PEG Ratio in Sweden: 10.0% CAGR, +6.8%/yr vs OMX Stockholm 30
Stockholm Exchange delivered 9.99% CAGR over 25 years, +6.81%/yr vs OMX Stockholm 30. Sharpe ratio of 0.391 is 6.5x the benchmark's 0.060.
The Stockholm Exchange delivered 9.99% CAGR for a PEG ratio strategy over 25 years, beating the OMX Stockholm 30 by 6.81%/yr. The Sharpe ratio of 0.391 towers over the OMX30's 0.060. Compared to its own local index, Sweden is one of the strongest PEG ratio markets we tested.
Contents
- The Stockholm Exchange in Context
- Methodology
- The Numbers
- Consistent Alpha, Not Just a Few Big Years
- Sharpe Ratio: 6.5x the Local Benchmark
- Recent Challenges
- Up vs Down Capture
- Run It Yourself
- Limitations
- Part of a Series
This is one of the better results in the series. Large alpha vs the local benchmark, strong risk-adjusted return, and a clear explanation for why it works.
The Stockholm Exchange in Context
Sweden punches above its weight in global equities. The Nasdaq Stockholm lists companies like Ericsson, Volvo, Nordea, Atlas Copco, Sandvik, and H&M. These are real mid-to-large caps with genuine international businesses and earnings visibility.
The Nordics have a tradition of quality industrial companies (engineering, manufacturing, pharmaceuticals) that generate steady earnings growth. PEG < 1 in this context tends to find genuinely undervalued industrials rather than the cyclicals-at-peak-earnings problem common in the US full universe.
Methodology
Universe: STO (Nasdaq Stockholm) Period: 2000-2025 (25.8 years, 103 quarterly periods) Portfolio: Top 30 by PEG ASC, equal weight. Cash if fewer than 10 qualify. Execution: Next-day close (MOC) Benchmark: OMX Stockholm 30 (^OMXS30), SEK-denominated Cash periods: 13 of 103 (12.6%), concentrated in early 2000s Average stocks when invested: ~28 Costs: Size-tiered transaction costs applied Point-in-time: 45-day lag on financial data Market cap filter: SEK 5B+ (local currency) Data: Ceta Research (FMP financial data warehouse)
Note: Returns and benchmark are both in SEK. Comparing a Swedish portfolio to the OMX Stockholm 30 (rather than the S&P 500) isolates stock-picking alpha from currency effects.
The Numbers
Summary metrics:
| Metric | PEG Sweden | OMX Stockholm 30 |
|---|---|---|
| CAGR | 9.99% | 3.17% |
| Excess CAGR | +6.81% | -- |
| Sharpe Ratio | 0.391 | 0.060 |
| Sortino Ratio | 0.639 | 0.082 |
| Max Drawdown | -53.08% | -66.13% |
| Annualized Volatility | 20.40% | 19.56% |
| Total Return | 1,060% | 124% |
| Beta vs OMX30 | 0.788 | 1.0 |
| Up Capture | 115.6% | -- |
| Down Capture | 73.2% | -- |
Annual returns:
| Year | PEG Sweden | OMX30 | Excess |
|---|---|---|---|
| 2000 | 0.0% (cash) | -14.0% | +14.0% |
| 2001 | 0.0% (cash) | -20.1% | +20.1% |
| 2002 | 0.0% (cash) | -38.2% | +38.2% |
| 2003 | +47.7% | +25.2% | +22.5% |
| 2004 | +23.3% | +16.0% | +7.3% |
| 2005 | +49.0% | +28.8% | +20.1% |
| 2006 | +36.2% | +20.8% | +15.4% |
| 2007 | -3.9% | -9.1% | +5.2% |
| 2008 | -38.8% | -34.4% | -4.4% |
| 2009 | +56.5% | +38.9% | +17.6% |
| 2010 | +33.0% | +22.1% | +10.9% |
| 2011 | -18.7% | -15.1% | -3.7% |
| 2012 | +17.4% | +13.1% | +4.3% |
| 2013 | +20.5% | +17.2% | +3.3% |
| 2014 | +20.9% | +10.5% | +10.3% |
| 2015 | +0.4% | -4.7% | +5.1% |
| 2016 | +16.7% | +9.5% | +7.2% |
| 2017 | +11.1% | +3.5% | +7.6% |
| 2018 | -1.5% | -11.0% | +9.5% |
| 2019 | +25.8% | +28.6% | -2.9% |
| 2020 | +11.3% | +4.8% | +6.5% |
| 2021 | +41.5% | +28.9% | +12.5% |
| 2022 | -32.4% | -15.1% | -17.3% |
| 2023 | +9.1% | +15.4% | -6.2% |
| 2024 | -3.3% | +4.8% | -8.1% |
| 2025 | +2.0% | +8.0% | -6.0% |
Consistent Alpha, Not Just a Few Big Years
Against the OMX30, the strategy beat its benchmark in 20 of 26 years. Three years still stand out: 2003 (+47.7% vs +25.2%), 2005 (+49.0% vs +28.8%), and 2009 (+56.5% vs +38.9%). But the alpha wasn't front-loaded the way it appeared vs the S&P 500. The strategy beat the OMX30 in most years from 2000 through 2021, with only 2019 showing a meaningful shortfall (-2.9%). That's a win rate of 64%.
