equity growth
We backtested the Compounding Equity Screen across 14 exchanges worldwide from 2000 to 2025. Five markets outperform their local benchmarks (UK, Sweden, Switzerland, Japan, Canada). Only the UK also beats the S&P 500. The results reveal where equity compounding works and where it doesn't.
backtests
The UK produced the lowest max drawdown of any dedicated market in our cyclical timing study (-28.54%). 7.94% CAGR (-0.95% excess), Sharpe 0.277. Five cash periods including three consecutive (2014, 2015, 2017) suppressed returns but limited losses.
earnings
We analyzed 73,386 beat streak events across US exchanges from 2000-2025. A second consecutive earnings beat produces +0.77% T+21 abnormal return vs SPY. The sweet spot is streak 2 and 3. Very long streaks show diminishing returns.
quality investing
We ran our FCF Conversion screen on BSE and NSE stocks from 2000-2025. 18.18% CAGR in INR, 6.13% annual excess over the Sensex (12.06% CAGR). Max drawdown of just -15% vs the Sensex's -32%. $10K grew to $651K.
quality investing
FCF Conversion on LSE stocks returned 8.64% CAGR from 2000-2025, beating the FTSE 100 (1.23%) by 7.42% annually. 84% win rate, 18% down capture. The strongest relative performer in our global analysis.
quality investing
FCF Conversion on TSX stocks returned 9.54% CAGR from 2000-2025 vs the TSX Composite's 3.95%. 76% win rate, the highest of any exchange. $10K grew to $98K vs $26K for the index.
value investing
Earnings yield screening on NSE returned 14.42% CAGR vs 11.12% for the Sensex. +3.30% annual excess with 57.3% quarterly win rate. Returns in INR, max drawdown -61.4%.
Cash Flow
We tested a cash flow quality screen on 25 years of US stock data. The strategy matched the S&P 500 at 7.4% vs 7.9%, with a positive excess every year during the dot-com bust (+19.8% in 2000) but struggling 2017-2019.
Cash Flow
Operating cash flow momentum returned 12.1% annually on NSE stocks from 2000-2025, matching the Sensex. Max drawdown: -21.4% vs Sensex's -32.2%, beta 0.58. $10,000 to $172,659.
Cash Flow
OCF momentum returned 8.8% annually on TSX stocks, 2000-2025, vs 4.0% for the TSX Composite, a +4.9% alpha. $10,000 to $82,715. Zero cash periods, 52% win rate, -20.7% max drawdown.
Cash Flow
OCF momentum returned 5.2% annually on UK stocks vs the FTSE 100's 1.2%, a +4.0% alpha. A 60% win rate and a deep -49.5% drawdown make it volatile, but the signal works.
Cash Flow
OCF momentum returned 5.1% annually on German stocks vs the DAX's 5.0%, essentially a match (+0.1%). A 36% win rate and a -50.2% max drawdown make it a rough ride for no edge.