Building CetaResearch. Data analysis for policy, research, and startups.
P/E mean reversion
We tested sector-relative P/E mean reversion on 13 global stock markets from 2000 to 2025. The signal: buy when a stock's P/E drops below 60% of its sector median, filtered for quality (ROE > 8%, D/E < 2). The result splits cleanly along geography. Western
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of US stock data. Buy quality stocks trading 40%+ below their sector''s median P/E. The strategy returned 9.69% annually vs 7.64% for SPY, with 2.05% excess return and zero cash periods across 25 years.
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of UK stock data. Stocks trading at a 40%+ discount to sector peers, filtered for quality, returned 11.81% CAGR vs 7.64% for the S&P 500 — the highest excess return of any exchange tested. Down capture: 42%.
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of German stock data from XETRA. The signal triggers when a stock's P/E ratio falls 40% below its sector median, filtered for quality. The strategy returned 10.39% annually vs 7.64% for the S&
GARP
We ran the GARP strategy on 17 stock exchanges from 2000 to 2025. The S&P 500 returned 8.01%. One market outperformed. Sixteen didn''t. India is the exception. Here''s the full comparison.
GARP
We ran the Growth at a Reasonable Price strategy on all US stocks from 2000 to 2025. 7.12% CAGR vs 8.01% for the S&P 500. The screen was fully invested every quarter. It still lost.
GARP
We tested Peter Lynch''s GARP strategy on BSE + NSE stocks from 2000 to 2025. India is the only market in our 17-exchange test where GARP outperforms. 11.12% CAGR, 130% up capture, 85% down capture.
GARP
GARP on XETRA stocks from 2000 to 2025. 7.50% CAGR vs 8.01% for SPY, with 78% down capture. The returns nearly match the benchmark. The drawdown protection is the story.
momentum investing
We ran the same quality momentum strategy across 17 global exchanges over 25 years. Same rules everywhere: ROE > 15%, D/E < 1.0, positive net income, positive operating cash flow, gross margin > 20%, then rank by 12-month price momentum. Top 30 stocks, equal weight, semi-annual rebalancing. Contents
momentum investing
Quality + momentum is one of the most studied factor combinations in academic finance. Screen for financially sound companies, then rank by which ones are already trending upward. In theory, quality reduces your drawdown risk; momentum captures stocks that are already working. In practice on US equities, the combination delivered 8.
momentum investing
Sweden's stock market doesn't get much attention in factor investing research. Most papers use US data; most backtests default to the S&P 500 universe. But the Stockholm Stock Exchange has characteristics that make quality momentum work reasonably well: a cluster of high-quality industrial and
momentum investing
South Africa's stock exchange (JNB) is dominated by mining, energy, and commodity companies. Anglo American, BHP, Glencore, Sasol. These are large, liquid companies that define the JSE. They're also structurally leveraged: mining operations require heavy capex, and debt-to-equity ratios above 1.0 are common. Contents 1.