backtests
We ran the Graham Number screen on the SIX Swiss Exchange for 25 years. 6.55% CAGR vs 1.90% SMI, a +4.66% annual excess. Sharpe 0.326, max drawdown -35.33%, win rate 64%. The defensive case for Swiss value, now measured against the right benchmark.
backtests
The TSX isn't the S&P 500. Energy companies, banks, and miners dominate Canada's index. They trade cyclically. When commodity prices fall, quality resource stocks hit 52-week lows. When the cycle turns, they recover. This backtest ran from 2002 to 2025 to see whether a
backtests
We ran the Graham Number screen on XETRA for 25 years. 8.21% CAGR vs 4.45% DAX, a +3.77% annual excess. Beta 1.00 vs the DAX, up capture 125.4%, down capture 79.8%, and alpha +3.77%. A genuine value edge over the local benchmark.
backtests
India's result is worse than it looks: 4.45% CAGR over 24 years on NSE. Compare that to the Sensex, which returned 14.48% annually over the same period. The strategy trailed the local benchmark by -10.03% per year. The Sharpe ratio is -0.08. The strategy
backtests
The Graham Number strategy returned 14.04% CAGR on Brazil's B3 from 2000–2024 vs 8.44% for the Bovespa, a +5.60% annual excess. All in BRL, where inflation ran 6–8% annually. Plus a known FMP data quality caveat on SAO adjusted-close prices. Here's the honest account.
backtests
The same strategy, different market. On XETRA, the 52-Week Low Quality screen returned 7.13% annually over 23.8 years. The DAX returned 6.76% over the same period. That's +0.37% excess return vs the local benchmark, narrower than US-benchmarked results suggested but still positive. Contents 1.
backtests
We tracked 30 major US corporate spinoffs (2011-2024) at six time horizons. The forced-selling effect is real and statistically confirmed at T+5 (-3.5%, p<0.05). The long-run recovery is positive but driven by outliers — GEV +108%, REZI -68%. Full data and SQL included.
backtests
Japan's sector momentum strategy returned -11.9% in 2008 while SPY fell -34.31%, a +22.4% relative gap in the worst year of the century. Then 2013 delivered +55.37% on Abenomics stimulus. Over 26 years: 11.26% CAGR, +3.24% excess vs S&P 500, Sharpe 0.605, and 54.68% down capture. Real Estate...
backtests
Germany produced the best sector momentum results of any European market in our 14-exchange study. 13.07% CAGR over 26 years, +5.05% excess vs S&P 500, Sharpe 0.620, and 55.30% down capture. The defining structural pattern: Technology and Real Estate each appeared in exactly 30 of 104 quarterly...
backtests
Canada delivered the third-best excess return in our 14-exchange sector momentum study: +10.23% annually over 26 years, driven by Basic Materials (39q) and Energy (37q) occupying the top-two positions for half the study. $10K grew to $781,030 CAD. The 2000-2002 dotcom bust: three straight wins...
backtests
The Graham Number screen applied to Canadian stocks (TSX) returned 10.89% annually from 2000–2024, beating the TSX Composite by 6.46% per year. Down capture: 51.8%. Up capture: 159.5%. In years when the TSX fell, this portfolio fell only about half as much.
backtests
We tested 52-week low stocks filtered by Piotroski F-score on US markets from 2002 to 2025. The strategy returned 6.86% annually vs 9.67% for the S&P 500. Down-capture of 111.5% explains the gap.