Building CetaResearch. Data analysis for policy, research, and startups.
backtests
Screened NSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 10.04% CAGR vs 12.06% Sensex (-2.02%). Strong absolute returns but underperforms local benchmark. 2014: +48.3% excess, 2009: +37.9% excess. 7 cash years (2000-2006), 18 invested years.
backtests
Screened LSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 12.35% CAGR vs 1.23% FTSE 100 price index (+11.12%), max drawdown -22.0%, 92% win rate (highest of 17 exchanges). 2008: +0.9% while FTSE 100 fell -22.0%. FTSE 100 benchmark is price-only.
backtests
Screened TSX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.34% CAGR vs 3.95% TSX Composite (+7.38%), Sharpe 0.611 (best of 17 exchanges), down capture -31.7%. 0 cash periods, 21.6 avg stocks, 76% win rate. 2000: +45.7% excess vs TSX.
backtests
Screened NYSE/NASDAQ/AMEX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.55% CAGR vs 7.85% SPY (+3.70%), Sharpe 0.574, max drawdown -24.4%, down capture 60.8%. 25 years, 0 cash periods, 27 avg stocks. Full backtest data.
value investing
We ran the same P/S value screen (P/S < 1, quality filters) on 15 exchanges globally. Compared against local benchmarks, 11 of 15 outperform. Against SPY, only 6 do. Sweden now ranks first on Sharpe (0.452). Hong Kong is the biggest re-rating after data-quality fixes: +7.75% vs Hang Seng.
backtests
China's equity markets are retail-dominated, sentiment-driven, and structurally disconnected from the fundamentals of individual companies. That makes them a strange testing ground for a quality-filtered 52-week low screen. The result is better than you'd expect. Contents 1. Method 2. What We Found 3. Year-by-Year 4. China&
backtests
We ran the Graham Number screen on 12 exchanges over 25 years, each benchmarked against its local stock index. 9 of 12 beat their local benchmark clearly. Sweden leads with +10.08% annual excess; Japan delivers the best Sharpe. Only India and the US underperform their home market; Hong Kong ties.
backtests
We ran a 3-year net income growth streak screen on 17 exchanges over 25 years, benchmarked vs local indices. Result: UK +11.12% vs FTSE, Canada +7.38% vs TSX, US +3.70% vs SPY. India underperforms Sensex (-2.02%). Japan beats Nikkei (+3.38%). Full data for all 17 exchanges.
small cap
We backtested small-cap value on Japanese stocks (JPX) from 2000 to 2025. 8.13% CAGR vs 3.31% for the Nikkei 225. Japan was the original Fama-French value market, and the premium still shows up: +4.82% annual excess, 0.364 Sharpe.
margin expansion
We tested margin expansion across 14 exchanges against local benchmarks. Taiwan produced a +6.85% annual spread. India showed a -12.86% reverse signal. The US posted +1.34%. Expanding margins beat the local index in 9 of 14 markets. Full data for all 14 exchanges included.
value investing
We screened JPX for stocks with P/S below 1 and quality margin filters, then ran 25 years of backtests. The strategy returned 7.71% annually, beating the Nikkei 225 by 4.31 percentage points, with a Sharpe ratio of 0.379 that ranks third globally after Sweden and the US.
backtests
The TSX isn't the S&P 500. Energy companies, banks, and miners dominate Canada's index. They trade cyclically. When commodity prices fall, quality resource stocks hit 52-week lows. When the cycle turns, they recover. This backtest ran from 2002 to 2025 to see whether a