value investing
We screened XETRA-listed stocks for low price-to-sales ratios with qualifying margins and profitability, then backtested the resulting portfolio from 2000 to 2025. The strategy returned 8.13% annually vs 5.12% for the DAX, over 25 years and 103 quarterly periods. The Sharpe ratio is 0.291. The portfolio was
value investing
We backtested value-momentum on 17 exchanges over 25 years with local benchmarks. 12 of 17 beat their reference benchmark. India leads at 15.87% CAGR. Hong Kong has the highest alpha (+8.57% vs Hang Seng).
value investing
A quality-filtered P/S value screen on NSE returned 12.27% CAGR from 2000 to 2025, against a Sensex that returned 11.12%. The strategy beats the local index by 1.15 percentage points. India's market itself rose strongly. The screen adds a modest, real edge on top.
small cap
We backtested small-cap value on the Johannesburg Stock Exchange (JSE) from 2000 to 2025. 12.80% CAGR, +4.95% excess over SPY. Strong mid-2000s commodity boom returns, but the 0.163 Sharpe ratio reveals the cost of South Africa's high risk-free rate.
small cap
We backtested a small-cap value screen on US stocks from 2000 to 2025. Buy the 30 cheapest small caps by P/B with quality controls. Result: 18.10% CAGR vs 7.85% for SPY, with half the drawdown.
value investing
We backtested a P/B < 1.5 + ROE > 8% screen on Stockholm-listed stocks from 2000 to 2025. 13.55% CAGR, Sharpe ratio of 0.524, and a down capture of only 44.29% vs the OMX Stockholm 30. Best risk-adjusted result of 17 exchanges we tested. Returns in SEK.
owner earnings
We ran the same Owner Earnings Yield screen on 14 global exchanges over 25 years. Ten of 14 beat their local benchmark. India leads at 15.47% CAGR. The UK delivers the largest local alpha (+7.5% vs FTSE). Sweden produces the best Sharpe (0.389).
value investing
Owner Earnings Yield on Shanghai + Shenzhen A-shares from 2000 to 2025. 6.76% CAGR vs SSE Composite 2.43%, +4.33% excess. Zero cash periods. 68% win rate vs local benchmark.
value investing
We screened HKSE stocks for high Owner Earnings yield from 2000 to 2025. The strategy returned 5.24% annually vs 1.64% for the Hang Seng Index, with zero cash periods across all 25 years. 60% win rate, 58.5% down capture.
value investing
We screened for stocks with high Owner Earnings yield on Sweden's Stockholm exchange from 2000 to 2025. The strategy returned 9.51% annually vs 2.55% for the OMX Stockholm 30. 76% win rate, 36% down capture, 0.389 Sharpe.
value investing
Owner Earnings Yield screen on NSE, 2000-2025. 15.47% CAGR vs Sensex 12.06%. +3.4% annual excess with next-day close execution. All returns in INR against a local benchmark.
value investing
We screened for stocks with high Owner Earnings yield across all US exchanges from 2000 to 2025. The strategy returned 9.22% annually vs 7.85% for the S&P 500 with a down capture ratio of 42.1%.