altman z-score
We backtested the Altman Z-Score on US stocks from 2000 to 2025. Safe-zone companies (Z > 2.99) returned 4.3% annually vs 7.3% for the S&P 500. Distress-zone stocks actually outperformed safe ones. The Z-Score predicts bankruptcy, not stock returns.
backtests
ASX cyclical timing returned 7.45% CAGR (-1.45% excess) over 24 years. Australia's resources-heavy economy ties cyclical signals closely to commodity prices. 2005-2006: supercycle surge (+35.8%, +33.1%). 2021: worst year (-21.3%). Modest underperformance but reliable signal quality.
backtests
Switzerland tied for highest Sharpe ratio in our cyclical timing study (0.415), despite 7.46% CAGR (-1.43% excess). Six cash periods (25%), but strong returns when invested. Swiss precision machinery and specialty chemicals created consistent signal quality.
backtests
We tested buying S&P 500 sectors when their aggregate P/E falls 1+ standard deviation below the 5-year average. 12.70% CAGR vs 10.65% SPY over 21 years, with 67.6% down-capture ratio. Full methodology and SQL included.
ETF
We tested low-concentration quality stocks on multiple global exchanges from 2005 to 2025. South Africa was the only exchange that beat SPY (12.09% vs 10.61%). Norway came closest with the best Sharpe ratio (0.373). Look-ahead bias from snapshot ETF data limits all results.
ETF
The S&P 500 holds 500 stocks. The top 10 account for 39%+ of the portfolio. We measured the effective number of stocks in 2,000+ ETFs using the Herfindahl-Hirschman Index. SPY behaves like a 50-stock portfolio, not 500.
ETF
Norway produced the best risk-adjusted result in our ETF concentration series. 9.45% CAGR vs 10.61% for SPY, but with a 0.373 Sharpe ratio, 0.712 Sortino, and near-identical max drawdown. The 2013-2018 run delivered six straight years of outperformance.
ETF
South Africa is the only exchange where low-concentration quality stocks beat SPY. 12.09% CAGR vs 10.61% over 2005-2025, with a 0.470 beta and +2.33% alpha. Most of the excess came from 2005-2012. The signal weakened after 2015.
quality investing
We ran the same FCF Conversion screen on 16 exchanges from 2000-2025 with MOC execution and local benchmarks. 12 of 16 beat their local index. Top alpha in UK (+7.42% vs FTSE), Switzerland (+6.35% vs SMI), India (+6.13% vs Sensex).
quality investing
We ran our FCF Conversion screen on JPX-listed stocks from 2000-2025. 4.89% CAGR in JPY, beating the Nikkei 225 (3.31%) by 1.58% annually. 52% win rate, 51% down capture. $10K grew to ~$33K vs ~$23K for the Nikkei.
quality investing
We ran our FCF Conversion screen on TWSE stocks from 2000-2025. 3.69% CAGR in TWD, trailing the TAIEX (4.09%) by just 0.39%. Max drawdown of -22.6% is the shallowest of any exchange. Similar returns to the index with significantly lower risk, but 7 cash periods drag performance.
quality investing
We ran our FCF Conversion screen on SET stocks from 2000-2025. 3.30% CAGR in THB, trailing the SET Index (5.13%) by 1.83%. 40% win rate, 80.54% down capture. $10K grew to ~$23K vs ~$35K for the index. The signal doesn't work well here.