backtests
We ran Benjamin Graham's formula (sqrt(22.5 × EPS × BVPS)) across US stocks from 2000 to 2024. The honest result: 6.34% CAGR vs 7.64% for SPY. The down capture of 72.1% is real. The structural underperformance since 2013 is also real.
backtests
We ran the same Net Debt/EBITDA screen across 22 global exchanges over 25 years. With local benchmarks, 13 of 22 beat their home index. India: +6.50% vs Sensex. The exchange matters more than the signal.
backtests
We tested Net Debt/EBITDA below 2x on 22,000+ US stocks over 25 years. Result: 5.13% CAGR vs 8.02% for SPY, -2.89% excess per year. The honest version of a popular strategy.
backtests
The same signal that underperforms on the full US market produced 17.62% CAGR on Indian stocks (NSE) over 25 years, +6.50% above the Sensex annually. Here's what the data shows and why.
backtests
EV/EBITDA below 10x on the TSX: 9.84% CAGR vs TSX Composite 4.44%, 76% win rate. Canada's commodity-heavy market is structurally suited to this screen, with 150.5% up capture and 5.36% alpha.
backtests
We tested EV/EBITDA below 10x on 18 global exchanges with local benchmarks. 14 of 18 beat their local index. The value premium is broader than SPY comparison suggested.
backtests
EV/EBITDA screening on XETRA: 7.40% CAGR vs 4.45% for the DAX. A 2.96% annual edge against the local index with a 68% win rate.
backtests
EV/EBITDA below 10x on NSE equities: 12.15% CAGR over 20 invested years vs 11.40% for the Sensex. A modest edge with lower beta.
backtests
EV/EBITDA screen on Borsa Italiana returned 6.03% 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.
backtests
A simple EV/EBITDA screen on Stockholm-listed stocks returned 9.74% CAGR over 25 years vs OMX Stockholm 30's 2.95%. The strategy outperformed in 76% of years, with 134.5% up capture and only 50.7% down capture against the local index.
backtests
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.
backtests
We screened every German stock on XETRA for discount to intrinsic value using a Gordon Growth Model and backtested from 2000 to 2025. The strategy returned 12.40% CAGR vs 4.51% for the DAX (price index), +7.89% local excess (~+5pp after dividend adjustment).