low volatility
We tested low-vol quality on 14 exchanges worldwide using the same screen: ROE > 10%, OPM > 10%, lowest 252-day volatility. Compared to local benchmarks (Sensex, Nikkei, FTSE 100, etc.), the strategy beats its home market in 12 of 14 exchanges. China leads with +7.0% excess over the SSE...
low volatility
We backtested low-vol quality stocks on the Taiwan Stock Exchange (TAI) from 2000 to 2025. The portfolio returned 6.65% CAGR with a 0.422 Sharpe ratio, beating the TAIEX by +2.28% annually. Down capture of 29.0% and a beta of 0.317 in a market dominated by TSMC and semiconductors. The...
low volatility
Low-vol quality stocks on the LSE returned 6.46% CAGR, beating the FTSE 100 by +5.11% annually from 2000 to 2025. Down capture of 48.76%, max drawdown -26.21% vs -42.12% for FTSE 100. Zero cash periods across 103 quarters.
low volatility
We backtested a low-volatility quality screen across all US exchanges (NYSE, NASDAQ, AMEX) from 2000 to 2025. The portfolio delivered 6.19% CAGR with a 0.426 Sharpe ratio vs 0.361 for the S&P 500, a max drawdown of -26.6% vs -43.9%, and captured only 30% of market downside. Boring stocks, better...
low volatility
Low-vol quality stocks on NSE returned 16.8% CAGR with a 0.578 Sharpe ratio from 2000 to 2025. That is +5.7% annualized over the Sensex with 85.7% up capture and 36.7% down capture. $10,000 grew to roughly $545,000.
low volatility
Low-vol quality stocks on the JPX returned 6.14% CAGR vs the Nikkei 225's 3.40% from 2000 to 2025. 0.382 Sharpe, 4.17% alpha, 57.28% win rate. Max drawdown of -42.48%. The strategy sat in cash for 14% of quarters due to late Japanese financial filings. Down capture of 43.35%.
low volatility
Low-vol quality stocks on the SIX Swiss Exchange returned 5.46% CAGR with a 0.393 Sharpe ratio from 2000 to 2025, beating the SMI by +3.4% annually. 12.61% annualized volatility. Zero cash periods. Switzerland's naturally defensive market produced 293% total returns with -40.9% max drawdown.
earnings
India beat-and-dip events on NSE: 284 events, 2021–2025. T+63 CAR is +1.57% (t=1.68, not significant) vs Sensex. The earlier +2.54%** result was vs INDA ETF — a different benchmark that included USD/INR movements. Measured locally, the edge disappears.
working capital
India produced strong returns for working capital efficiency. Over 25 years, India's most capital-efficient companies returned 15.15% CAGR vs 12.32% for the Sensex. +2.82% annual excess and a 60% win rate against the local benchmark.
working capital
The UK produced strong excess returns for working capital efficiency. 6.17% CAGR vs 1.13% for the FTSE 100. +5.04% annual excess and a 68% win rate over 25 years.
UK
Testing capital efficiency on the LSE: low-capex, high-ROIC UK companies delivered 9.34% CAGR from 2000-2025, beating the FTSE 100 (1.23% CAGR) by 8.12%/year. The widest excess of any market tested.
small cap
We backtested small-cap value on TSX from 2000 to 2025. 13.21% CAGR, +9.26% over the TSX Composite. But -48.13% max drawdown reveals heavy resource sector exposure. The highest-risk version of the strategy in our 14-exchange comparison.