Building CetaResearch. Data analysis for policy, research, and startups.
backtests
Canada has the lowest down capture of any market in our 15-exchange study (28.4%). But overall CAGR is weak at 5.78% (-3.11% excess). Energy sector concentration creates boom-bust dynamics that the revenue growth signal times but can't fully escape.
cash conversion cycle
We ran the same CCC backtest across 13 global exchanges. Five showed positive spreads, six negative. Unlike Altman Z-Score, there's no clean geographic pattern. CCC is a sector proxy, not a quality signal. Hong Kong +5.8%, Canada +3.2%, Korea -6.3%. Full comparison with methodology.
cash conversion cycle
CCC produced the best spread of any developed market on the TSX. Low-CCC companies returned 7.1% CAGR vs 3.9% for high CCC, a +3.2% spread. Best Sharpe (0.210) and lowest drawdown (-36.5%) of any CCC portfolio tested. The resource-heavy TSX creates real working capital differentiation.
cash conversion cycle
We backtested CCC on Indian equities from 2000 to 2025. Low-CCC companies returned 8.6% CAGR vs 7.3% for high CCC, a +1.3% spread. Weak signal dominated by IT services sector bias. Sharpe of 0.085 and -57.3% drawdown make it impractical as a standalone strategy.
cash conversion cycle
We tested CCC as a stock-picking signal on US equities over 25 years. Low-CCC companies returned 4.6% CAGR vs 7.3% for SPY. The spread between low and high CCC was -0.6%. An honest result that builds more credibility than another claimed 15% alpha.
dupont analysis
DuPont ROE decomposition on BSE+NSE from 2000 to 2025. Quality ROE returned 9.10% CAGR vs 7.30% SPY. Leverage-driven ROE dominated at 11.30%, the widest leverage premium of any market tested.
dupont analysis
DuPont ROE decomposition on XETRA from 2000 to 2025. Quality ROE returned 5.40% CAGR. Margin-driven ROE (8.30%) slightly outperforms leverage-driven (7.10%). Germany rewards operational efficiency over financial engineering.
dupont analysis
DuPont ROE decomposition on B3 (SAO) from 2000 to 2025. Quality ROE returned 19.10% CAGR with only -32.7% max drawdown. Down capture of 21.9% is the lowest of any market tested. Margin beats leverage by 6.0% annually.
dupont analysis
We tested DuPont ROE decomposition across 13 stock markets. Leverage-driven ROE beats margin-driven in 8 of 13 exchanges. Brazil leads with 19.1% Quality ROE CAGR. The margin advantage is market-dependent.
dupont analysis
We decomposed ROE for 7,900+ US stocks over 25 years. Margin-driven ROE does NOT beat leverage-driven ROE. But filtering for quality ROE (high margin, low leverage) adds 1% annual alpha with 78% down capture.
canada stocks
D/E reduction + ROE > 8% screen on TSX stocks from 2000-2025. CAGR 8.38% vs TSX Composite 5.08%, +3.30% excess. Down capture 65.7%, Sharpe 0.358 (more than double the TSX). Strong alpha with two-thirds the downside. Full data, SQL screen included.
equity growth
We ran the Compounding Equity Screen on all US exchanges from 2000 to 2025. 6.76% CAGR vs 7.85% for the S&P 500. The strategy underperforms by 1.09% annually. In 2023, it returned -4.8% while SPY gained 25.4%. Here is what the data shows and why it happens.