defensive investing - Ceta Research

CAGR comparison chart for Defensive Quality strategy across 11 global exchanges vs S&P 500.

defensive investing

Defensive Quality Across 11 Markets: Where the Signal Works and Why

We ran the same defensive quality screen across 16 exchanges. India leads with 17.30% CAGR (Calmar 4.538). US has the best Sharpe (0.712) and negative down capture (-10.3%). UK: 11.19% CAGR, -7.78% max drawdown. Three markets (Taiwan, Sweden, South Africa) were too thin to invest.

Growth of ₹10,000 invested in Defensive Quality India screen vs Sensex from 2004 to 2024.

defensive investing

Defensive Quality in India: 17.30% CAGR and a -3.81% Max Drawdown Over 20 Years

We ran the defensive quality screen (Consumer Defensive, Utilities, Healthcare) across NSE from 2004 to 2024. 17.30% CAGR, +5.24% excess vs Sensex, max drawdown -3.81%. India's FMCG compounders and pharma exporters passed every quality filter and delivered exceptional risk-adjusted returns.

Growth of $10,000 invested in Defensive Quality UK screen vs S&P 500 from 2000 to 2024.

defensive investing

Defensive Quality UK: 11.19% CAGR, -7.78% Max Drawdown, Sharpe 0.641 Over 25 Years

We ran the defensive quality screen on LSE stocks from 2000 to 2024. 11.19% CAGR, -7.78% max drawdown, Sharpe 0.641. The FTSE 100 price index returned only 1.23% CAGR over the same period. One caveat upfront: the universe averaged only 11.9 stocks per period.

Growth of $10,000 invested in Defensive Quality screen vs S&P 500 from 2000 to 2024.

defensive investing

Defensive Rotation Backtest: 10.84% CAGR With a Portfolio That Gains When Markets Fall

We backtested a quality screen across Consumer Defensive, Utilities, and Healthcare on all US exchanges from 2000 to 2024. 10.84% CAGR vs 7.85% for the S&P 500, with a -10.3% down capture ratio. When markets fall on average, this portfolio gains. Not just protects. Gains.