Building CetaResearch. Data analysis for policy, research, and startups.
low volatility
Low-vol quality stocks on the LSE returned 7.34% CAGR, beating the FTSE 100 by +5.99% annually from 2000 to 2025. Down capture of 42.77%, max drawdown -22.63% vs -43.69% for FTSE 100. Zero cash periods across 103 quarters.
low volatility
We backtested a low-volatility quality screen on US stocks (NYSE, NASDAQ, AMEX) from 2000 to 2025. It delivered 6.53% CAGR with a 0.484 Sharpe vs 0.361 for the S&P 500, a -26.0% max drawdown vs -43.9%, and captured only 27% of market downside. Boring stocks, better risk-adjusted returns.
low volatility
We backtested low-vol quality on the Taiwan Stock Exchange (TAI) from 2000 to 2025. It returned 6.68% CAGR with a 0.424 Sharpe, beating the TAIEX by +2.30% annually. Down capture 29% and beta 0.314 in a market dominated by TSMC and semiconductors. The boring-stock premium beats the local index.
low volatility
Low-vol quality stocks on the JPX returned 6.38% CAGR vs the Nikkei 225's 3.40% from 2000 to 2025. 0.398 Sharpe, 4.42% alpha, 58.25% win rate. Max drawdown of -42.16%. The strategy sat in cash for 14% of quarters due to late Japanese financial filings. Down capture of 43.22%.
equity growth
We backtested the Compounding Equity Screen on XETRA stocks from 2000 to 2025. 3.26% CAGR vs 5.04% for the DAX. A -1.78% annual shortfall against the local benchmark, with 57% down capture and a 56% win rate. Germany trails the local index but by far less than it looked vs SPY.
small cap
We backtested a small-cap value screen on US stocks from 2000 to 2025. Buy the 30 cheapest small caps by P/B with quality controls. Result: 18.10% CAGR vs 7.85% for SPY, with half the drawdown.
small cap
We backtested small-cap value on Thailand's SET from 2000 to 2025. 12.25% CAGR, just -23.54% max drawdown, +7.11% excess over the SET Index. The cleanest emerging market result in our 14-exchange comparison.
small cap
We backtested small-cap value on TWSE from 2000 to 2025. 12.63% CAGR with a max drawdown of just -11.38%. +8.54% excess over the TAIEX. The second-best risk-adjusted result in our 14-exchange global comparison.
small cap
We backtested small-cap value on Nasdaq Stockholm from 2000 to 2025. 11.70% CAGR, +9.15% over the OMX Stockholm 30. Post-crisis recoveries are explosive, but the -40.95% max drawdown is real.
small cap
We backtested small-cap value on the Johannesburg Stock Exchange (JSE) from 2000 to 2025. 12.80% CAGR, +4.95% excess over SPY. Strong mid-2000s commodity boom returns, but the 0.163 Sharpe ratio reveals the cost of South Africa's high risk-free rate.
small cap
We backtested small-cap value on Japanese stocks (JPX) from 2000 to 2025. 8.13% CAGR vs 3.31% for the Nikkei 225. Japan was the original Fama-French value market, and the premium still shows up: +4.82% annual excess, 0.364 Sharpe.
small cap
We backtested small-cap value on Indian exchanges (BSE + NSE) from 2000 to 2025. 22.48% CAGR, beating the Sensex by 10.42% per year. The highest absolute return of any exchange in our 14-market comparison.