Building CetaResearch. Data analysis for policy, research, and startups.
free cash flow
We screened for high FCF yield on US stocks from 2000 to 2025. 11.12% CAGR vs 7.85% for the S&P 500. The portfolio captured only 39% of the market's downside while following up with 117% of its recoveries. FCF yield measures what a company earns after paying to run the business.
sector rotation
Korea sector momentum delivered 19.76% CAGR over 26 years, +14.21% above the KOSPI and the largest Jensen alpha of our 13 markets at +14.29%. It beat the local benchmark in 21 of 26 years while carrying less market risk than the index.
free cash flow
We ran the same FCF yield screen across 10 stock exchanges from 2000 to 2025, each measured against its own local index. Seven beat their benchmark, led by the UK at +8.75% over the FTSE 100. Switzerland looked good until we checked which companies were actually in the portfolio.
free cash flow
We screened for high FCF yield on Hong Kong Stock Exchange stocks from 2000 to 2025. 5.31% CAGR, +3.67% excess over Hang Seng. The screen beats a near-flat local index, but with a Sharpe of 0.119 and no crisis protection: in 2008 it fell 16.9% against a 16.2% index decline.
free cash flow
We screened for high FCF yield on London Stock Exchange stocks from 2000 to 2025. 9.98% CAGR, +8.75% excess over FTSE 100. In 2008, the portfolio fell only 4.4% while FTSE 100 dropped 22%. Down capture of 23% with 196% up capture. Quality-filtered cash generators dominate flat UK markets.
backtests
We ran a low-debt + Piotroski F-Score screen on 15 exchanges over 25 years. India leads at 13.65% CAGR. Canada has the best downside protection (9.32% down capture). Switzerland has the best Sharpe. Here's the full global breakdown.
momentum
We tested the 52-week high proximity strategy on NSE stocks from 2000 to 2025 with next-day execution. 18.96% CAGR vs 11.12% Sensex, +7.84% excess return. ₹1 grew to ₹87.35 vs ₹15.11 for Sensex. The anchoring effect persists in India's retail-dominated market.
sector rotation
We ran sector momentum rotation on US markets from 2000-2025. Top 2 sectors by 12-month equal-weighted return, held quarterly. Result: 10.96% CAGR vs 8.02% SPY, 79.18% down capture, +3.08% Jensen alpha. Full methodology and SQL included.
working capital
We tested working capital efficiency on 14 exchanges worldwide. 10 beat their local benchmark. Sweden: +6.51% vs OMX30. Canada: +5.99% vs TSX. US: +3.44% vs SPY. Benchmark choice matters more than we thought.
defensive investing
We ran the same defensive quality screen across 16 exchanges. India leads with 17.30% CAGR (Calmar 4.538). US has the best Sharpe (0.712) and negative down capture (-10.3%). UK: 11.19% CAGR, -7.78% max drawdown. Three markets (Taiwan, Sweden, South Africa) were too thin to invest.
defensive investing
We ran the defensive quality screen (Consumer Defensive, Utilities, Healthcare) across NSE from 2004 to 2024. 17.30% CAGR, +5.24% excess vs Sensex, max drawdown -3.81%. India's FMCG compounders and pharma exporters passed every quality filter and delivered exceptional risk-adjusted returns.
defensive investing
We ran the defensive quality screen on LSE stocks from 2000 to 2024. 11.19% CAGR, -7.78% max drawdown, Sharpe 0.641. The FTSE 100 price index returned only 1.23% CAGR over the same period. One caveat upfront: the universe averaged only 11.9 stocks per period.