KOSPI's 52-Week High Screen: 11.4% CAGR, 39% Down Capture
We tested the 52-week high proximity strategy on Korean stocks (KSC) from 2000 to 2025. 10.51% CAGR, +5.70% vs KOSPI, 40.0% down capture. 2024 returned +23.7% when KOSPI fell 10.2%.
We ran the 52-week high proximity strategy on Korean stocks (KSC) from 2000 to 2025. The result: 10.51% annualized, +5.70% above the KOSPI, 40.0% down capture. A ₩1 investment grew to ₩13.11. The KOSPI returned ₩4.81 over the same period. The strategy held cash for roughly a fifth of the 25 years — and those cash periods lined up well with Korea's worst market environments.
Contents
- Method
- What is the 52-Week High Proximity Strategy?
- What We Found
- 10.51% CAGR. +5.70% vs KOSPI. 40.0% down capture.
- Year-by-Year Returns
- 2000–2004: five years of cash
- 2005: the KOSPI breakout year
- 2008: in line with KOSPI but faster recovery
- 2020: the standout upside year at +54.7%
- 2022, 2024, and 2025: the recent cycle
- Why Anchoring Works in Korea
- Limitations
- Run This Screen Yourself
- Part of a Series
- References
Korea's equity story is about downside discipline. The KOSPI is dominated by retail investors (over 60% of daily volume from individual accounts), which makes anchoring effects visible and persistent. The signal finds that. It doesn't always deliver big up years, but it absorbs a fraction of the crashes.
Data: FMP financial data warehouse, 2000–2025. Updated March 2026.
Method
Data source: Ceta Research (FMP financial data warehouse) Universe: KSC (Korea Stock Exchange), market cap > ₩500B Period: 2000–2025 (25 years, 103 quarterly periods) Rebalancing: Quarterly (January, April, July, October), equal weight Execution: Next-day close (MOC) Benchmark: KOSPI (KRW — local currency comparison) Returns: Calculated in KRW; benchmark in KRW Cash rule: Hold cash if fewer than 10 stocks qualify
The signal is the proximity ratio: current price divided by the 52-week high (rolling 252 trading days). Stocks are ranked by proximity ratio and the top 30 are held each quarter.
Note on benchmarking: Returns are in KRW, same currency as the portfolio. Comparing to the KOSPI enables an honest same-currency benchmark. Cross-currency comparison to SPY would include currency effects.
What is the 52-Week High Proximity Strategy?
George and Hwang (2004) showed that stocks trading near their 52-week high outperform stocks far from it. The mechanism is anchoring bias. Investors treat the 52-week high as a psychological ceiling. When a stock approaches it, selling pressure builds from investors who expect resistance. That pressure keeps the price below fundamental value temporarily. When news or earnings push the stock past the anchor, the discount corrects sharply.
Proximity ratio = adjClose / MAX(high over 252 trading days)
A ratio of 1.0 means the stock is at its 52-week high. We select the top 30 stocks by this ratio — closest to their annual peak — and hold them equal weight for one quarter.
What We Found
10.51% CAGR. +5.70% vs KOSPI. 40.0% down capture.
| Metric | 52-Week High Korea | KOSPI |
|---|---|---|
| CAGR | 10.51% | 4.81% |
| Excess Return | +5.70% | — |
| Total Return | ₩13.11 per ₩1 | ₩4.81 per ₩1 |
| Max Drawdown | -37.96% | -54.61% |
| Sharpe Ratio | 0.381 | 0.157 |
| Up Capture | 87.27% | — |
| Down Capture | 40.04% | — |
| Cash Periods | 19.4% of quarters | — |
| Avg Stocks (invested) | 28.7 | — |
| Win Rate | 50.5% | — |
The 40.0% down capture is the standout. When the KOSPI fell, this portfolio absorbed only 40% of the decline. Combined with a max drawdown of -37.96% (versus KOSPI's -54.61%), the strategy shows genuine downside management over a 25-year period that included two global crashes and multiple Korea-specific corrections.
