backtests
Contents 1. The Strategy 2. Methodology 3. Results 4. What Drives the UK Outperformance 5. Why the UK Works for Value Investing 6. Run It Yourself 7. Limitations We tested the yield gap strategy across 20 equity markets. The UK came first. London Stock Exchange stocks with earnings yields 3+
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Contents 1. The Strategy 2. Methodology 3. Results 4. What Drove the Returns 5. Run It Yourself 6. Limitations Sweden doesn't come to mind first when thinking about value investing. But among the markets we tested, Stockholm delivered the third-highest excess return in our 20-exchange study, with a
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Contents 1. The Strategy 2. Methodology 3. Results 4. The Indian Market Story 5. Run It Yourself 6. Limitations The yield gap threshold for India is strict. With a risk-free rate of 6.5% (long-run average for Indian government bonds), the screen requires earnings yields above 9.5%, equivalent to
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Contents 1. The Strategy 2. Methodology 3. Results 4. The Sectoral Explanation 5. Run It Yourself 6. Limitations The yield gap strategy on Canadian stocks delivered positive alpha over 25 years, and an unusual property: when US markets fell, this portfolio barely moved. The down-capture ratio of 3.52% against
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Contents 1. Summary Table 2. The Strategy 3. Tier Analysis 4. Tier 1: Functional (21-43% cash rate) 5. Tier 2: Borderline (45-78% cash rate) 6. Tier 3: Not Worth Running (67-97% cash rate) 7. Why Cash Periods Drive Performance 8. The Standout Exchanges 9. When the Strategy Works Globally 10.
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Contents 1. The Strategy 2. Methodology 3. Results 4. When It Works 5. When It Struggles 6. Run It Yourself 7. Limitations The idea sounds reasonable: buy strong companies when they've been beaten down technically. Use Piotroski's nine-factor accounting quality score to filter for financial strength,
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Contents 1. Portfolio Summary 2. The Strategy 3. The 35% Cash Rate: Feature or Bug? 4. Annual Returns 5. The Standout Years 6. Why the Risk Profile is Different 7. Screener: Current XETRA Quality Stocks 8. Limitations 9. Part of a Series Germany produced the best risk-adjusted result of any
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Contents 1. The Strategy 2. Methodology 3. Results 4. When It Works 5. When It Struggles 6. Run It Yourself 7. Limitations 8. Part of a Series The Oversold Quality strategy on Chinese A-shares produced 7.54% CAGR over 25 years, compared to 8.01% for SPY. The gap is
backtests
52-Week Low Quality: We Tested It on 14 Global Exchanges. Here's What Happened. The strategy is straightforward: buy financially healthy stocks that are near their annual lows, wait for them to recover, rotate quarterly. Simple premise. The question is whether the premise holds globally or just in certain
backtests
We combined two ideas that shouldn't need explaining separately: buy stocks near their lows, but only the ones with strong balance sheets. The 52-Week Low Quality strategy screens for US stocks within 15% of their 52-week low, then filters to those with a Piotroski F-score of 7 or
backtests
Buying stocks near their annual lows sounds like a straightforward mean-reversion play. Add a Piotroski quality filter to avoid value traps and you have a disciplined, testable strategy. We ran it on the SIX Swiss Exchange from 2002 through 2025. The result: $10,000 became $10,634 over 24 years.
backtests
52-Week Low Quality in India: 24-Year Backtest (BSE, NSE) India's result looks reasonable on paper: 7.11% CAGR over 24 years, with $10k growing to $51,143. Then you see the Sharpe ratio: 0.023. That's barely above zero. The strategy generated returns, but the risk