Building CetaResearch. Data analysis for policy, research, and startups.
revenue acceleration
Revenue acceleration beat the DAX by 3.20% a year and posted the shallowest drawdown of any market we tested, -21.52%. The catch is that it won in only 12 of 25 years.
Canada stocks
We backtested sector-relative EV/EBITDA on 24 years of Canadian stocks (TSX). 7.83% CAGR vs 4.44% TSX Composite (+3.40% excess), but max drawdown -47.36% and down capture of 104%. Every point of the excess comes from up capture, not from downside protection.
pairs trading
Among 12 exchanges we tested, Japan (JPX) is the only market with a positive Sharpe ratio (+0.13) and the highest investment rate: 95% of years had active pairs. We dig into why Japan's market structure makes it uniquely suited for pairs trading.
altman z-score
We backtested the Altman Z-Score on NSE stocks from 2000 to 2025. Safe-zone stocks returned 11.0% CAGR vs the Sensex at 11.5%. Distress-zone stocks returned just 3.2%. The +7.8% spread is the widest across any exchange tested. In India, distress destroys capital.
momentum investing
Pure 12-month price momentum on LSE stocks from 2000 to 2025 delivered 8.67% annually, +7.59% over the FTSE 100, with down capture of 58%. In most non-global-crisis downturns, the portfolio fell about 42% less than the FTSE 100. The UK is a consistent momentum market.
pairs trading
We screened 3,701 US large-cap stocks for pairs trading candidates: 884,000 same-sector correlation tests, 2,579 candidates surviving all filters. 87% came from Financial Services. Here's why, and what the data looks like.
Germany stocks
We backtested sector-relative EV/EBITDA on 25 years of German stocks (XETRA). 8.29% CAGR vs 4.45% DAX (total return), +3.85% excess, zero cash periods, 72% win rate. Big caveat: on a German-domiciled universe the excess falls to +0.37%, so the edge belongs to XETRA listings.
pairs trading
Pairs trading bets that two related stocks will snap back together after diverging. The theory is sound. Gatev et al. (2006) found 11% excess returns from 1962-2002. We ran the same approach on 2005-2024 across 12 exchanges. Here's what we found.
momentum investing
Pure 12-month price momentum on XETRA stocks from 2000 to 2025 delivered 12.51% CAGR with a Sharpe of 0.588, 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 -39.69% vs the DAX's own -55.38%.
GARP
We tested Peter Lynch's GARP strategy on NSE stocks from 2000 to 2025. Against the Sensex benchmark, the excess is 0.63% per year. Against SPY, the apparent 3.73% excess reflects India's growth premium, not GARP alpha. 11.75% CAGR with higher risk than the index.
small cap
We backtested small-cap value on TSX from 2000 to 2025. 13.21% CAGR, +9.26% over the TSX Composite. But -48.13% max drawdown reveals heavy resource sector exposure. The highest-risk version of the strategy in our 14-exchange comparison.
small cap
We backtested small-cap value on TWSE from 2000 to 2025. 12.63% CAGR with a max drawdown of just -11.38%. +8.54% excess over the TAIEX. The second-best risk-adjusted result in our 14-exchange global comparison.