52-Week High Proximity: One Signal, 18 Markets, Local Benchmarks Tell the Real Story

The 52-week high proximity strategy shows positive alpha in 14 of 18 global markets when compared to their local benchmarks. This is different from what cross-currency SPY comparisons suggested. Thailand delivers +7.56% excess return vs the SET Index. Japan +4.79% vs the Nikkei. Even UK markets show +1.09% vs the FTSE 100.

Contents

1. Method
2. Full Results
3. Strongest Results: Asia-Pacific Retail Markets
4. Thailand (SET): 11.32% CAGR, +7.56% vs SET Index, 44.4% down capture
5. India (NSE): 18.40% CAGR, +7.28% vs Sensex, 71.2% down capture
6. Korea (KSC): 10.51% CAGR, +5.70% vs KOSPI, 40.0% down capture
7. Thailand (SET): 11.32% CAGR, +7.56% excess, 44.4% down capture
8. Korea (KSC): 10.51% CAGR, +5.70% excess, 40.0% down capture
9. Japan (JPX): 8.89% CAGR, +0.88% excess, 63.5% down capture
10. Developed Markets: Modest Positive Alpha vs Local Benchmarks
11. Switzerland (SIX): 5.38% CAGR, +3.28% vs SMI, 74.2% down capture
12. Japan (JPX): 8.19% CAGR, +4.79% vs Nikkei, 42.0% down capture
13. US (NYSE+NASDAQ+AMEX): 10.53% CAGR, +2.51% vs SPY
14. UK (LSE): 2.44% CAGR, +1.09% vs FTSE, Germany (XETRA): 6.05% CAGR, +0.93% vs DAX
15. Italy (MIL): 6.54% CAGR, -1.48% vs FTSE MIB
16. The Sweden Anomaly Persists
17. China: The Only Major Negative Result
18. The Retail Gradient: Strength Varies, But Alpha Exists Broadly
19. Down Capture: Protection Varies by Market
20. What This Means for Portfolio Construction
21. Part of a Series
22. References

The signal works where anchoring matters. Individual investors treat the 52-week high as a psychological ceiling, hesitate to buy through it, and create systematic underreaction. That behavioral pattern exists across most markets. Comparing each market to its own local index, in the same currency, reveals the alpha that cross-currency SPY comparisons obscured.

The strongest results remain in retail-heavy Asia-Pacific markets. But European markets also show modest positive alpha vs their local indices. The signal is real and broad. The question isn't whether it works, it's how strong the effect is in each market structure.

Data: FMP financial data warehouse, 2000–2025. Updated March 2026.

Method

Same screen across all 18 exchanges. The variables are stock universe, local market cap threshold, and local benchmark for performance comparison. Each exchange is compared to its own index in local currency, enabling honest same-currency alpha measurement.

For methodology detail, SQL, and year-by-year breakdowns, see the regional posts linked below.

Full Results

*Sweden: positive excess but 87% down capture means losses are amplified in bear markets. †Norway: 2013-2025 only (12.5 years), 50% cash periods.

Strongest Results: Asia-Pacific Retail Markets

Thailand (SET): 11.32% CAGR, +7.56% vs SET Index, 44.4% down capture

Thailand edges India for top excess return at +7.56% annually vs the SET Index. The SET's retail-heavy structure makes anchoring effects persistent. The proximity screen captured the 2004-2014 Thai equity boom while providing 44.4% down capture vs the local benchmark.

Cash periods (14% of history) concentrated in 2000-2002 post-Asian financial crisis. The 2012 result (+66.2% vs SET +35.8%) shows the signal working: Thai mid-caps near their highs significantly outpaced the index.

India (NSE): 18.40% CAGR, +7.28% vs Sensex, 71.2% down capture

NSE-only universe (BSE excluded for deduplication). The +7.28% excess vs Sensex over 25 years is meaningful alpha for a pure price signal. The Sensex itself returned 11.12% annually in INR.

2004-2007 captured the Indian equity boom after missing 2003 (cash — NSE hadn't developed enough qualifying stocks yet). 2021-2024 shows sustained outperformance: +50.8%, +4.6%, +40.0%, +40.6% excess in four consecutive years.

Down capture of 71.2% vs Sensex. Cash periods: 16.5% (17 of 103 quarters), concentrated 2000-2003. MaxDD -61.5% reflects India's high volatility, but the Sharpe of 0.465 vs Sensex's 0.194 confirms better risk-adjusted returns.

