value-investing
The P/TBV strategy on the London Stock Exchange returned 9.61% annualised over 25 years against SPY's 7.83%, adding 1.78% per year while drawing down to only -31.25% at its worst. That maximum drawdown figure is the standout: it's the lowest of
backtests
India's equity market is built on physical capital. Steel, cement, chemicals, engineering, infrastructure. The companies that dominate the BSE and NSE have accumulated decades of tangible assets on their balance sheets, and markets have persistently underpriced them relative to book. A P/TBV screen on Indian large-caps returned
value-investing
The P/TBV strategy on Germany's XETRA exchange returned 8.83% annualised over 25 years, beating SPY's 7.83% by 1.00% per year. The CAGR is the least dramatic number in this dataset. The real story is down capture: -22.69%. When SPY falls, Germany&
value-investing
The P/TBV strategy on China's Shenzhen and Shanghai exchanges returned 9.71% annualised over 25 years against SPY's 7.83%, adding 1.88% per year with a beta of 0.113. That near-zero beta is the structural fact that defines this strategy on Chinese markets:
backtests
Sector P/E Compression: Buying Cheap Industries Based on Valuation Mean Reversion Everyone talks about buying cheap stocks. What about buying cheap sectors? Contents 1. The Strategy 2. Backtest Results (2005-2025, With Costs) 3. How We Calculate Sector P/E 4. The Z-Score Signal 5. When Sector Compression Works 6.
backtests
Contents 1. What We Tested 2. Full Results Table 3. The Pattern 4. Notable Observations 5. Run a Global Screen Yourself 6. Limitations The yield gap strategy, buy stocks where earnings yields exceed government bond rates, filter for quality, has an intuitive theoretical foundation. Stocks offering a wide spread over
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Contents 1. The Strategy 2. Methodology 3. Results 4. When It Works 5. When It Struggles 6. Run It Yourself 7. Limitations The idea behind the yield gap is simple: stocks have an earnings yield (1/PE), and bonds have a yield. When stocks yield more than bonds, equities offer
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Contents 1. The Strategy 2. Methodology 3. Results 4. What Drives the UK Outperformance 5. Why the UK Works for Value Investing 6. Run It Yourself 7. Limitations We tested the yield gap strategy across 20 equity markets. The UK came first. London Stock Exchange stocks with earnings yields 3+
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Contents 1. The Strategy 2. Methodology 3. Results 4. What Drove the Returns 5. Run It Yourself 6. Limitations Sweden doesn't come to mind first when thinking about value investing. But among the markets we tested, Stockholm delivered the third-highest excess return in our 20-exchange study, with a
backtests
Contents 1. The Strategy 2. Methodology 3. Results 4. The Indian Market Story 5. Run It Yourself 6. Limitations The yield gap threshold for India is strict. With a risk-free rate of 6.5% (long-run average for Indian government bonds), the screen requires earnings yields above 9.5%, equivalent to
backtests
Contents 1. The Strategy 2. Methodology 3. Results 4. The Sectoral Explanation 5. Run It Yourself 6. Limitations The yield gap strategy on Canadian stocks delivered positive alpha over 25 years, and an unusual property: when US markets fell, this portfolio barely moved. The down-capture ratio of 3.52% against
value-investing
Price-to-Book on Canada's TSX: 9.72% CAGR and 8% Down Capture Over 25 Years Canada's TSX delivered 9.72% CAGR on a low P/B screen from 2000 to 2025. That's 2.08% annual excess return over the S&P 500. The number