The 2003-2006 period coincided with the Nordic industrial recovery from the dot-com bust. Swedish industrials, which dominate the STO exchange, had strong earnings growth and were priced conservatively. PEG < 1 was easy to find.
2009 repeated the pattern. Swedish industrials and exporters recovered strongly as global trade rebounded, starting from beaten-down valuations.
Sharpe Ratio: 6.5x the Local Benchmark
A Sharpe of 0.391 vs the OMX30's 0.060 is a massive gap. The OMX Stockholm 30 delivered just 3.17% CAGR over this period with 19.56% volatility, barely above the risk-free rate. The PEG strategy nearly tripled the CAGR (9.99%) with similar volatility (20.40%), producing a Sharpe ratio 6.5x the benchmark.
Compare to the other exchanges in the study (strategy Sharpe): - Sweden: 0.391 - Canada: 0.319 - India: 0.222 - US full universe: 0.169 - South Africa: -0.01 (9% local risk-free rate; low beta is the value add)
Recent Challenges
2022-2025 has been the weakest stretch. 2022: -17.3% excess (Riksbank rate shock hit PEG stocks harder than blue chips). 2023-2025: the strategy trailed the OMX30 by 6-8% per year as Swedish large-cap tech and defense names (not typical PEG picks) led the index.
Swedish rate sensitivity played a role. The Riksbank's aggressive hikes in 2022-2023 hit property-adjacent and consumer-facing companies that occasionally appear in PEG screens.
Still, the cumulative alpha remains large: 1,060% total return vs 124% for the OMX30.
Up vs Down Capture
Up capture: 115.6%. Down capture: 73.2%. The strategy captures more upside than downside vs the OMX30, and the gap is wide. On up years, Sweden overshoots by 15.6%. On down years, it captures only 73% of the decline.
A beta of 0.788 confirms the picture: the PEG screen picks stocks that move less than the OMX30 in aggregate, but with better returns. That's the textbook definition of alpha.
Run It Yourself
# Live screen (current Sweden stocks)
python3 peg-ratio/screen.py --exchange STO
# Historical backtest (Sweden only)
python3 peg-ratio/backtest.py --exchange STO --output results/sweden.json --verbose
Limitations
Recent weakness. 2022-2025 trailed the OMX30 consistently. Whether this is a regime shift or a temporary headwind (rate cycle, sector rotation to defense/tech) is hard to determine from 25 years of data.
13% cash rate. The strategy sat in cash 13 of 103 periods, all in the early 2000s. Sweden had fewer large-cap stocks with positive PEG data in 2000-2002. Cash during the dot-com crash was lucky, not by design.
Sector concentration. Sweden's exchange is dominated by industrials. The strategy is likely more concentrated sectorally than a global PEG portfolio would be.
Max drawdown. -53.08% is deep, though it's shallower than the OMX30's own -66.13% drawdown over the same period.
Part of a Series
- PEG Ratio in the US → (flagship, full methodology)
- PEG Ratio in India → (+5.7%/yr, best absolute return)
- PEG Ratio in South Africa → (low beta, downside protection)
- PEG Ratio in Canada → (most consistent, zero cash periods)
- 17-Exchange Comparison →
Data: Ceta Research (FMP financial data warehouse), STO, 2000–2025. Returns in SEK. Full methodology: METHODOLOGY.md