Korea (KSC): 10.51% CAGR, +5.70% vs KOSPI, 40.0% down capture

Korea's retail-dominated KOSPI (60%+ individual investor volume) makes the anchoring effect visible. +5.70% excess vs the KOSPI with 40.0% down capture shows genuine asymmetry. Cash periods: 19.4% (20 of 103 quarters), concentrated 2000-2004.

2024-2025 highlights the signal working: +23.7% vs KOSPI -10.2% in 2024 (+33.8% excess), though 2025 gave some back.

Thailand (SET): 11.32% CAGR, +7.56% excess, 44.4% down capture

Thailand's retail-heavy market produced solid results. The down capture of 46.8% shows the same defensive characteristic as India and Korea, just less pronounced. Cash periods accounted for 14% of the history, concentrated in 2000-2002 during the aftermath of the 1997 Asian financial crisis.

Korea (KSC): 10.51% CAGR, +5.70% excess, 40.0% down capture

Korea produced our second-lowest down capture of any market at 39.1%. Retail participation in the Korean equity market is among the highest in the world, and the psychological anchoring effect is clear in the data. Win rate of 50.5% is modest, but the asymmetry between winning and losing periods (down capture below 40%) explains the CAGR advantage.

Korea had cash periods accounting for 19% of the history, primarily in 2000-2004 when the post-dot-com environment didn't generate enough qualifying stocks.

Japan (JPX): 8.89% CAGR, +0.88% excess, 63.5% down capture

Japan barely outperformed. The Sharpe (0.548) is actually strong for such modest excess returns. The MaxDD of -43.0% is real, driven by Japan's structural deflationary period in the early 2000s. The down capture of 63.5% is similar to the US result.

Japan sits between the two clusters. It has meaningful retail participation, particularly in individual stocks, but also a substantial institutional base and algorithmic trading infrastructure. The result is consistent with that intermediate market structure: the signal fires, but weakly.

Developed Markets: Modest Positive Alpha vs Local Benchmarks

Switzerland (SIX): 5.38% CAGR, +3.28% vs SMI, 74.2% down capture

Switzerland shows +3.28% excess vs the SMI (Swiss Market Index). Comparing to SPY showed -2.72% because the SMI itself underperformed US equities over this period. Against its own benchmark, the proximity signal works. The SMI returned 2.10% annually; the strategy returned 5.38%.

The SMI is concentrated in global large-caps (Nestlé, Novartis, Roche). When these stocks approach 52-week highs, the signal positions there. Institutional dominance doesn't eliminate the effect, it just reduces magnitude vs retail-heavy markets.

Japan (JPX): 8.19% CAGR, +4.79% vs Nikkei, 42.0% down capture

Japan improved from +0.88% vs SPY to +4.79% vs Nikkei 225. The Nikkei returned 3.40% annually (JPY terms). The proximity strategy beat it consistently. Down capture of 42.0% (vs old 63.5% vs SPY) shows better protection vs the local benchmark.

2008: -23.4% vs Nikkei -38.5% (+15.0% excess). 2013: +58.1% vs Nikkei +48.9%. The signal finds the relative winners within Japan's structurally weak market.

US (NYSE+NASDAQ+AMEX): 10.53% CAGR, +2.51% vs SPY

The US shows +2.51% excess with MOC execution (down from +4.77% with same-day close in prior tests). Down capture 68.6%. The 2000 dot-com protection (+59.0% excess) remains the standout year. 2008 protection minimal (+0.6% excess). 2022 was -12.1% excess (rate-driven crash hit high-proximity growth stocks).

UK (LSE): 2.44% CAGR, +1.09% vs FTSE, Germany (XETRA): 6.05% CAGR, +0.93% vs DAX

Both now positive vs local benchmarks. The FTSE returned 1.36%, DAX returned 5.12%. The proximity signal beats both, though by small margins. Institutional dominance reduces alpha magnitude, but doesn't eliminate it entirely.

Italy (MIL): 6.54% CAGR, -1.48% vs FTSE MIB

Italy is the only major European market showing negative excess vs its local benchmark. The FTSE MIB returned 8.02%; the strategy underperformed at 6.54%. Italian market structural issues likely overwhelm the behavioral edge.

The Sweden Anomaly Persists

Sweden shows +5.63% excess vs the OMX Stockholm 30 but 87.1% down capture. The proximity strategy still amplifies losses vs the local benchmark in Swedish bear markets.

The nominal CAGR (8.80%) beats the OMX (3.17%) by a wide margin, but the down capture above 80% means drawdowns are severe. Sweden's market is concentrated in cyclical industrials and financials. When these stocks are near their 52-week highs before a downturn, they dominate the portfolio. When markets turn, they fall harder than the index.

