value investing
We ran Graham's net-net strategy on 8 global markets over 24 years with local benchmarks. Canada beat the TSX by +3.6% per year, Taiwan and Japan also outperformed. The UK lost 69% peak-to-trough. India badly trailed the Sensex. Here's the full cross-market comparison.
value investing
We backtested Graham's net-net strategy on Japan's JPX exchange from 2006 to 2024. Japan net-nets returned 7.39% CAGR vs 4.32% for the Nikkei 225, a +3.1% annual excess with 45% down capture. Japan is the major developed market where the net-net premium shows up most clearly in the data.
NCAV
We backtested Benjamin Graham's NCAV strategy across 8 global exchanges from 2001 to 2024. Japan delivered the best risk-adjusted returns (0.416 Sharpe, 47% down capture). Taiwan posted the highest CAGR at 9.75%. The other six markets trailed the S&P 500, with the US, UK, and Hong Kong showing...
NCAV
Xiao and Arnold (2008) found 19.7% annual returns for UK net-nets from 1980-2005. Our 2001-2024 backtest finds -0.62% CAGR. Two spectacular recovery years (+99% in 2009, +66% in 2020) couldn't offset persistent losses in normal markets.
NCAV
We backtested Graham net-net stocks on the Hong Kong Stock Exchange from 2001 to 2024. The strategy returned -3.17% annually with an -82% max drawdown. Pre-2015 it worked. Post-2015 it collapsed alongside Hong Kong's structural market decline.
NCAV
NCAV screen on Korean stocks from 2001 to 2024. 6.60% CAGR with only 22% volatility. Max drawdown -39.3%, lower than SPY. The Korea discount creates a reliable universe of balance sheet bargains.
NCAV
NCAV screen on Indian stocks from 2001 to 2024. 8.28% CAGR with 42% volatility. Recovery years hit +133%, +106%, and +81%. The trade-off is a -57.7% max drawdown.
NCAV
We backtested Graham net-net stocks on Taiwan exchanges from 2001 to 2024. The strategy returned 9.75% CAGR with a Sortino of 0.888, only 12.5% negative periods, and 39% down capture. Taiwan's small manufacturer ecosystem creates ideal conditions for net-net investing.
NCAV
We ran the NCAV screen on Japan from 2007 to 2024. CAGR of 8.85% matched SPY with lower drawdown (-33.7% vs -40.3%) and a Sortino of 1.167. Japan's cash-heavy balance sheets make NCAV a better predictor of liquidation value than in any other developed market.
NCAV
NCAV screen on Canadian stocks from 2001 to 2024. 7.49% CAGR. The only exchange with zero cash years out of 24. Resource-heavy TSX produces net-nets every year, but the ride includes a -55.9% max drawdown.
NCAV
We computed NCAV for every US stock from 2001 to 2024 and bought the ones trading below liquidation value. CAGR was 5.02% vs 8.84% for SPY. The real finding is what NCAV reveals as a balance sheet tool, which current assets matter, and why the formula uses them instead of total assets.
value investing
We backtested Graham's net-net strategy on all US exchanges (NYSE, NASDAQ, AMEX) from 2001 to 2024. The result is 5.55% CAGR vs 8.86% for the S&P 500. The premium that Oppenheimer documented in 1986 has largely disappeared. Here's what the data shows.