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The UK produced the lowest max drawdown of any dedicated market in our cyclical timing study (-28.54%). 7.94% CAGR (-0.95% excess), Sharpe 0.277. Five cash periods including three consecutive (2014, 2015, 2017) suppressed returns but limited losses.
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Sweden is one of two dedicated markets in our study with positive excess returns. 9.67% CAGR (+0.78% excess), Sharpe 0.344, high variance. The Swedish industrial economy fires the expansion signal less often but delivers strong results when invested.
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Germany produced the best risk-adjusted cyclical timing result among developed markets. 8.48% CAGR (-0.41% excess), Sharpe 0.411, max drawdown -35.07%. German industrials and materials provided stable expansion signals across 24 years.
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India is the only dedicated market in our 15-exchange cyclical timing study with sustained outperformance. 13.44% CAGR, +4.55% excess vs S&P 500, and a -0.6% down capture that made this strategy counter-cyclical in Indian markets.
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We tested a 24-year strategy that invests in US cyclical stocks only when the sector is expanding (50%+ of companies with positive revenue growth). 8.04% CAGR, 34.3% down capture, and three cash calls that avoided major drawdowns. Full methodology and SQL included.
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EV/EBITDA screening on XETRA: 6.83% CAGR vs 4.45% for the DAX. A 2.38% annual edge against the local index with a 68% win rate.
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EV/EBITDA below 10x on NSE equities: 11.97% CAGR over 20 invested years vs 11.40% for the Sensex. A modest edge with lower beta.
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EV/EBITDA screen on Borsa Italiana returned 5.94% CAGR over 25 years, trailing SPY's 7.64%. Thin universe and six cash years. The strategy doesn't justify the complexity over a simple index fund.
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A simple EV/EBITDA screen on Stockholm-listed stocks returned 10.03% CAGR over 25 years vs OMX Stockholm 30's 2.95%. The strategy outperformed in 80% of years, with 138.6% up capture and only 52.0% down capture against the local index.
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EV/EBITDA below 10x on the TSX: 9.74% CAGR vs TSX Composite 4.44%, 76% win rate. Canada's commodity-heavy market is structurally suited to this screen, with 150.2% up capture and 5.28% alpha.
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EV/EBITDA below 10x is how private equity prices acquisitions. We tested it as an equity screen on 22,000+ US stocks over 25 years.
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We tested buying stocks trading below Benjamin Graham's intrinsic value formula. 12.40% CAGR vs 8.01% SPY over 25 years, with 122% up-capture and 0% cash periods. The 75-year-old formula still works without modification.