The trade-off is up capture. At 88.08%, the strategy captures slightly less of up markets than down. This is the natural consequence of a signal that exits to cash when fewer stocks are near their highs — bear markets reduce the qualifying universe, but so do slow sideways markets where nothing is near an annual peak.
The win rate of 50.5% is exactly market-like. The edge doesn't come from being right more often. It comes from asymmetry: the wins are larger than the losses when they happen.
Year-by-Year Returns
| Year | Korea Strategy | KOSPI | Excess |
|---|---|---|---|
| 2000 | 0.0% (cash) | -50.8% | n/a |
| 2001 | 0.0% (cash) | +39.2% | n/a |
| 2002 | 0.0% (cash) | -12.4% | n/a |
| 2003 | 0.0% (cash) | +29.3% | n/a |
| 2004 | 0.0% (cash) | +8.8% | n/a |
| 2005 | +50.6% | +55.5% | -4.9% |
| 2006 | +1.2% | +3.3% | -2.1% |
| 2007 | +48.8% | +29.1% | +19.6% |
| 2008 | -37.3% | -37.5% | +0.2% |
| 2009 | +51.4% | +46.5% | +4.8% |
| 2010 | +35.9% | +22.1% | +13.8% |
| 2011 | -8.9% | -11.8% | +2.9% |
| 2012 | +5.0% | +11.2% | -6.2% |
| 2013 | +10.0% | -3.1% | +13.1% |
| 2014 | +14.2% | -2.1% | +16.3% |
| 2015 | +31.9% | -0.4% | +32.3% |
| 2016 | -8.1% | +5.6% | -13.7% |
| 2017 | +42.6% | +22.4% | +20.2% |
| 2018 | -11.6% | -18.9% | +7.4% |
| 2019 | -9.0% | +8.2% | -17.2% |
| 2020 | +54.7% | +35.4% | +19.4% |
| 2021 | +0.1% | +1.5% | -1.4% |
| 2022 | -13.2% | -25.5% | +12.3% |
| 2023 | +12.0% | +20.0% | -7.9% |
| 2024 | +23.7% | -10.2% | +33.8% |
| 2025 | +44.4% | +48.0% | -3.6% |
2000–2004: five years of cash
The KOSPI didn't have enough stocks near their 52-week highs during these years for the signal to fire. Korea was recovering from the 1997–1998 Asian financial crisis. Corporate restructuring was ongoing. The market had low conviction periods where most stocks were well below annual peaks.
Five years of cash meant missing the 2003 US recovery (+24.1%). But it also meant avoiding the 2001 and 2002 US losses. On balance, the cash periods from 2000–2004 preserved the portfolio for the 2005 entry at a clean base.
2005: the KOSPI breakout year
When the signal fired in 2005, it found exactly what it was designed to capture. +50.6% in a single year, against the KOSPI's 55.5%. Korea's mid-cap industrial and technology companies were approaching annual highs on improving fundamentals. The proximity screen positioned in them as the broader market surged.
2008: in line with KOSPI but faster recovery
2008 was -37.3% for the strategy, versus -37.5% for the KOSPI. The KOSPI fell hard in the global crisis — Korea's export-heavy economy is cyclically sensitive. The strategy matched the index in the crash year, then recovered strongly.
2009 returned +51.4% against the KOSPI's +46.5% (+4.8% excess). The recovery was faster than the drawdown, and by 2010 (+35.9% vs KOSPI +22.1%, +13.8% excess) the portfolio had rebuilt substantially.
2020: the standout upside year at +54.7%
2020 was the strongest single-year result. COVID crashed markets in March, but Korea's equity market recovered with unusual speed. The KOSPI was driven partly by retail investor participation (Korean retail investors became very active during the COVID period) and partly by Korea's early economic recovery relative to Western markets.
The proximity signal captured the strongest-recovering stocks within that environment. +54.7% against the KOSPI's +35.4% (+19.4% excess).
2022, 2024, and 2025: the recent cycle
2022 shows the signal working as designed during a genuine bear market. The KOSPI fell 25.5%, and the Korea strategy fell only 13.2% — absorbing just over half the decline (+12.3% excess). Korea's domestic-oriented sectors held up better than cyclicals in that environment.
