value investing
A quality-filtered P/S value screen on Stockholm stocks returned 10.96% annually vs 3.17% for the OMX Stockholm 30 index, the strongest excess return vs a local benchmark of any market tested. Sharpe ratio 0.452, the best globally.
Canada stocks
We backtested sector-relative EV/EBITDA on 24 years of Canadian stocks (TSX). 7.83% CAGR vs 4.44% TSX Composite (+3.40% excess), but max drawdown -47.36% and down capture of 104%. Every point of the excess comes from up capture, not from downside protection.
Germany stocks
We backtested sector-relative EV/EBITDA on 25 years of German stocks (XETRA). 8.29% CAGR vs 4.45% DAX (total return), +3.85% excess, zero cash periods, 72% win rate. Big caveat: on a German-domiciled universe the excess falls to +0.37%, so the edge belongs to XETRA listings.
small cap
We backtested small-cap value on LSE from 2000 to 2025. 15.44% CAGR with a max drawdown of just -10.89%. 0.750 Sharpe ratio, +14.21% excess over the FTSE 100. The best risk-adjusted result of any exchange in our 14-market comparison.
small cap
We backtested small-cap value on TWSE from 2000 to 2025. 12.63% CAGR with a max drawdown of just -11.38%. +8.54% excess over the TAIEX. The second-best risk-adjusted result in our 14-exchange global comparison.
small cap
We backtested small-cap value on TSX from 2000 to 2025. 13.21% CAGR, +9.26% over the TSX Composite. But -48.13% max drawdown reveals heavy resource sector exposure. The highest-risk version of the strategy in our 14-exchange comparison.
Switzerland stocks
We backtested sector-relative EV/EBITDA on 23 years of Swiss data (SIX). 8.96% CAGR vs 1.90% SMI (price return), 17.41% down capture, MaxDD -29.0%, Sharpe 0.359. Two caveats: the SMI excludes dividends, and on a Swiss-domiciled universe the +7.07% excess becomes -0.86%.
value investing
We ran Graham's net-net strategy on 8 global markets over 24 years with local benchmarks. Canada beat the TSX by +3.6% per year, Taiwan and Japan also outperformed. The UK lost 69% peak-to-trough. India badly trailed the Sensex. Here's the full cross-market comparison.
value investing
A quality-filtered P/S value screen on the TSX returned 8.42% annually vs 5.08% for the TSX Composite, with zero cash periods across 25 years and an average of 24.1 stocks per quarter. Sharpe 0.303, max drawdown -45.78%.
UK stocks
We backtested a sector-relative EV/EBITDA screen on 25 years of UK stock data (LSE). 9.49% CAGR vs 0.86% for the FTSE 100 (price return), zero cash periods, and a max drawdown of -36.97%. The FTSE 100 is price-only, so true excess vs a total-return FTSE is closer to +5% annually.
P/E mean reversion
A sector-relative P/E screen on 25 years of XETRA-listed data returned 10.37% annually vs 4.45% for the DAX, the best Sharpe of 13 exchanges (0.413) and 43% down-capture. The universe is companies listed on XETRA, not German-domiciled ones, and that distinction changes the answer.
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of UK stock data. Stocks trading at a 40%+ discount to sector peers, filtered for quality, returned 10.87% CAGR vs 0.86% for the FTSE 100. The highest local excess return of any exchange tested: 10.00%. Win rate: 80%.