Building CetaResearch. Data analysis for policy, research, and startups.
income quality
Income quality tested on SHH+SHZ from 2003 to 2025. High IQ returned 4.8% CAGR vs 1.3% for Low IQ, a +3.5% spread. Absolute returns trail SPY, but beta of 0.405 makes it the most uncorrelated income quality portfolio globally.
DuPont analysis
DuPont ROE decomposition on SHH+SHZ from 2000-2025. Margin-driven ROE at 4.50% CAGR beat leverage-driven at 2.40%, but all tracks trail SPY (7.30%). The +2.1% margin-leverage spread is real but weak in China's state-influenced economy.
DuPont analysis
DuPont ROE decomposition on TAI+TWO from 2000-2025. Quality ROE returned just 3.30% CAGR with 25.1% volatility and -58.7% max drawdown. All tracks trail SPY (7.30%). Taiwan's tech-heavy export economy resists DuPont quality screening.
DuPont analysis
DuPont ROE decomposition on LSE from 2000-2025. Leverage-driven ROE at 7.00% CAGR beat margin-driven at 4.30%. The UK reverses the US pattern: commodity-heavy sectors and dividend culture reward productive leverage.
income quality
We tested income quality (OCF/NI) on BSE+NSE from 2003 to 2025. High IQ returned 10.6% CAGR vs 11.0% for Low IQ. The spread is -0.4%, essentially zero. India is the only market where this signal doesn't work.
momentum
We screened for stocks nearest their 52-week high every quarter from 2000 to 2025 using next-day close execution. The strategy returned 10.53% annually vs 8.01% for the S&P 500, with a down capture ratio of 68.6%. It gained 48.5% in 2000 while the market lost 10.5%.
working capital
Canada produced the most defensive working capital efficiency portfolio across all 14 exchanges we tested. Max drawdown was -21.0% vs -28.80% for the TSX Composite. 10.05% CAGR beats the TSX by 5.99% per year.
value-investing
Canada is the most consistently investable PEG ratio market we tested. Zero cash periods across 103 quarters. The portfolio always had 25+ qualifying stocks. 9.03% CAGR vs the TSX Composite's 5.08%, a +3.94%/yr advantage over 25 years. Contents 1. Why Canada Works for GARP
altman z-score
We tested the Altman Z-Score across 14 exchanges with local benchmarks. India +7.6% spread, Brazil +6.4%, South Africa +6.6%. Switzerland +4.8% vs SMI, UK +2.9% vs FTSE. The pattern maps onto where distress destroys equity value and where local benchmarks are weak enough that safe stocks outperform.
working capital
Sweden produced strong excess returns for working capital efficiency. 8.70% CAGR vs 2.19% for the OMX Stockholm 30. +6.51% annual excess and a 76% win rate. Best excess return across all exchanges tested.
ETF overlap
SPY and QQQ share 92 stocks. SPY, VOO, and IVV overlap 99.4%. We analyzed 13,946 ETFs to measure the exact overlap between popular combinations and found most multi-ETF portfolios are far more redundant than investors realize.
low volatility
Low-vol quality stocks on the TSX returned 9.80% CAGR, beating the TSX Composite by +4.72% annually from 2000 to 2025. 0.658 Sharpe ratio, down capture of 38.5%, max drawdown -28.49% vs -46.13%.