backtests
We tested buying S&P 500 sectors when their aggregate P/E falls 1+ standard deviation below the 5-year average. 12.70% CAGR vs 10.65% SPY over 21 years, with 67.6% down-capture ratio. Full methodology and SQL included.
piotroski
The Piotroski F-Score inverts in India. Score 8-9 returned 2.2% CAGR over 27 years on NSE. Score 0-2 returned 9.4%. The spread is -7.2%. Both trail the Sensex (10.9%). India's growth-driven market punishes the quality signal.
piotroski
The Piotroski F-Score works in Hong Kong. Score 8-9 returned 7.6% CAGR with Sharpe 0.207 over 27 years, beating Hang Seng (2.7%) by +4.87%. Score 0-2 returned 2.1% with -76.5% max drawdown. The +5.5% spread is one of the strongest in our study.
piotroski
Japan's Piotroski F-Score spread is +1.1% over 27 years. Score 8-9 beats the Nikkei 225 by +1.31%. The alpha comes from avoidance (+6.7%), not selection (-5.5%). Score 8-9 underperformed All Value (9.9%). The F-Score on JPX is a filter, not a stock picker.
piotroski
UK Score 8-9 returned 4.8% CAGR over 27 years, beating the FTSE 100 (1.3%) by +3.48%. But the unfiltered value universe returned 6.9% and Score 0-2 returned 8.3%. Spread: -3.5%. Selection alpha -2.1%, avoidance alpha -1.3%.
piotroski
We ran the Piotroski F-Score on 15 exchanges with MOC execution and data quality guards. Spread is positive on 9, negative on 6. Score 8-9 beats the local benchmark on 10 of 15. Range: +12.0% (Thailand) to -7.2% (India). Avoidance works on 12 of 15.
piotroski
Australia has the strongest avoidance signal of any market we tested. Score 0-2 returned -0.7% annually over 32 years. Avoidance alpha: +13.7%. But Score 8-9 returned just 1.5%, trailing ASX 200 by 3.5% and All Value by 11.5%. The F-Score picks the wrong stocks on the ASX.
value-investing
Canada's TSX returned 9.33% CAGR on a low P/B screen over 25 years, +4.90% annual excess vs the TSX Composite. In 2022, the portfolio gained +29% while the TSX fell -8% — the largest annual spread across all 18 exchanges we tested.
value-investing
Brazil's B3 returned 16.05% CAGR on a low P/B screen over 25 years. 7.61% annual alpha over the Bovespa, the highest vs a local benchmark across 18 exchanges tested. Down capture: 15.36% vs Bovespa. Returns in BRL; currency adjustment reduces but doesn't eliminate the alpha.
backtests
We tested Benjamin Graham's intrinsic value formula across 14 global exchanges. 8 of 14 beat SPY. Winners: developed value markets (Sweden +4.97%, US +4.39%) and emerging markets (India +5.43%). Losers: high-growth Asia (Taiwan -3.13%).
backtests
We tested Graham Number timing on Indian stocks (BSE+NSE). 13.44% CAGR vs 8.01% SPY, +5.43% excess (best globally). 57.1% down-capture with 122.5% up-capture. Value investing asymmetry in emerging markets.
backtests
We tested Graham Number timing on Swedish stocks. 12.98% CAGR vs 8.01% SPY, +4.97% excess. 0.544 Sharpe ratio (best globally), 72% down-capture. The Goldilocks result: high alpha with controlled risk.