Building CetaResearch. Data analysis for policy, research, and startups.
India stocks
We backtested a sector-relative EV/EBITDA screen on 20 years of Indian stock data (BSE+NSE). 11.18% CAGR vs 7.64% for SPY, +3.53% excess, but -54.88% max drawdown. The strategy works in India when invested, but five early cash periods and severe volatility are the honest trade-off.
Germany stocks
We backtested sector-relative EV/EBITDA on 25 years of German stocks (XETRA). 8.60% CAGR vs 7.64% SPY, zero cash periods across 25 years. Win rate is only 48% but the big alpha years (2000: +48% excess, 2005: +30%, 2010: +23%) make the long-run case.
Canada stocks
We backtested sector-relative EV/EBITDA on 24 years of Canadian stocks (TSX). The result is honest: 8.42% CAGR vs 7.64% SPY (+0.78%), but max drawdown of -44.68% is worse than the index. The signal works when sector discounts have a catalyst. In Canada's resource-heavy TSX, they often don't.
sector ETFs
We built a regime-detection system using 60-day rolling sector correlations and tested it on 26 years of US market data. The strategy correctly identified every major stress period. It still underperformed SPY by 1.89% annually.
backtests
India is the only dedicated market in our 15-exchange cyclical timing study with sustained outperformance. 13.44% CAGR, +4.55% excess vs S&P 500, and a -0.6% down capture that made this strategy counter-cyclical in Indian markets.
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 9.69% annually vs 7.64% for SPY, with 2.05% excess return and zero cash periods across 25 years.
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 11.81% CAGR vs 7.64% for the S&P 500 — the highest excess return of any exchange tested. Down capture: 42%.
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of German stock data from XETRA. The signal triggers when a stock's P/E ratio falls 40% below its sector median, filtered for quality. The strategy returned 10.39% annually vs 7.64% for the S&
backtests
We tested a 24-year strategy that invests in US cyclical stocks only when the sector is expanding (50%+ of companies with positive revenue growth). 8.04% CAGR, 34.3% down capture, and three cash calls that avoided major drawdowns. Full methodology and SQL included.
GARP
GARP on XETRA stocks from 2000 to 2025. 7.50% CAGR vs 8.01% for SPY, with 78% down capture. The returns nearly match the benchmark. The drawdown protection is the story.
momentum investing
We ran the same quality momentum strategy across 17 global exchanges over 25 years. Same rules everywhere: ROE > 15%, D/E < 1.0, positive net income, positive operating cash flow, gross margin > 20%, then rank by 12-month price momentum. Top 30 stocks, equal weight, semi-annual rebalancing. Contents
momentum investing
Quality + momentum is one of the most studied factor combinations in academic finance. Screen for financially sound companies, then rank by which ones are already trending upward. In theory, quality reduces your drawdown risk; momentum captures stocks that are already working. In practice on US equities, the combination delivered 8.