2024 is a massive standout: +23.7% when the KOSPI fell 10.2%. A 33.8 percentage point outperformance. Korean semiconductor and technology stocks in 2024 showed strong relative strength while the broader index struggled, and the proximity signal was positioned there.
2025 followed with +44.4% against the KOSPI's +48.0%. The strategy slightly lagged as the broader market surged, but captured most of the upside.
Why Anchoring Works in Korea
Korea's equity market has one of the highest retail participation rates globally. Individual investors account for over 60% of daily KOSPI volume. Retail investors are particularly susceptible to anchoring — they watch 52-week highs and all-time highs as reference points for "expensive" and "cheap."
This creates predictable behavior around annual highs. Retail selling pressure builds as stocks approach the 52-week high level. The proximity signal positions the portfolio precisely in those stocks. When the anchor breaks to the upside, the retail sellers are proven wrong, and the repricing is sharp.
The 19.4% cash periods (roughly one in five quarters) reflect an important feature of the signal. When Korean markets are trending lower, fewer stocks are near their highs. The screen naturally reduces exposure. This isn't a deliberate market-timing mechanism — it's the signal being selective about what qualifies. The effect is a portfolio that's inherently less invested in bad environments.
Limitations
Currency risk. Returns are in KRW. KRW/USD fluctuations matter for international investors, though domestic investors wouldn't face this issue.
Cash periods miss up markets. The five cash years from 2000–2004 missed the KOSPI's 2001 (+39.2%) and 2003 (+29.3%) recoveries. In periods where the broader market rallies but individual stocks aren't near highs, the strategy sits out. This is protection in bad environments but a drag in uneven recoveries.
Max drawdown of 37.96% in 2008. Still a large single-event loss. The downside protection is relative (much better than KOSPI's 54.61%), not absolute.
Liquidity. Mid-cap Korean stocks have thinner order books outside the top-tier names. Real execution costs for larger positions could exceed the modeled transaction costs.
Survivorship bias. Companies that delisted or failed during the 25-year period aren't fully tracked. Drawdowns are likely understated somewhat.
Run This Screen Yourself
Current 52-week high proximity screen (Korean stocks):
SELECT
s.symbol,
p.companyName,
p.sector,
ROUND(s.adjClose / MAX(s.high) OVER (
PARTITION BY s.symbol
ORDER BY s.date
ROWS BETWEEN 251 PRECEDING AND CURRENT ROW
), 4) AS proximity_ratio,
ROUND(p.mktCap / 1e9, 2) AS mktcap_bn_krw
FROM stock_eod s
JOIN profile p ON s.symbol = p.symbol
WHERE p.exchange IN ('KSC')
AND p.mktCap > 500000000000
AND s.date = (SELECT MAX(date) FROM stock_eod)
QUALIFY ROW_NUMBER() OVER (PARTITION BY s.symbol ORDER BY s.date DESC) = 1
ORDER BY proximity_ratio DESC
LIMIT 30
Run this screen on Ceta Research
The full backtest code (Python + DuckDB) is on GitHub.
Part of a Series
This post is part of our 52-week high proximity global exchange comparison:
- India (NSE): 18.4% CAGR, +7.3% vs Sensex
- Thailand (SET): Anchoring Works in Emerging Markets Too
- Japan (JPX): Steady Alpha in a Flat Market
- Global Comparison: 52-Week High Proximity Across Exchanges
References
- George, T. & Hwang, C. (2004). "The 52-Week High and Momentum Investing." Journal of Finance, 59(5), 2145–2176.
- Jegadeesh, N. & Titman, S. (1993). "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance, 48(1), 65–91.
- Kaniel, R., Saar, G. & Titman, S. (2008). "Individual Investor Trading and Stock Returns." Journal of Finance, 63(1), 273–310. (Retail investor behavior and market impact)
Data: Ceta Research (FMP financial data warehouse). Universe: KSC, market cap > ₩500B. Quarterly rebalance, equal weight, next-day close execution, transaction costs included, 2000–2025. Returns in KRW, benchmark KOSPI.
