backtests
India's result is worse than it looks: 3.62% 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 -10.86% per year. The Sharpe ratio is -0.114. The strategy
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 $10,011 over 24 years.
backtests
The same strategy, different market. On XETRA, the 52-Week Low Quality screen returned 7.81% annually over 23.8 years. The DAX returned 6.76% over the same period. That's +1.05% excess return vs the local benchmark, the only major exchange where this strategy consistently beats its
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
Out of 22 exchanges, Sweden's Stockholm Stock Exchange produced the best developed-market result: 10.36% CAGR, +7.18% above the OMX Stockholm 30 annually, Sharpe 0.414. Here's why the signal works here.
backtests
The Graham Number strategy returned 18.37% CAGR on Brazil's B3 from 2000–2024 vs 8.44% for the Bovespa, a +9.93% annual excess. All in BRL, where inflation ran 6–8% annually and the Selic rate averaged 12–15%. Real returns are roughly 8–12%. Here's the honest account.
backtests
The Graham Number screen applied to Canadian stocks (TSX) returned 10.07% annually from 2000–2024, beating the TSX Composite by 5.64% per year. Down capture: 55.1%. Up capture: 154.5%. In years when the TSX fell, this portfolio fell only about half as much.
backtests
We ran the Graham Number screen on 13 exchanges over 25 years, each benchmarked against its local stock index. 10 of 13 beat their local benchmark. Sweden and Japan lead with +8.6% annual excess. Only India, Hong Kong, and the US underperformed their home market.
backtests
We ran the Graham Number screen on XETRA for 25 years. 7.14% CAGR vs 4.45% DAX, a +2.69% annual excess. Beta 1.028 vs the DAX, up capture 121.2%, down capture 87.9%, and alpha +2.62%. A genuine value edge over the local benchmark.
backtests
Japan produced strong results in our Graham Number backtest: 11.59% CAGR vs 2.95% for the Nikkei 225 over 25 years. +8.64% annual excess, 76% win rate, and 12.1% down capture vs the local index. Deep structural cheapness, Abenomics tailwinds, and TSE governance reforms all show up in the data.
backtests
Graham Number strategy on Nasdaq Stockholm returned 11.61% annually from 2000-2024, beating the OMX Stockholm 30 in 20 of 25 years. The 80% win rate is the highest of 13 exchanges tested. Up capture: 149.4%. Down capture: 43.8%.
backtests
We ran the Graham Number screen on the SIX Swiss Exchange for 25 years. 6.94% CAGR vs 1.90% SMI, a +5.04% annual excess. Sharpe 0.350, max drawdown -30.15%, win rate 68%. The defensive case for Swiss value, now measured against the right benchmark.