The positive excess return comes from strong bull market years where up capture is also high. The pattern: amplify both directions, net positive over the full period. This is a different risk profile from Asia-Pacific markets where down capture is 40-45%.

China: The Only Major Negative Result

China (SHH+SHZ) returned 0.84% vs Shanghai Composite (SSE) 4.19%, -3.35% excess.

China is the only large market where the strategy significantly underperforms its local benchmark. The SSE itself was weak (4.19% CAGR over 25 years). The proximity strategy was even weaker. The max drawdown of -85.1% and down capture of 96.7% show the strategy provides no protection vs the local market.

China's market structure is unusual: substantial retail participation (which should help) but also significant state influence, restricted capital flows, and A-share/H-share segmentation (which distort price signals). The behavioral edge that works elsewhere doesn't translate to Chinese markets, likely because fundamental signals are noisier and price discovery is less efficient.

The Retail Gradient: Strength Varies, But Alpha Exists Broadly

The pattern across 18 markets is structural: retail participation correlates with alpha magnitude. But local benchmark comparisons reveal the signal works more broadly than cross-currency SPY comparisons suggested.

High retail participation (strongest alpha): - Thailand, India, Korea: +5.7% to +7.6% excess vs local benchmarks - Down capture: 40-71% vs local indices - The 52-week high functions as a powerful psychological anchor

Moderate retail + institutional mix (modest alpha): - Japan, Taiwan, US, Canada: +2.5% to +4.8% excess - The signal works but institutional participation moderates the effect

Institutional-heavy but still positive (weak alpha): - Switzerland (+3.28%), UK (+1.09%), Germany (+0.93%) - Professional money managers don't anchor as strongly, but local benchmark alpha persists - Previous SPY comparisons (-2.72%, -5.08%, -1.44%) obscured this because local indices underperformed US equities

The anchoring bias exists across market structures. Magnitude varies. Only 4 of 18 markets show negative excess vs local benchmarks (China, Italy, Malaysia, South Africa).

Down Capture: Protection Varies by Market

Down capture vs local benchmarks shows a range from excellent (Germany 29.5%, Korea 40.0%) to poor (China 96.7%, Sweden 87.1%). The mechanism: as markets fall, fewer stocks stay near their 52-week highs, and the portfolio becomes selective.

Germany's 29.5% down capture with +0.93% excess shows the signal providing protection even in institutional markets.

What This Means for Portfolio Construction

The signal works broadly: 14 of 18 markets show positive excess vs local benchmarks. Magnitude varies by market structure.

Tier 1 (strongest alpha, 5-8% excess): Thailand, India, Korea, Sweden. Use these where you can tolerate the volatility and (for Sweden) the high down capture.

Tier 2 (solid alpha, 3-5% excess): Japan, Taiwan, Canada, Switzerland. Lower alpha but more stable markets. Japan's +4.79% vs Nikkei with 0.496 Sharpe is particularly strong risk-adjusted.

Tier 3 (weak but positive alpha, 1-3% excess): US, Singapore, Hong Kong, Germany, UK. The signal still works but barely. Transaction costs and implementation frictions could eliminate the edge.

Avoid: China (-3.35%), South Africa (-2.21%), Malaysia (-1.70%), Italy (-1.48%). Negative excess vs local benchmarks.

Portfolio construction: Combine Thailand + India + Japan for diversified exposure to the strongest markets. All three have positive alpha vs their local indices, different economic cycles, and down capture below 75%. The combination captures the behavioral edge while reducing single-country risk.

Part of a Series

Individual market analyses with year-by-year breakdowns:

• 52-Week High Proximity on US Stocks - 10.53% CAGR, +2.51% vs SPY
• 52-Week High Proximity on Indian Stocks - 18.40% CAGR, +7.28% vs Sensex
• 52-Week High Proximity on Korean Stocks - 10.51% CAGR, +5.70% vs KOSPI
• 52-Week High Proximity on Thai Stocks - 11.32% CAGR, +7.56% vs SET
• 52-Week High Proximity on Japanese Stocks - 8.89% CAGR, modest excess

References

• George, T. J. & Hwang, C.-Y. (2004). "The 52-Week High and Momentum Investing." Journal of Finance, 59(5), 2145-2176.

Run the global screen: https://cetaresearch.com/data-explorer?q=JfyjnAI7cd

Data: Ceta Research (FMP financial data warehouse). 18 exchanges tested, quarterly rebalance, equal weight, next-day close execution, 2000-2025 (varies by exchange). Each market compared to its local currency index. Transaction costs included.