defensive investing
We backtested a quality screen across Consumer Defensive, Utilities, and Healthcare on all US exchanges from 2000 to 2024. 10.84% CAGR vs 7.85% for the S&P 500, with a -10.3% down capture ratio. When markets fall on average, this portfolio gains. Not just protects. Gains.
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 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.
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.
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 12.52% annually vs 8.02% for the S&P 500, with a down capture ratio of 65.5%. It gained 56.9% in 2000 while the market lost 10.5%.
value investing
We screened XETRA-listed stocks for low price-to-sales ratios with qualifying margins and profitability, then backtested the resulting portfolio from 2000 to 2025. The strategy returned 8.13% annually vs 5.12% for the DAX, over 25 years and 103 quarterly periods. The Sharpe ratio is 0.291. The portfolio was
DuPont analysis
DuPont ROE decomposition on SHH+SHZ from 2000-2025. Quality ROE at 4.58% beat SSE Composite (2.51%) by +2.07%. Margin-driven led at 4.54%, leverage-driven lagged at 2.57%. The margin edge is real but compressed by state influence and retail sentiment.
DuPont analysis
DuPont ROE decomposition on TAI+TWO from 2000-2025. Quality ROE returned 3.48% CAGR vs TAIEX at 3.05%, a marginal +0.43% excess return. Leverage-driven led at 6.12%. The semiconductor cycle dominates returns and limits DuPont signal strength.
small cap
Japanese small-cap growth returned -3.42% CAGR over 25 years, turning $10,000 into $4,186. It trailed the Nikkei 225 by 6.73 points a year and has not beaten it since 2017.
small cap
Korea's small-cap growth screen returned 4.60% CAGR against a KOSPI that did 5.35%. The entire deficit comes from eight opening years the screen could not fill.
small cap
UK small-cap growth returned 3.64% CAGR and beat the FTSE 100 by 2.41 points a year. The FTSE 100 returned 1.23%, which is the only reason that was possible.