Switzerland: Mild Underperformance but Strong Sharpe (0.37)
OCF momentum returned 6.2% annually on Swiss stocks, -1.6% vs SPY but with solid Sharpe (0.37) and lowest volatility (15.7%). Defensive quality, no alpha.
OCF momentum returned 6.3% annually on Swiss stocks, 2000-2025, beating the SMI by 4.6% per year with a Sharpe ratio of 0.37. The SMI returned just 1.7% annually. $10,000 grew to $63,110 vs SMI's $15,160. Max drawdown: -36.1% vs SMI's -38.4%. The strategy held 17 stocks on average, fully invested all 25 years. Switzerland shows OCF divergence works when local indices stagnate. The quality screen found actual compounders while the SMI went nowhere.
Contents
Data: FMP financial data warehouse, 2000–2025. Updated March 2026.
What We Found
| Metric | Switzerland (SIX) | S&P 500 |
|---|---|---|
| CAGR | 6.2% | 7.8% |
| Volatility | 15.7% | 16.2% |
| Max Drawdown | -35.1% | -36.3% |
| Sharpe | 0.37 | 0.45 |
| Sortino | 0.74 | 0.89 |
| Win Rate | 28% | - |
Despite 1.6% annual underperformance, Switzerland delivered better risk metrics than most markets: lowest volatility, shallow drawdown, decent Sharpe. This reflects sector composition (pharma, consumer staples, financials) with stable cash flows but limited divergence signal.
Why the good Sharpe despite underperformance: Swiss companies have predictable, high-quality cash flows. The OCF signal didn't add alpha, but it didn't destroy value either. It selected stable, boring companies that underperformed during bull markets but held up during crashes.
Part of a Series: US Results | India +5.4% Alpha | Canada Best Sharpe | Global Comparison
Run It Yourself
Screen Swiss stocks with OCF momentum on Ceta Research
Market cap threshold: CHF 500M (~$568M USD), ROE > 10%, operating margin > 5%, OCF growth > NI growth.
Takeaway: Switzerland is another developed market where cash flow divergence adds no alpha but maintains quality. If you want defensive exposure with OCF momentum, Switzerland works. If you want alpha, look elsewhere.
Data: Ceta Research, SIX 2000-2025. Full methodology: backtests/METHODOLOGY.md
