dividend investing
We backtested a high dividend yield screen with quality filters on UK stocks (LSE) from 2000-2025. 5.67% CAGR with +4.45% annual alpha over the FTSE 100. The quality filters nearly quintupled the index return.
dividend investing
We backtested a high dividend yield screen with quality filters (ROE, FCF, debt) across 25 years of US stock data. 12.25% CAGR vs 7.85% for the S&P 500, with near-zero down capture.
analyst ratings
We measured 136,479 analyst rating revision events across US, Germany, UK, Switzerland, and Canada from 2012 to 2025 using next-day-close entry. The US is the only market where upgrades underperform after the announcement day (-0.18% at T+21). Germany, UK, and Switzerland show sustained drift....
analyst ratings
We measured 12,835 analyst upgrades on XETRA-listed German stocks from 2012 to 2025. Unlike the US where drift disappears by next-day entry, German upgrades keep running, reaching +0.78% vs DAX at one month and +1.63% at three months. Clustered upgrades reach +2.17% at T+63. Downgrades fully...
analyst ratings
We measured 9,116 analyst upgrades on LSE-listed UK stocks from 2012 to 2025. Upgrades produce sustained drift through three months: +0.48% at one month and +1.09% vs FTSE 100 at three months. Clustered upgrades reach +1.74% at T+63. UK downgrades recover rather than persist, opposite to the US...
analyst ratings
We ran an event study on 66,741 analyst upgrades on US stocks from 2012 to 2025. The upgrade move happens on announcement day. You can't capture it. By the next close, average upgrades produce -0.18% at one month. Clustered upgrades (2+ firms in 30 days) still drift +0.27% at T+21. Single...
Revenue Growth
We tested revenue surprise momentum on 9 exchanges using local benchmarks. US: +1.92% excess vs S&P 500. UK: +2.24% vs FTSE — but barely. India looks good in absolute terms but underperforms the Sensex by 1.87% annually.
Revenue Growth
Companies that beat quarterly revenue estimates outperform by 1.9% annually. We tested this on 25 years of US stocks: 9.94% CAGR vs 8.02% for SPY. Quarterly rebalancing is non-negotiable.
quantitative-research
Revenue market-share gainers returned 3.3% annually vs the S&P 500's 7.8%. The signal worked in 2000-2009. Then it broke. Here's why.
quantitative-research
India is the only market where gaining sector-relative revenue share consistently outperforms. 11.8% CAGR, +4% excess over SPY, 60% win rate across 25 years.
quantitative-research
Canadian market-share gainers returned 6.7% annually with the shallowest drawdown of any exchange tested (-26.6%). The signal underperforms the benchmark but offers unusually good downside protection.
quantitative-research
UK market-share gainers returned 5.6% annually, beating SPY in 13 of 25 years. The strategy stays fully invested but underperforms by 2.2% annually — similar to Germany but with a meaningfully higher win rate.