quantitative-research
German market-share gainers returned 3.5% annually across 25 years, staying fully invested every period but underperforming by 4.3% annually. The signal finds stocks — it just doesn't find outperformers.
quantitative-research
Swiss market-share gainers have the highest Sharpe ratio of any exchange (0.337), lower volatility than the benchmark, and still return 1.4% annually less than the S&P 500. Low-volatility markets produce cleaner factor signals but smaller absolute gains.
quantitative-research
We backtested sector-relative revenue growth as a stock screen across 15 exchanges from 2000 to 2024. India outperformed by 4% annually. Every other market underperformed. Here's what explains the difference.
global stocks
We reran the R&D efficiency screen across 10 exchanges with local benchmarks. UK beats FTSE 100 (price return) by +7.22% annually — the strongest result globally. India, previously the standout vs SPY, now underperforms the Sensex by 4.65pp. Local benchmarks change everything. Pharma-heavy...
india stocks
The R&D efficiency screen on NSE-only sits in cash for 56% of years. When invested (2014-2024), it produced volatile results with two spectacular years (2014 +58% vs Sensex, 2023 +91% vs Sensex). But the 25-year CAGR of 7.41% trails the Sensex''s 12.06%. The screen finds India''s best pharma and...
uk stocks
The UK R&D efficiency screen returned 8.45% CAGR over 25 years. The FTSE 100 price index returned 1.23%. That is +7.22% annual excess, the strongest result across 10 global markets. Max drawdown was -17.26%. Returns in GBP. Benchmark caveat: FTSE 100 is price-return only.
r&d
From 2000 to 2012, buying stocks with the highest gross profit per R&D dollar beat the S&P 500 consistently. Then mega-cap tech took over, and the strategy spent the next twelve years giving money back. 25-year backtest, full data, SQL included.
small cap
South African small-cap growth stocks returned 10.81% CAGR with +2.96%/yr excess over SPY across 25 years, turning $10K into $130,480. The frontier market size premium survives where analyst coverage is thin.
small cap
We ran a small-cap growth screen on the Stockholm Stock Exchange from 2000 to 2025. The result: 6.56% CAGR vs OMX Stockholm 30's 2.55%, with +4.01%/yr local excess despite a -45.5% drawdown in 2021.
small cap
Switzerland's small-cap growth screen returned 7.03% CAGR vs SMI's 1.74% over 25 years, beating the local benchmark by +5.29%/yr with a Sortino of 0.781.
small cap
Taiwan's small-cap growth screen returned 4.38% CAGR, barely ahead of TAIEX at 4.09% (+0.29%/yr) and well behind SPY at 7.85% (-3.47%/yr). 36% win rate versus both benchmarks. Semiconductor-cycle pattern of feast-or-famine annual returns.
small cap
Thailand's small-cap growth screen returned 2.60% CAGR, underperforming the SET Index (5.13%) by -2.53%/yr and SPY (7.85%) by -5.25%/yr. Near-zero Sharpe of 0.004 and -59.62% max drawdown. The emerging market premium thesis doesn't hold here.