momentum investing
Volume-confirmed momentum on Canadian equities from 2001 to 2025: 8.87% CAGR vs 4.75% for the TSX Composite, +4.12% annual excess return, Sharpe 0.404, and 34.8% down capture. The commodity-driven TSX provides natural decorrelation.
Canada stocks
We backtested sector-relative EV/EBITDA on 24 years of Canadian stocks (TSX). 7.83% CAGR vs 4.44% TSX Composite (+3.40% excess), but max drawdown -47.36% and down capture of 104%. Every point of the excess comes from up capture, not from downside protection.
revenue acceleration
Canada is the best result in our 15-exchange study, at 8.39% CAGR against 7.33% for the S&P 500. The alpha is thin, but the 43% down capture held up in five of six down years.
NCAV
NCAV screen on Canadian stocks from 2001 to 2024. 7.49% CAGR. The only exchange with zero cash years out of 24. Resource-heavy TSX produces net-nets every year, but the ride includes a -55.9% max drawdown.
equity growth
We backtested the Compounding Equity Screen on TSX stocks from 2000 to 2025. 6.02% CAGR vs 3.95% for the TSX Composite, a +2.07% annual excess. Strong outperformance in the first decade and in recovery years (2009, 2010, 2020), with a severe 2008 drawdown of -40.6%.
dividend investing
We backtested a high dividend yield screen with quality filters on Canadian stocks (TSX) from 2000-2025. 6.29% CAGR with +1.86% annual excess over the TSX Composite and a 60% win rate.
P/E compression
P/E compression on Canadian stocks returns 10.13% annually vs 4.44% for the TSX Composite. +5.69% annual alpha, 19 wins in 25 years, 44% down-capture and 142% up-capture. The strongest result in a 21-market study.
FCF growth
Canada FCF growth stocks produced 8.98% CAGR over 25 years, beating the TSX Composite by 5.03 percentage points per year. 21.2% down capture means the portfolio absorbed only a fifth of the TSX downside in down years.