margin expansion
We tested margin expansion as a signal on Taiwanese stocks from 2001 to 2025. Expanding margins returned 9.71% CAGR. Contracting margins lost 5.86% per year with a -93% max drawdown. The +15.57% annual spread is the widest of any exchange in our 12-market study. Low beta (0.73), positive alpha...
margin expansion
We tested margin expansion on LSE stocks from 2000 to 2025. Expanding margins returned 7.49% CAGR vs 5.07% for contracting, a +2.42% annual spread. The signal was negative in 2000-09 but strengthened to +5.6% by 2020-25. Beta 0.918, alpha +0.50%. Zero cash periods across all portfolios.
backtests
Japan's sector momentum strategy returned -11.9% in 2008 while SPY fell -34.31%, a +22.4% relative gap in the worst year of the century. Then 2013 delivered +55.37% on Abenomics stimulus. Over 26 years: 11.26% CAGR, +3.24% excess vs S&P 500, Sharpe 0.605, and 54.68% down capture. Real Estate...
DuckDB
We benchmarked DuckDB, BigQuery, and Athena on 20GB of Parquet data. DuckDB Local was 3-10x faster. Athena scanned 4x less data than BigQuery. Full methodology and raw data included.
backtests
Germany produced the best sector momentum results of any European market in our 14-exchange study. 13.07% CAGR over 26 years, +5.05% excess vs S&P 500, Sharpe 0.620, and 55.30% down capture. The defining structural pattern: Technology and Real Estate each appeared in exactly 30 of 104 quarterly...
analyst ratings
We tested analyst upgrade clusters across 9 exchanges. T+1 abnormal returns are statistically significant in 7 of 9. But 80-97% of non-US events come from one year (2022), limiting what we can conclude. The US, UK, and India signals are most credible. Japan shows the strongest T+1 reaction...
GARP
We ran the GARP strategy on 17 stock exchanges from 2000 to 2025. Against local benchmarks, UK (+3.52% vs FTSE), Germany (+2.69% vs DAX), and Sweden (+1.92% vs OMX) outperform. India barely ties the Sensex (+0.10%). Here's the full comparison.
backtests
Canada delivered the third-best excess return in our 14-exchange sector momentum study: +10.23% annually over 26 years, driven by Basic Materials (39q) and Energy (37q) occupying the top-two positions for half the study. $10K grew to $781,030 CAD. The 2000-2002 dotcom bust: three straight wins...
ai
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value investing
We backtested Graham's net-net strategy on Japan's JPX exchange from 2006 to 2024. Japan net-nets returned 7.65% CAGR vs 4.32% for the Nikkei 225, a +3.3% annual excess with 40% down capture. Japan is the one major developed market where the net-net premium still shows up in the data.