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momentum investing
The same strategy that delivered 8.27% annually on US stocks returned 19.03% on Indian stocks over the same period. That's 11.29% of annual alpha above the S&P 500 benchmark. Of the 17 exchanges we tested quality momentum on, India ranks first by a
backtests
EV/EBITDA Backtest: Sweden (STO), 2000–2024 Sweden has one of the more interesting profiles for a simple value screen. The Stockholm exchange is heavy in industrials, engineering, and materials. These sectors tend to have lower EV/EBITDA multiples than tech-heavy markets, which means the screen has plenty to work
backtests
EV/EBITDA below 10x on the TSX: 9.84% CAGR vs TSX Composite 4.44%, 76% win rate. Canada's commodity-heavy market is structurally suited to this screen, with 150.5% up capture and 5.36% alpha.
backtests
EV/EBITDA screening on XETRA: 7.40% CAGR vs 4.45% for the DAX. A 2.96% annual edge against the local index with a 68% win rate.
backtests
EV/EBITDA below 10x on Indian equities: 12.03% CAGR over 20 invested years vs 11.40% for the Sensex. A narrow edge with lower beta.
backtests
EV/EBITDA screen on Borsa Italiana returned 6.03% CAGR over 25 years, trailing SPY's 7.64%. Thin universe and six cash years. The strategy doesn't justify the complexity over a simple index fund.
backtests
EV/EBITDA below 10x is how private equity prices acquisitions. We tested it as an equity screen on 22,000+ US stocks over 25 years.
global stocks
D/E reduction + ROE > 8% tested on 13 exchanges from 2001-2025. Only India (+4.39%) and Canada (+1.32%) beat SPY. US -4.23%, HK -8.85%. The signal is regime-dependent, not universal.
debt reduction
We backtested D/E reduction with ROE > 8% on US stocks from 2001-2025. 3.78% CAGR vs 8.01% for SPY. Pre-2013 it averaged +2.7% excess per year. Post-2013 it averaged -9.8%. The signal didn't fail — it became regime-dependent when ZIRP made leverage cheap.
india stocks
The same D/E reduction + ROE > 8% screen that fails in the US adds 4.39% annually in India. CAGR 12.40%, down capture 40.66%, total return 1,927%. The signal works here because balance sheet discipline is genuinely scarce in India's growth economy.
canada stocks
D/E reduction + ROE > 8% screen on TSX stocks from 2000-2025. CAGR 9.33% vs SPY 8.01%. Down capture 48.75%. Max drawdown -42.51% — lower than SPY. Best Sharpe globally across 16 exchanges. Modest alpha with meaningfully lower drawdown. Full data, SQL screen included.
backtests
We ran a low-debt + Piotroski F-Score screen on 13 exchanges over 25 years. India leads at 14.05% CAGR with -2.02% down capture. Canada is the biggest surprise. Switzerland has the best Sharpe. Here''s the full global breakdown.