Cash Flow
Switzerland: +5.7% Alpha Over the SMI, 68% Win Rate
OCF momentum returned 7.4% annually on Swiss stocks vs the SMI's 1.7%, a +5.7% alpha, the strongest of all markets. Sharpe 0.41, a 68% win rate (the highest tested), -44.2% drawdown.
Swas
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Cash Flow
Japan: +1.4% Alpha Over the Nikkei 225, Modest but Real
OCF momentum returned 4.7% annually on Japanese stocks vs the Nikkei 225's 3.3%, a +1.4% alpha. The signal now beats the Nikkei, with 4 of 25 cash periods and a -52% drawdown.
Cash Flow
Hong Kong: Slightly Lags the Hang Seng, Negative Sharpe
OCF momentum returned 1.3% annually on Hong Kong stocks vs the Hang Seng's 1.6%, slightly lagging by -0.4%. Sharpe -0.07, a -43.8% drawdown, and the highest volatility of any market (24.1%).
Cash Flow
Thailand: Worst Performer, -3.8% vs the SET Index
OCF momentum returned 1.4% annually on Thai stocks vs the SET Index's 5.1%, lagging by -3.8%, the worst of any market tested. Negative Sharpe (-0.06), -55.7% drawdown, 24% cash periods.
Cash Flow
OCF Momentum: Why It Works in Some Markets and Fails in Others
Same signal, 9 markets, 25 years, each measured against its local benchmark. Switzerland leads at +5.7% alpha vs the SMI, Thailand trails at -3.8% vs the SET, a ~9.5pp spread. The edge is in weak local indices, not strong ones.
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.
event study
Pre-Earnings Runup: 25 Years of US Data Shows Beat Rate Matters
155,684 US earnings events from 2000-2025. Habitual beaters drift +0.289% vs S&P 500 in 10 days before announcements. Habitual missers fall -0.321%. The spread between best and worst beat-rate quintiles is 44bp.
event study
Pre-Earnings Runup in Japan: The Effect Disappears Against the Nikkei
15,167 JPX earnings events from 2017-2025. When benchmarked against the Nikkei 225 instead of EWJ, the pre-earnings drift drops to -0.007% (t=-0.19). Not significant. The original +0.114% result was a benchmark artifact.
event study
Pre-Earnings Runup: 13 Markets, Local Benchmarks, Honest Results
Pre-earnings drift across 13 markets with local currency benchmarks. Korea leads at +0.745% vs KOSPI, India +0.693% vs Sensex (NSE). Japan's effect disappeared vs Nikkei. Taiwan flipped from negative to positive. Benchmark choice matters.
event study
Pre-Earnings Runup in Korea: +0.75% Drift, But Beat Rate Doesn't Explain It
6,348 KOSPI earnings events from 2016-2025. Pre-earnings drift averages +0.745% vs KOSPI in 10 days before announcements. Both habitual missers (+0.593%) and mixed stocks (+0.772%) show the same drift. Beat rate doesn't matter in Korea.
dividend investing
High Dividend Yield Screen on Indian Stocks (NSE): 6.36% CAGR, Underperforms Sensex
We backtested a high dividend yield quality screen on NSE stocks from 2000-2025. 6.36% CAGR vs 11.40% Sensex, with 68% cash periods. The signal is too strict for India's early market structure, but produced +60.3% in 2023 when invested.
dividend investing
High Dividend Yield Screen on German Stocks: 7.65% CAGR (XETRA Backtest)
We backtested a high dividend yield screen with quality filters on German stocks (XETRA) from 2000-2025. 7.65% CAGR with +3.20% annual excess vs the DAX, +4.22% Jensen alpha, 0.360 Sharpe.