Swas - Ceta Research (Page 17)

Growth of $10,000 invested in FCF Conversion Quality on Canadian stocks vs TSX Composite from 2000 to 2025. Strategy grew to $98K in CAD.

quality investing

FCF Conversion Quality on Canadian Stocks: 76% Win Rate and +5.59% Alpha vs TSX Composite

FCF Conversion on TSX stocks returned 9.54% CAGR from 2000-2025 vs the TSX Composite's 3.95%. 76% win rate, the highest of any exchange. $10K grew to $98K vs $26K for the index.

Growth of $10,000 invested in FCF Conversion Quality on UK stocks vs FTSE 100 from 2000 to 2025. Strategy grew to $79K in GBP.

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FCF Conversion Quality on UK Stocks: 84% Win Rate and 18% Down Capture vs FTSE 100

FCF Conversion on LSE stocks returned 8.64% CAGR from 2000-2025, beating the FTSE 100 (1.23%) by 7.42% annually. 84% win rate, 18% down capture. The strongest relative performer in our global analysis.

Growth of $10,000 invested in FCF Conversion Quality on Indian stocks vs Sensex from 2000 to 2025. Strategy grew to $651K in INR.

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FCF Conversion Quality on Indian Stocks: 18% CAGR With Half the Sensex Drawdown Over 25 Years

We ran our FCF Conversion screen on BSE and NSE stocks from 2000-2025. 18.18% CAGR in INR, 6.13% annual excess over the Sensex (12.06% CAGR). Max drawdown of just -15% vs the Sensex's -32%. $10K grew to $651K.

Growth of $10,000 invested in earnings yield screen on NSE vs Sensex from 2000 to 2025, returns in Indian Rupees.

value investing

Earnings Yield on Indian Stocks: 14.6% CAGR, +3.5% Annual Excess vs Sensex

Earnings yield screening on NSE returned 14.64% CAGR vs 11.12% for the Sensex. +3.52% annual excess with 57.3% quarterly win rate. Returns in INR, max drawdown -61.5%.

Dividend coverage CAGR by exchange from 2000 to 2025. India leads at 17.29%, followed by Germany at 12.52% and US at 11.40%. Seven of thirteen exchanges beat the S&P 500 benchmark of 7.85%.

dividend investing

One Dividend Screen, 13 Exchanges: Where Cash-Backed Dividends Beat the Market

We ran the same FCF-based dividend coverage screen across 13 global exchanges. Seven beat the S&P 500. India produced 17.29% CAGR. The screen works best where dividend culture runs deep.

Growth of $10,000 invested in Dividend Coverage US vs S&P 500 from 2000 to 2025. Coverage grew to $149K, S&P 500 to $66K.

dividend investing

Dividend Coverage: Screening for Cash-Backed Dividends on 25 Years of US Data

We screened US stocks for companies whose free cash flow comfortably covers dividend payments. 11.40% CAGR over 25 years vs 7.85% for the S&P 500. Zero cash periods.

Growth of $10,000 in Cyclical Sector Timing vs OMX Stockholm 30, Sweden (STO), 2001-2024

backtests

Cyclical Sector Timing in Sweden: +5.83% Alpha Over OMX30, 10.23% CAGR (STO, 2001-2024)

Sweden is one of two dedicated markets in our study with positive excess returns. 9.67% CAGR (+0.78% excess), Sharpe 0.344, high variance. The Swedish industrial economy fires the expansion signal less often but delivers strong results when invested.

Cumulative abnormal return (CAR) for M&A targets vs acquirers at T+1, T+5, T+21, T+63 trading days after SEC filing

event-study

What Happens to Acquirer and Target Stocks After M&A Filings

We ran an event study on 2,069 M&A announcements from 2000-2025. The acquirer positive signal from earlier research was a same-day entry artifact. With tradeable next-day execution, acquirers show no significant drift. Targets drift negative from T+5.

Growth of $10,000 invested in Price-to-Book Value Screen vs S&P 500 from 2000 to 2025

value investing

Price-to-Book in the US: The Academic Gold Standard Barely Works Anymore

We backtested a P/B < 1.5 + ROE > 8% screen on US stocks from 2000 to 2025. 7.56% CAGR vs 7.64% for the S&P 500. The Nobel Prize-documented premium has been arbitraged away. The down capture story (79.0%) is still real.

Growth of $10,000 invested in FCF Conversion Quality vs SSE Composite on Chinese A-shares from 2000 to 2025. Strategy grew to ~$36K, SSE to ~$18K.

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FCF Conversion Quality on Chinese A-Shares: +2.83% Over SSE Composite in a Volatile Market

Chinese A-shares returned 5.26% CAGR, beating the SSE Composite (2.43%) by 2.83% annually. 60% win rate, 73.86% down capture, and zero cash periods. $10K grew to ~$36K vs ~$18K for the index. Volatile but FCF quality adds value.

Growth of $10,000 invested in FCF Conversion Quality vs DAX on German stocks from 2000 to 2025. Strategy grew to $85K, DAX to $34K.

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FCF Conversion Quality on German Stocks: +3.89% Alpha vs DAX Over 25 Years on XETRA

We screened XETRA for FCF conversion quality from 2000-2025. 8.93% CAGR vs 5.04% for the DAX with zero cash periods in 25 years. $10K grew to $85K vs $34K for the index. 60% win rate, 39% down capture.

Growth of $10,000 invested in FCF Conversion Quality vs Hang Seng on Hong Kong stocks from 2000 to 2025. Strategy grew to $43K, Hang Seng to $15K.

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FCF Conversion Quality on Hong Kong Stocks: +4.36% Alpha vs the Hang Seng Over 25 Years

Hong Kong FCF conversion quality returned 6.0% CAGR vs 1.64% for the Hang Seng over 25 years. +4.36% annual excess. 68% win rate. The alpha comes from stock selection, not crash protection: down capture is 70%.