P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of Indian stock data from the NSE. The strategy returned 9.96% annually, which beats the S&P 500 (7.64%) but trails the Sensex (11.4%). Local benchmark matters: a strategy that looks like alpha vs SPY is actually slightly...
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 11.67% CAGR vs 0.86% for the FTSE 100. The highest local excess return of any exchange tested: 10.81%. Win rate: 76%.
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of US stock data. Buy quality stocks trading 40%+ below their sector''s median P/E. The strategy returned 9.87% annually vs 7.64% for SPY, with 2.23% excess return and zero cash periods across 25 years.
value investing
D/E < 0.5 + Piotroski F-Score >= 7 on NSE, backtested 2000-2025. 13.78% CAGR vs Sensex 12.06%, +1.72% annual excess. Max drawdown -16.61% vs Sensex -32.20%. India delivers sustained alpha with half the drawdown.
value investing
Over 25 years on the Toronto Stock Exchange, a Price-to-Tangible-Book strategy returned 8.67% annually against the TSX Composite's 3.95%, a margin of 4.71 percentage points. That's a meaningful edge over the domestic benchmark, more than doubling the index return. The TSX Composite only
value investing
Fourteen of 15 exchanges beat their local benchmark over 25 years using a Price-to-Tangible-Book strategy. Only Korea underperformed. The strategy works where physical and financial assets are the primary value driver: manufacturing, banking, energy, materials. The one failure, Korea, reveals structural limits worth understanding. But the broad picture is clear:
value investing
Swedish industrial companies, sorted by the ratio of market cap to tangible book value, returned 8.97% annually from 2000 to 2024, beating the OMX Stockholm 30 by 6.42 percentage points. The OMX returned just 2.55% annualised over the same period. The strategy spent four years in cash
P/E compression
P/E compression on Japanese stocks returns 5.20% annually vs 2.95% for the Nikkei 225, beating the local benchmark by 2.25% per year with 52% down-capture. The strategy works in Japan when compared against the correct local benchmark.
P/E compression
P/E compression on UK stocks returns 9.72% annually (GBP) vs 0.86% for the FTSE 100, with 8.86% excess return. The FTSE 100 has been a weak benchmark over 25 years. The strategy also beats SPY at 2.08% excess.
P/E compression
We tested a P/E compression mean reversion screen on 25 years of US stock data. Buy when current P/E drops 15% below its 5-year average with quality filters. The strategy returned 9.92% annually vs 7.64% for SPY, with 2.28% excess return and favorable downside protection.
value investing
A quality-filtered P/S value screen on the TSX returned 8.71% annually vs 5.08% for the TSX Composite, with zero cash periods across 25 years and an average of 26.2 stocks per quarter. Sharpe 0.325, max drawdown -44.67%.
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 9.70% annually vs 5.12% for the DAX, over 25 years and 100 quarterly periods. The Sharpe ratio is 0.368. The portfolio was