value investing - Trading Studio (Page 5)

DCF Threshold strategy cumulative growth vs S&P 500, UK LSE 2000–2025.

DCF

DCF Threshold in the UK: 9.10% CAGR Over 21 Invested Years of LSE Data

We ran a Gordon Growth DCF screen with quality filters on 25 years of London Stock Exchange data. No qualifying stocks 2000–2003. From 2004, 9.10% CAGR vs 7.64% SPY, with strong recovery years in 2006, 2009, 2012, and 2021 — and a -36% annual gap in 2014 driven by the energy sector collapse.

DCF Threshold strategy cumulative growth vs S&P 500, US stocks 2000–2025. Portfolio grew to approximately $14.36 vs $6.31 for SPY.

DCF

DCF Threshold: 11.25% CAGR and 38% Down Capture Over 25 Years of US Stock Data

We added ROE, D/E, and OCF quality filters to a Gordon Growth DCF screen and tested it on 25 years of US stocks. The result was 11.25% CAGR vs 7.64% SPY, 3.60% annual excess return, and 38% down capture — the strategy captures only 38 cents of every dollar the market loses.

EV/EBITDA sector-relative strategy on TSX vs TSX Composite cumulative returns 2001-2025.

Canada stocks

EV/EBITDA Sector-Relative Value on Canadian Stocks: An Honest Assessment

We backtested sector-relative EV/EBITDA on 23 years of Canadian stocks (TSX). 7.16% CAGR vs 4.44% TSX Composite (+2.72% excess), but max drawdown -44.68% and Sharpe 0.233. The signal works when sector discounts have a catalyst. In Canada's resource-heavy TSX, they often don't.

EV/EBITDA sector-relative excess return vs local benchmark by exchange (2000-2025). Bar chart showing 11 markets positive, 2 negative, Norway/S.Africa insufficient data.

global stocks

EV/EBITDA Sector-Relative Value Across 14 Global Markets: Most Markets Beat Their Local Index

We ran sector-relative EV/EBITDA on 14 global exchanges (2000-2025), using each market's own local benchmark. 11 of 14 markets show positive excess return. The "West works, East doesn't" framing disappears with local benchmarks. India and Thailand are the main underperformers. US leads at...

EV/EBITDA sector-relative strategy on XETRA vs DAX cumulative returns 2000-2025.

Germany stocks

EV/EBITDA Sector-Relative Value on German Stocks: 8.97% CAGR Across All 25 Years

We backtested sector-relative EV/EBITDA on 25 years of German stocks (XETRA). 8.97% CAGR vs 4.45% DAX (total return), +4.53% excess. Zero cash periods. Win rate 48% but big alpha years (2000: +48% excess vs DAX) drive the long-run case. DAX is a total-return index — this is a clean comparison.

Growth of investment in EV/EBITDA sector-relative India strategy vs Sensex from 2000 to 2025, showing high-volatility trajectory

India stocks

EV/EBITDA Sector Discount on Indian Stocks: Strong Returns, but the Sensex Did Better

We backtested a sector-relative EV/EBITDA screen on NSE stocks (2006-2025). 10.75% CAGR and beats SPY by a wide margin, but the Sensex returned 11.4%. Against the local benchmark, the strategy trails by 0.66% per year. Full data, SQL screen, and honest assessment.

EV/EBITDA sector-relative strategy on JPX vs Nikkei 225 cumulative returns 2006-2025. Strategy returned approximately 87% total.

Japan stocks

EV/EBITDA Sector-Relative Value on Japanese Stocks: Value That Needs Government Help

We backtested sector-relative EV/EBITDA on 19 years of Japanese stocks (JPX, 2006-2025). 3.38% CAGR vs 2.95% Nikkei 225, +0.43% excess. Japan is a deep value market, but the excess is thin and risk-adjusted returns are poor (Sharpe 0.177, MaxDD -49.76%). Discounts close on government policy, not...

EV/EBITDA sector-relative strategy on SIX Swiss Exchange vs SMI cumulative returns 2002-2025. Strategy returned 729.51% total.

Switzerland stocks

EV/EBITDA Sector-Relative Value on Swiss Stocks: 8.83% CAGR With 18% Down-Capture

We backtested sector-relative EV/EBITDA on 23 years of Swiss data (SIX). 8.83% CAGR vs 1.90% SMI (price return), 18.21% down capture, MaxDD -29.3%, Sharpe 0.421. Note: SMI excludes dividends — true excess vs total-return SMI is ~+3-4% annually. Still strong downside protection with a 15-stock...

Growth of $10,000 invested in EV/EBITDA sector-relative UK strategy vs FTSE 100 from 2000 to 2025, showing steady outperformance with lower drawdowns

UK stocks

EV/EBITDA Sector Discount on UK Stocks: Consistent, Not Spectacular

We backtested a sector-relative EV/EBITDA screen on 25 years of UK stock data (LSE). 9.77% CAGR vs 0.86% for the FTSE 100 (price return), zero cash periods, and a max drawdown of -31.12%. Note: FTSE 100 is price-only — true excess vs total-return FTSE is closer to +5-6% annually.

EV/EBITDA

EV/EBITDA Sector Discount on US Stocks: 25 Years of Data

We tested a sector-relative EV/EBITDA screen on 25 years of US stock data. When a profitable company's EV/EBITDA falls 30%+ below its sector peers, it tends to mean-revert. 12.51% CAGR vs 7.64% for SPY, with 60.4% down capture and zero cash periods across 25 years.

P/E mean reversion

P/E Mean Reversion Across 13 Global Markets: The West Works, The East Doesn't

We tested sector-relative P/E mean reversion on 13 global stock markets from 2000-2025. The strategy beat SPY in the US (+2.23%), UK (+4.03%), Germany (+2.56%), and India (+2.32%). It failed in every Asian market tested, with Hong Kong the worst at -9.15% excess. The dividing line is whether...

P/E mean reversion

P/E Mean Reversion on German Stocks: 10.20% CAGR, 5.76% Alpha vs DAX

We tested a sector-relative P/E mean reversion screen on 25 years of XETRA data. Buy when a stock trades at a 40%+ discount to its sector median P/E, filtered for quality. The strategy returned 10.20% annually vs 4.45% for the DAX, with 5.76% excess return, the highest Sharpe ratio of 13...