piotroski
Australia is the clearest example of the Piotroski F-Score working purely as a risk filter. Over 32 years on the ASX, Score 8-9 stocks returned just 1.5% annually, trailing the ASX 200 (4.9%) by -3.5%. The unfiltered value universe returned 13.0%. That's an enormous
piotroski
We ran the same Piotroski F-Score backtest on nine exchanges using next-day close (MOC) execution and local benchmarks. The spread between Score 8-9 and Score 0-2 value stocks is positive on four of nine markets. On the other five, the signal inverts: low-scoring stocks beat high-scoring stocks. Contents 1. Method
backtests
Graham Number Timing Across 14 Global Exchanges: Where Does Value Work? We tested Benjamin Graham's 1949 intrinsic value formula across 14 global stock exchanges over 25 years (2000-2025). The results reveal a clear pattern: value timing works in 8 of 14 markets, with strongest performance in developed value
backtests
Graham Number Timing: When Stocks Trade Below Benjamin Graham's Fair Value Formula Benjamin Graham's intrinsic value formula delivered +4.39% annual alpha over 25 years. That's $37,763 extra on every $10,000 invested, using a metric Graham defined in 1949. Contents 1. The
backtests
Graham Number Timing in Sweden: Best Risk-Adjusted Returns Globally (0.544 Sharpe) Benjamin Graham's intrinsic value formula delivered a 0.544 Sharpe ratio on Swedish stocks over 25 years. That's the highest risk-adjusted return across all 14 global exchanges we tested. Contents 1. The Formula 2.
backtests
Graham Number Timing on Indian Stocks: 13.44% CAGR, Best Performer Globally Benjamin Graham's 1949 intrinsic value formula delivered +5.43% annual alpha on Indian stocks over 25 years. That's the highest excess return across all 14 global exchanges we tested. Contents 1. The Formula 2.
backtests
EV/EBITDA is the multiple private equity firms use to price acquisitions. It strips out capital structure and taxes, so you can compare an all-equity company to a heavily leveraged one on equal footing. Below 10x is cheap by any standard. The S&P 500 has historically averaged 11–
backtests
India's equity market runs differently from the US. High-growth expectations get priced into multiples aggressively, which means when you find a company trading below 10x EV/EBITDA with strong ROE, it's genuinely out of favor, not just slow. We tested this screen on BSE and NSE
backtests
EV/EBITDA Backtest: Germany (XETRA), 2000-2024 Over 25 years, the EV/EBITDA screen on XETRA returned 7.40% CAGR versus 4.45% for the DAX. That's a 2.96 percentage point annual edge against the local index. Previous analysis compared this to SPY and called it a "
backtests
The TSX is structurally different from most equity indices. About 25% energy, 25% financials, 15% materials. These are capital-intensive businesses with real EBITDA, and EV/EBITDA is exactly the right metric to price them. We ran the same EV/EBITDA screen that we used on US, Indian, and European exchanges
backtests
EV/EBITDA Backtest: Italy (MIL), 2000–2024 Italy doesn't work. The EV/EBITDA screen on Borsa Italiana returned 6.03% CAGR over 25 years, trailing SPY's 7.64% by 1.62 percentage points annually. With MOC execution (next-day close prices), the strategy loses its edge entirely.
backtests
Price-to-Tangible-Book filters out the accounting fog and asks a simple question: what are the hard assets actually worth relative to price? Run on US large-caps with basic quality filters, this strategy returned 10.03% CAGR over 25 years versus 7.83% for SPY, with a down-capture ratio of just 10.