Building CetaResearch. Data analysis for policy, research, and startups.
backtests
ASX cyclical timing returned 7.45% CAGR (-1.45% excess) over 24 years. Australia's resources-heavy economy ties cyclical signals closely to commodity prices. 2005-2006: supercycle surge (+35.8%, +33.1%). 2021: worst year (-21.3%). Modest underperformance but reliable signal quality.
backtests
We ran Benjamin Graham's formula (sqrt(22.5 × EPS × BVPS)) across US stocks from 2000 to 2024. The honest result: 7.01% CAGR vs 7.64% for SPY. The down capture of 68.8% is real. The structural underperformance since 2013 is also real.
value investing
We ran a P/S value screen on NYSE, NASDAQ, and AMEX from 2000 to 2025 requiring P/S below 1.0, gross margin above 20%, operating margin above 5%, and ROE above 10%. The strategy returned 11.66% annually vs 8.02% for the S&P 500.
altman z-score
We backtested the Altman Z-Score on US stocks from 2000 to 2025. Safe-zone companies (Z > 2.99) returned 5.6% annually vs 7.3% for the S&P 500. Distress-zone stocks actually outperformed safe ones. The Z-Score predicts bankruptcy, not stock returns.
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 11.31% CAGR versus 7.85% for SPY, with a down-capture ratio of just 3.9%.
backtests
Switzerland tied for highest Sharpe ratio in our cyclical timing study (0.415), despite 7.46% CAGR (-1.43% excess). Six cash periods (25%), but strong returns when invested. Swiss precision machinery and specialty chemicals created consistent signal quality.
backtests
We tested buying S&P 500 sectors when their aggregate P/E falls 1+ standard deviation below the 5-year average. 12.70% CAGR vs 10.65% SPY over 21 years, with 67.6% down-capture ratio. Full methodology and SQL included.
ETF
We tested low-concentration quality stocks on multiple global exchanges from 2005 to 2025. South Africa was the only exchange that beat SPY (12.09% vs 10.61%). Norway came closest with the best Sharpe ratio (0.373). Look-ahead bias from snapshot ETF data limits all results.
ETF
The S&P 500 holds 500 stocks. The top 10 account for 39%+ of the portfolio. We measured the effective number of stocks in 2,000+ ETFs using the Herfindahl-Hirschman Index. SPY behaves like a 50-stock portfolio, not 500.
ETF
Norway produced the best risk-adjusted result in our ETF concentration series. 9.45% CAGR vs 10.61% for SPY, but with a 0.373 Sharpe ratio, 0.712 Sortino, and near-identical max drawdown. The 2013-2018 run delivered six straight years of outperformance.
ETF
South Africa is the only exchange where low-concentration quality stocks beat SPY. 12.09% CAGR vs 10.61% over 2005-2025, with a 0.470 beta and +2.33% alpha. Most of the excess came from 2005-2012. The signal weakened after 2015.
piotroski
The Piotroski F-Score inverts in India. Score 8-9 returned 2.2% CAGR over 27 years on NSE. Score 0-2 returned 9.4%. The spread is -7.2%. Both trail the Sensex (10.9%). India's growth-driven market punishes the quality signal.