Building CetaResearch. Data analysis for policy, research, and startups.
momentum
We ran the 52-week high proximity screen across 18 exchanges with local benchmark comparisons. 15 of 18 show positive alpha. India +7.84% vs Sensex, Korea +7.26% vs KOSPI, Japan +5.03% vs Nikkei. Even UK is positive (+3.71% vs FTSE). Local currency benchmarks reveal the real story.
backtests
The revenue-leadership strategy on NSE returned 11.08% CAGR over 24 years, beating SPY by 2.17% annually. But the Sensex returned 14.23%. $10,000 grew to $124,600 vs $243,500 with Sensex.
quality investing
FCF Compounders screen on LSE from 2000-2025. 10.71% CAGR vs 1.23% for the FTSE 100. Invested 20 of 25 years, beating the benchmark by 9.48% annually.
ETF overlap
SPY and QQQ share 92 stocks. SPY, VOO, and IVV overlap 99.4%. We analyzed 13,946 ETFs to measure the exact overlap between popular combinations and found most multi-ETF portfolios are far more redundant than investors realize.
earnings
17,692 beat-and-dip events across 11 exchanges with local benchmarks and data-quality filters. Taiwan: +2.23%** at T+21. UK: +1.51%**. China: +2.08%* at T+63. US: -0.72%** at T+63. Sweden lost its negative signal to the data cleanup; India still has none.
sector rotation
Sector mean reversion on JPX large caps from 2000 to 2025: 6.90% CAGR vs 3.93% for the Nikkei 225, a +2.97% annual excess with Sharpe 0.333 and 66.82% down capture. Max drawdown of -50.39% beat the Nikkei at -61.06%. Utilities took 39% of quarters, a tilt created by Fukushima.
backtests
India's 6.5% risk-free rate sets a strict 9.5% earnings yield bar, too strict to fill a portfolio in seven of 25 years. NSE yield gap stocks returned 7.17% CAGR against the Sensex's 11.40%. Over the 15 years the screen ran every January, it beat the Sensex by 2.57 points a year.
earnings
India beat-and-dip events on NSE: 317 events, mostly 2022–2025. T+63 CAR is +1.01% (t=1.11, not significant) vs Sensex. The earlier +2.54%** result was vs INDA ETF, a different benchmark that included USD/INR movements. Measured locally, the edge disappears.
asset growth
The asset growth anomaly on LSE-listed UK stocks returned 10.94% annually from 2000-2025, beating the FTSE 100 by +9.71% per year with a 96% win rate (24 of 25 years). Down capture of 2.71% means the portfolio barely participated in FTSE drawdowns, while 185% up capture amplified every rally.
working capital
India produced strong returns for working capital efficiency. Over 25 years, India's most capital-efficient companies returned 15.15% CAGR vs 12.32% for the Sensex. +2.82% annual excess and a 60% win rate against the local benchmark.
working capital
The UK produced strong excess returns for working capital efficiency. 6.17% CAGR vs 1.13% for the FTSE 100. +5.04% annual excess and a 68% win rate over 25 years.
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.