Building CetaResearch. Data analysis for policy, research, and startups.
cash conversion cycle
We tested CCC as a stock-picking signal on US equities over 25 years. Low-CCC companies returned 5.9% CAGR vs 7.3% for SPY. The spread between low and high CCC was -0.2%. CCC barely works as a US stock-picking signal.
cash conversion cycle
CCC backtested on NSE from 2000 to 2025. Low-CCC companies returned 7.8% CAGR vs 11.5% for the Sensex. +0.3% spread over high-CCC, but -3.7% vs the local benchmark. CCC doesn't beat the Indian market as a standalone strategy.
dupont analysis
DuPont ROE decomposition on XETRA from 2000 to 2025. Quality ROE returned 6.28% CAGR vs DAX 4.51%. Margin-driven (8.32%) and leverage-driven (8.60%) both beat the benchmark by roughly 4 percentage points. Germany rewards ROE quality.
cash conversion cycle
We ran the same CCC backtest across 14 exchanges with local benchmarks. 9 of 14 show positive excess over local indices. Sweden +5.5% vs OMX, Canada +3.7% vs TSX, India -3.7% vs Sensex. Using local benchmarks vs SPY changes the picture significantly.
dupont analysis
DuPont ROE decomposition on B3 (SAO) from 2000 to 2025. Quality ROE returned 19.28% CAGR vs Bovespa 8.58%, a +10.70% excess return. Down capture of 21.9% is the lowest of any market tested. Avg universe dropped to 12 stocks.
dupont analysis
DuPont ROE decomposition on NSE from 2000 to 2025. Quality ROE returned 9.56% CAGR but the Sensex returned 11.49%. Margin-driven stocks returned just 1.85%. Leverage premium is 10% per year, the widest of any market tested.
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.
backtests
Canada edges the TSX Composite by +0.89% annually over 24 years. 6.21% CAGR, Sharpe 0.180, 52% down capture. Energy sector concentration creates boom-bust dynamics that the revenue growth signal times but can't fully escape. 2004: +41.1%. 2019: -22.2%.
backtests
We tested the yield gap strategy on London Stock Exchange stocks from 2000 to 2025. LSE stocks delivered 10.02% CAGR against 0.86% for the FTSE 100, a +9.16% annual edge, and beat the local index in 80% of years.
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%.