Building CetaResearch. Data analysis for policy, research, and startups.
backtests
We ran a low-debt + Piotroski F-Score screen on 13 exchanges over 25 years. India leads at 14.05% CAGR with -2.02% down capture. Canada is the biggest surprise. Switzerland has the best Sharpe. Here''s the full global breakdown.
sector rotation
We ran sector momentum rotation on US markets from 2000-2025. Top 2 sectors by 12-month equal-weighted return, held quarterly. Result: 10.42% CAGR vs 8.02% SPY, -1.0% in 2022 while SPY fell 19%. Full methodology and SQL included.
working capital
We tested working capital efficiency on 14 exchanges worldwide. 10 beat their local benchmark. Sweden: +6.51% vs OMX30. Canada: +5.99% vs TSX. US: +3.44% vs SPY. Benchmark choice matters more than we thought.
defensive investing
We ran the defensive quality screen (Consumer Defensive, Utilities, Healthcare) across BSE and NSE from 2004 to 2024. 17.23% CAGR, +9.40% excess vs S&P 500, and a max drawdown of just -6.61%. India''s FMCG compounders and pharma exporters passed every quality filter and delivered exceptional...
defensive investing
We ran the same defensive quality screen across 16 exchanges. India leads with 17.23% CAGR. UK delivers the best Sharpe (0.666). The US portfolio has a negative down capture (-9.5%) — it gains when markets fall. Eight markets showed positive performance. Three (Taiwan, Sweden, South Africa) had...
defensive investing
We ran the defensive quality screen on LSE stocks from 2000 to 2024. 12.63% CAGR, +4.80% excess, max drawdown -9.99%, Sharpe 0.666. The UK delivered the best risk-adjusted performance across 16 exchanges in our study. One caveat upfront: the universe averaged only 13.6 stocks per period.
defensive investing
We backtested a quality screen across Consumer Defensive, Utilities, and Healthcare on all US exchanges from 2000 to 2024. 9.80% CAGR vs 7.83% for the S&P 500, with a -9.5% down capture ratio. When markets fall on average, this portfolio gains. Not just protects. Gains.
sector rotation
We ran sector momentum rotation on 14 stock exchanges. 13 of 14 beat SPY. Korea, India, and Canada lead. Switzerland is the only market that fails, and the reason reveals when momentum stops working.
value investing
We backtested Graham's net-net strategy on all US exchanges (NYSE, NASDAQ, AMEX) from 2001 to 2024. The result is 4.97% CAGR vs 8.86% for the S&P 500. The premium that Oppenheimer documented in 1986 has largely disappeared. Here's what the data shows.
income quality
Income quality tested on HKSE from 2003 to 2025. High IQ returned 4.9% CAGR. Low IQ lost money at -3.5% CAGR. The +8.4% spread is the second strongest globally, driven entirely by how badly accrual-heavy stocks perform.
income quality
Income quality tested on XETRA from 2003 to 2025. High IQ returned 7.0% CAGR with a +4.1% spread over low IQ stocks. The signal works as a risk filter, not a return amplifier. Down capture 85.2%, beta 0.892.
income quality
Income quality tested on TSX+TSXV from 2003 to 2025. High IQ returned 9.2% CAGR with 45.0% down capture, the best risk profile of any non-US market. Sharpe 0.305, max drawdown -31.1%, +5.0% spread over low IQ stocks.