Sector-adjusted momentum on US stocks returned 5.78% annually from 2000-2025 vs S&P 500''s 8.02%. Zero cash periods, consistent signal, consistent underperformance. The reason explains why sector momentum is signal in America, not noise.
Sector-adjusted momentum on XETRA returned 10.45% annually from 2000 to 2025 vs the DAX''s 5.12%, with +5.33% excess CAGR and 57.74% down capture. Germany''s 9.0 average active sectors make it one of the most reliable markets for the RS signal.
Sector-adjusted momentum on NSE stocks returned 18.94% annually from 2000 to 2025 vs the Sensex''s 11.12%. +7.82% annual alpha, 82% down capture vs Sensex. India is the strongest result across 14 global exchanges tested.
We ran the same small-cap value screen across 14 stock exchanges and 25 years of data. All 14 beat their local benchmark. UK produced the best risk-adjusted result (0.750 Sharpe, -10.89% MaxDD). India led on absolute return (20.89% CAGR).
We backtested sector-adjusted momentum (12M-1M return minus sector average) on 14 exchanges from 2000 to 2025. Eleven beat their local benchmark. Only US, China, and Japan underperformed. The result maps to market efficiency and sector co-movement.
Testing capital efficiency on SIX: low-capex, high-ROIC Swiss companies delivered 10.20% CAGR from 2000-2025, beating the SMI (3.07% CAGR) by 7.13%/year. 82.6% win rate, the highest of any market tested.
Screened XETRA for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 8.43% CAGR vs 5.04% DAX (+3.39%), Sharpe 0.374, 72% win rate, 0 cash periods. Signal works vs the local benchmark; absolute returns lower than Anglo-Saxon markets.
Screened NSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 10.06% CAGR vs 12.06% Sensex (-1.99%). Strong absolute returns but underperforms local benchmark. 2009: +48.9% excess, 2014: +47.4% excess. 7 cash years (2000-2006), 18 invested years.
Screened LSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.65% CAGR vs 1.23% FTSE 100 price index, max drawdown -19.0% (best of all 17 exchanges), 88% win rate. 2008: only -2.2% while FTSE 100 fell -22.0%. Note: FTSE 100 benchmark is price-only (no dividends).
Screened TSX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.75% CAGR vs 3.95% TSX Composite (+7.80%), Sharpe 0.677 (best of 17 exchanges), down capture -35.8%. 0 cash periods, 23 avg stocks, 76% win rate. 2000: +49.4% excess vs TSX.
Screened NYSE/NASDAQ/AMEX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.25% CAGR vs 7.85% SPY (+3.40%), Sharpe 0.516, max drawdown -25.7%, down capture 66.0%. 25 years, 0 cash periods, 27 avg stocks. Full backtest data.
We ran a 3-year net income growth streak screen on 17 exchanges over 25 years, benchmarked vs local indices. Result: UK +10.42% vs FTSE, Canada +7.80% vs TSX, US +3.40% vs SPY. India underperforms Sensex (-1.99%). Japan beats Nikkei (+3.38%). Full data for all 17 exchanges.
margin expansion
We tested margin expansion across 12 global exchanges. Taiwan produced a +15.57% annual spread. India showed a -14.24% reverse signal. The US barely registered at +0.83%. Margin expansion works in concentrated, export-driven markets and fails in diversified or high-growth economies. Full data...
pairs trading
We ran a full active z-score pairs trading backtest on US large caps (NYSE+NASDAQ+AMEX) from 2005 to 2024. 86.6% of signals converged. The strategy returned -1.22% CAGR anyway. Here is why convergence rate is a misleading metric.
pairs-trading
With 5 pairs, the strategy returned +11.80% annually on Indian stocks — beating SPY. With 20 pairs, it dropped to +6.45%. India is the one market where selective pairs trading generates alpha, but only if you know when to stop adding pairs.
pairs trading
We tested active z-score pairs trading on 7 major exchanges from 2005 to 2024. Convergence rates ranged from 77% to 87%. Every exchange returned negative CAGR. The same mechanism that fails in the US fails identically in Japan, UK, Germany, Hong Kong, Taiwan, and Canada.
pairs trading
We ran the same correlation-based pairs trading strategy on 11 exchanges from 2005 to 2024. No exchange beat its local benchmark. But the differences in why they failed, and by how much, reveal real structure in each market.
pairs trading
We tested 2,579 highly correlated US stock pairs for cointegration. Only 516 passed (20.0%). Utilities led at 31.4%. Here's the Engle-Granger method, sector breakdown, and the counterintuitive finding: lower correlation predicts higher pass rate.
pairs-trading
We ran a multi-pair portfolio construction backtest on US stocks from 2005 to 2024. Adding more pairs made returns worse, not better. Transaction costs erode marginal convergence gains, and the best configuration still lost 0.43% annually.
pairs trading
Japan ran active pairs in 19 out of 20 years, more than any other exchange tested. 0.61% CAGR, beta 0.062, +38.77% excess vs Nikkei in 2008. But the Sharpe of +0.131 only looks positive because Japan's risk-free rate is 0.1%. At a 2% rate, it's -0.35.
pairs-trading
We ran a multi-pair portfolio backtest across 11 exchanges. Positive returns on 5 of 11, but only Korea and Sweden have positive Sharpe ratios. India at 5 pairs is the single configuration that beats the S&P 500.
pairs trading
We ran the same pairs trading strategy on 12 stock exchanges from 2005 to 2024. Every single market generated near-zero or negative nominal returns. The academic consensus (Do & Faff 2010) that pairs trading profitability declined post-2002 holds globally, not just in the US.
altman z-score
We backtested the Altman Z-Score on NSE stocks from 2000 to 2025. Safe-zone stocks returned 10.6% CAGR vs the Sensex at 11.5%. Distress-zone stocks returned just 3.1%. The +7.6% spread is one of the widest across any exchange tested. In India, distress destroys capital.
altman z-score
Altman Z-Score on SAO exchange stocks from 2000 to 2025. Safe zone: 11.1% CAGR. Distress zone: 4.7% CAGR. The all-ex-distress portfolio returned 13.1% CAGR, 4.5% above Bovespa. High interest rates make distress more punishing in Brazil.