Building CetaResearch. Data analysis for policy, research, and startups.
value investing
D/E < 0.5 + Piotroski F-Score >= 7 on BSE and NSE, backtested 2000-2025. 14.05% CAGR in INR, +6.22% excess vs SPY, -2.02% down capture. When SPY fell -26.1% in 2008, this portfolio returned +16.4%.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 on HKSE-listed stocks, backtested 2000-2025. 3.67% CAGR vs 7.83% SPY. The strategy trailed by 4.17% annually, with max drawdown of -35.10% vs -36.27%. Down capture of 91.71% delivered little protection against Hong Kong's political and economic headwinds post-2019.
quality investing
We screened XETRA-listed German equities for D/E < 0.5 and Piotroski F-Score >= 7 across 25 years. Result: 6.72% CAGR vs 7.83% for SPY. The 2001 Neue Markt collapse cost the strategy -33.6% in a single year. 0 cash periods, 48 avg stocks.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 on Chinese A-shares (SHH + SHZ), backtested 2000-2025. 5.28% CAGR vs 7.83% SPY. Two verified bubble events: +111.2% in 2006 and +83.8% in 2014. Down capture of 11.37% — the lowest in the global study. Volatility of 33.24% and max drawdown of -55.77%.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 across the TSX returned 9.16% CAGR vs 7.83% for SPY over 25 years — with a -13.01% down capture. When markets fell, this portfolio tended to rise.
equity growth
We backtested the Compounding Equity Screen on London Stock Exchange stocks from 2000 to 2025. 10.02% CAGR vs 7.83% for the S&P 500, with only 4.7% down capture. During the 2008 financial crisis, UK equity compounders returned +4.4% while SPY fell 26%.
equity growth
We backtested the Compounding Equity Screen on BSE+NSE stocks from 2000 to 2025. 6.48% CAGR vs 7.83% for the S&P 500. The strategy underperforms slightly but shows 6.7% down capture — when the 2008 financial crisis hit, Indian equity compounders returned +2.09%.
equity growth
We backtested the Compounding Equity Screen across 14 exchanges worldwide from 2000 to 2025. One exchange outperformed the S&P 500. Twelve underperformed. One was sharply negative. The results reveal why equity compounding works in some markets and fails in others.
equity growth
We backtested the Compounding Equity Screen on XETRA stocks from 2000 to 2025. 4.44% CAGR vs 7.83% for the S&P 500. Germany was the weakest of the five major markets tested, with only 8 of 25 years beating the benchmark. Here is why equity compounding struggles in the German market.
value investing
Eight of 15 exchanges beat the S&P 500 over 25 years using a Price-to-Tangible-Book strategy. The split isn't random. Tangible book works where physical and financial assets are the primary value driver: manufacturing, banking, energy, materials. It struggles where intangibles dominate: tech-heavy markets, pharma-heavy markets, conglomerate
backtests
Price-to-Tangible-Book strips goodwill and intangibles from the valuation, leaving only what a company physically owns. Backtested on US large-caps from 2000-2025, the strategy returned 10.03% CAGR versus 7.83% for SPY, with a down-capture ratio of just 10.71%.
value-investing
The P/TBV strategy on the London Stock Exchange returned 9.61% annualised over 25 years against SPY's 7.83%, with a maximum drawdown of only -31.25%. The lowest of any outperforming exchange we tested.