P/E mean reversion - Trading Studio

P/E mean reversion

P/E Mean Reversion Across 13 Global Markets: The West Works, The East Doesn't

We tested sector-relative P/E mean reversion on 13 global stock markets from 2000-2025. The strategy beat SPY in the US (+2.23%), UK (+4.03%), Germany (+2.56%), and India (+2.32%). It failed in every Asian market tested, with Hong Kong the worst at -9.15% excess. The dividing line is whether...

P/E mean reversion

P/E Mean Reversion on German Stocks: 10.20% CAGR, 5.76% Alpha vs DAX

We tested a sector-relative P/E mean reversion screen on 25 years of XETRA data. Buy when a stock trades at a 40%+ discount to its sector median P/E, filtered for quality. The strategy returned 10.20% annually vs 4.45% for the DAX, with 5.76% excess return, the highest Sharpe ratio of 13...

P/E mean reversion

P/E Mean Reversion in India: 9.96% CAGR Over 19 Years, Trailing the Sensex by 1.5%

We tested a sector-relative P/E mean reversion screen on 25 years of Indian stock data from the NSE. The strategy returned 9.96% annually, which beats the S&P 500 (7.64%) but trails the Sensex (11.4%). Local benchmark matters: a strategy that looks like alpha vs SPY is actually slightly...

P/E mean reversion

P/E Mean Reversion (Sector-Relative): 11.67% CAGR, 10.81% Alpha vs FTSE 100

We tested a sector-relative P/E mean reversion screen on 25 years of UK stock data. Stocks trading at a 40%+ discount to sector peers, filtered for quality, returned 11.67% CAGR vs 0.86% for the FTSE 100. The highest local excess return of any exchange tested: 10.81%. Win rate: 76%.

P/E mean reversion

P/E Mean Reversion (Sector-Relative): 9.87% CAGR Over 25 Years of US Stock Data

We tested a sector-relative P/E mean reversion screen on 25 years of US stock data. Buy quality stocks trading 40%+ below their sector''s median P/E. The strategy returned 9.87% annually vs 7.64% for SPY, with 2.23% excess return and zero cash periods across 25 years.