backtests
We tested the yield gap strategy on London Stock Exchange stocks from 2000 to 2025. LSE stocks delivered 10.02% CAGR against 0.86% for the FTSE 100, a +9.16% annual edge, and beat the local index in 80% of years.
backtests
Price-to-Tangible-Book strips goodwill and intangibles from the valuation, leaving only what a company physically owns. Backtested on US large-caps from 2000-2025, the strategy returned 11.31% CAGR versus 7.85% for SPY, with a down-capture ratio of just 3.9%.
backtests
We ran Benjamin Graham's formula (sqrt(22.5 × EPS × BVPS)) across US stocks from 2000 to 2024. The honest result: 7.01% CAGR vs 7.64% for SPY. The down capture of 68.8% is real. The structural underperformance since 2013 is also real.
piotroski
Preliminary analysis under revision due to FMP adjClose data issues on ASX. Score 0-2 returned -0.7% annually over 32 years. Avoidance alpha: +13.7%. Score 8-9 returned just 1.5%, trailing ASX 200 by 3.5% and All Value by 11.5%. Numbers may be inflated by data artifacts.
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
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
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
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.
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.
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
EV/EBITDA below 10x on NSE equities: 11.97% CAGR over 20 invested years vs 11.40% for the Sensex. A modest edge with lower beta.