backtests
We screened for US stocks where earnings yields significantly exceed government bond rates and ran the backtest from 2000 to 2025. The strategy delivered 9.87% CAGR vs 7.64% for SPY, with most of that edge earned before 2010.
backtests
We ran the yield gap strategy across 20 equity markets from 2000 to 2025. Four full-window markets outperformed SPY: Sweden (+4.57%), UK (+2.38%), US (+2.23%), Canada (+1.93%). Against their own local indices the picture is better, 11 wins out of 14. Singapore was the weakest at -6.23% vs SPY.
value-investing
PEG ratio on India's NSE: 12.12% CAGR over 25 years, +0.99%/yr vs the Sensex. The ride was violent, -67% in 2008, +116% in 2009. Here's the full data.
backtests
We tested EV/EBITDA below 10x on 17 global exchanges with local benchmarks. 14 of 17 beat their local index. The value premium is broader than SPY comparison suggested.
value-investing
South Africa's JSE delivered 5.98% CAGR over 25 years with strong downside protection. Beta 0.574, down capture 42.2%, -16.5% in 2008 vs S&P 500's -34.3%. Trails SPY on returns but adds real diversification value.
value-investing
Stockholm Exchange delivered 10.71% CAGR over 25 years, +7.54%/yr vs OMX Stockholm 30. Sharpe ratio of 0.437 is 7x the benchmark's 0.060.
value-investing
Japan delivered 6.47% CAGR over 25 years, +3.07%/yr vs the Nikkei 225. Sharpe 0.284 vs benchmark 0.066. Up capture 99.7%, down capture 76.1%. The strategy beat the index in 16 of 26 years.
value-investing
PEG ratio tested on 19 exchanges with local benchmarks. Sweden: +7.54% vs OMX30. Canada: +4.59% vs TSX. Japan: +3.07% vs Nikkei. India: +0.99% vs Sensex. 8 of 19 markets beat their home index. After the dividend adjustment, 4 of those 8 hold.
value-investing
Canada's TSX PEG strategy delivered 9.67% CAGR with zero cash periods across 25 years, +4.59%/yr vs the TSX Composite. Next-day close execution, full backtest results and methodology.
value-investing
Peter Lynch's PEG ratio underperforms the full US exchange universe by 0.91%/yr over 25 years. Here's what works, what doesn't, and why universe selection changes everything.
value-investing
Taiwan's DCF discount portfolio returned 9.24% CAGR over 25 years, beating the TAIEX by +6.19% annually. The 0.399 Sharpe, -35.91% max drawdown (shallowest of any Asian market), and ~2.8:1 up/down capture asymmetry show strong risk-adjusted performance.
value-investing
India's DCF Discount strategy returned 10.86% CAGR on NSE, trailing the Sensex at 11.49%. That is -0.63% annual excess. The drawdown was -58% vs the Sensex's -38%. The strategy lags the local market on every risk-adjusted metric.