momentum
KOSPI's 52-Week High Screen: 11.4% CAGR, 39% Down Capture
We tested the 52-week high proximity strategy on Korean stocks (KSC) from 2000 to 2025. 10.51% CAGR, +5.70% vs KOSPI, 40.0% down capture. 2024 returned +23.7% when KOSPI fell 10.2%.
Swas
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momentum
Thailand's 52-Week High Proximity: Anchoring Works in Emerging Markets Too
We tested the 52-week high proximity strategy on Thai stocks (SET) from 2000 to 2025. 11.32% CAGR, +7.56% vs SET Index, 44.4% down capture. In 2022, the strategy returned +9.6% while the SET rose just 0.5%.
momentum investing
12-Month Price Momentum Across 18 Markets: Where the Factor Actually Works
We ran pure 12-month price momentum on 18 exchanges worldwide. 7 of 17 comparable exchanges outperform SPY. India (NSE) leads at 17.68% CAGR with +9.91% annual excess. Germany has the best Sharpe at 0.552. US delivers -3.34% drag with 162% down capture. The pattern is geographic, and it maps...
momentum investing
12-Month Momentum on German Stocks: Best Sharpe in an 18-Exchange Study
Pure 12-month price momentum on XETRA stocks from 2000 to 2025 delivered 12.51% CAGR with a Sharpe of 0.552, the highest risk-adjusted return in an 18-exchange global study. The strategy outperformed the DAX by 7.45% annually with a max drawdown of -43.88% vs the DAX's own -55.38%.
momentum investing
12-Month Momentum on Indian Stocks: 17.68% CAGR Over 25 Years
Pure 12-month price momentum on NSE stocks from 2000 to 2025 returned 17.68% annually, +6.33% per year over the Sensex. The portfolio captured 120% of the Sensex''s upside with only 61% of its downside. India is where the momentum factor works.
momentum investing
12-Month Momentum on UK Stocks: +7.07% Alpha vs FTSE 100
Pure 12-month price momentum on LSE stocks from 2000 to 2025 delivered 8.15% annually, +7.07% over the FTSE 100, with down capture of 61%. In most non-global-crisis downturns, the portfolio fell about 39% less than the FTSE 100. The UK is a consistent momentum market.
momentum investing
12-Month Momentum on US Stocks: 4.43% CAGR vs 7.77% for the Index
We ran pure 12-month price momentum (no quality filters) on US stocks from 2000 to 2025. The strategy returned 4.43% annually vs 7.77% for SPY, with 162% down capture and a near-zero Sharpe. The most studied momentum market offers the least reward.
pairs trading
Pairs Trading Backtest: 20 Years of US Results
A full 20-year backtest of correlation-based pairs trading on US stocks. -0.50% CAGR, six cash years, beta of 0.067. The 2008 defense was real. The long-run cost was too.
DCF
DCF Threshold in Canada: 9.32% CAGR and Negative Down Capture Over 25 Years
We ran a Gordon Growth DCF screen with quality filters on 25 years of Canadian TSX data. 9.32% CAGR, 1.68% annual excess return, and a -4.31% down capture — when the S&P 500 fell, Canadian DCF stocks gained on average, driven by resource sector dynamics in the early 2000s.
DCF
DCF Threshold Across 13 Markets: A Consistent Geographic Pattern
We ran the same DCF Threshold screen on 13 global stock exchanges. Seven markets beat SPY. Six underperformed. The dividing line follows a consistent geographic pattern — Western markets work, most Asian markets don't — and the structural reasons are documented.
DCF
DCF Threshold in India: 11.12% CAGR Over 20 Invested Years of BSE/NSE Data
We ran a Gordon Growth DCF screen with quality filters on 25 years of Indian BSE/NSE data. No qualifying stocks 2000–2004. From 2005, the strategy returned 11.12% CAGR vs 7.64% SPY, with explosive swing years — 2007 (+85%), 2009 (+84%), 2022 (+36%) — alongside a -61% max drawdown.
DCF
DCF Threshold in the UK: 9.10% CAGR Over 21 Invested Years of LSE Data
We ran a Gordon Growth DCF screen with quality filters on 25 years of London Stock Exchange data. No qualifying stocks 2000–2003. From 2004, 9.10% CAGR vs 7.64% SPY, with strong recovery years in 2006, 2009, 2012, and 2021 — and a -36% annual gap in 2014 driven by the energy sector collapse.