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.
dividend investing
We backtested a high dividend yield screen with quality filters on Canadian stocks (TSX) from 2000-2025. 6.78% CAGR with +2.83% annual alpha over the TSX Composite and strong crisis resilience.
FCF growth
Canada is the only market in our 13-exchange FCF growth study where the strategy produces both positive alpha (+0.54% excess CAGR) and negative down capture (-15.44%) simultaneously. When SPY had a down year, this portfolio averaged a small gain.
revenue acceleration
Canada is the only market where revenue acceleration outperformed in our global study. The margin is thin (+0.29%), but the down capture of 44% tells the real story.
momentum investing
Volume-confirmed momentum on Canadian equities from 2001 to 2025: 9.25% CAGR vs 4.75% for the TSX Composite, +4.49% annual excess return, Sharpe 0.428, and 32.4% down capture — the lowest of any exchange in this study. The commodity-driven TSX provides natural decorrelation.
Canada stocks
We backtested sector-relative EV/EBITDA on 23 years of Canadian stocks (TSX). 7.16% CAGR vs 4.44% TSX Composite (+2.72% excess), but max drawdown -44.68% and Sharpe 0.233. The signal works when sector discounts have a catalyst. In Canada's resource-heavy TSX, they often don't.
equity growth
We backtested the Compounding Equity Screen on TSX stocks from 2000 to 2025. 6.84% CAGR vs 3.95% for the TSX Composite, a +2.89% annual excess. Strong outperformance in the first decade and in recovery years (2009, 2010, 2020), with a severe 2008 drawdown of -39.9%.
P/E compression
P/E compression on Canadian stocks returns 8.81% annually vs 4.44% for the TSX Composite. +4.37% annual alpha, 17 wins in 25 years, 59% down-capture and 133% up-capture vs the local benchmark.