max drawdown (-31.4%) and lowest volatility (20.37%) of any exchange tested. Quality as risk reducer, not return booster.
ROIC
Sustained high ROIC on BSE+NSE from 2000 to 2025. 15.55% CAGR vs 7.30% SPY. India is the only market where persistence alpha (+4.98%) is positive. The trade-off: 52% volatility and -56.9% max drawdown.
asset-light
We tested the asset-light composite score across 13 exchanges over 25 years. The light-heavy spread was positive on all 13 markets, ranging from +0.82% (Taiwan) to +16.22% (US). Capital efficiency separates winners from losers globally.
asset-light
We tested the asset-light composite score on Chinese A-shares (SHH + SHZ) over 25 years. Asset-light returned 3.17% vs -1.29% for asset-heavy: a 4.46% spread. SOE dynamics and the 2021 tech crackdown complicate the picture.