defensive investing - Ceta Research

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 BSE and NSE from 2004 to 2024. 17.23% CAGR, +9.40% excess vs S&P 500, and a max drawdown of just -6.61%. India''s FMCG compounders and pharma exporters passed every quality filter and delivered exceptional...

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 17.23% CAGR. UK delivers the best Sharpe (0.666). The US portfolio has a negative down capture (-9.5%) — it gains when markets fall. Eight markets showed positive performance. Three (Taiwan, Sweden, South Africa) had...

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. 12.63% CAGR, +4.80% excess, max drawdown -9.99%, Sharpe 0.666. The UK delivered the best risk-adjusted performance across 16 exchanges in our study. One caveat upfront: the universe averaged only 13.6 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. 9.80% CAGR vs 7.83% for the S&P 500, with a -9.5% down capture ratio. When markets fall on average, this portfolio gains. Not just protects. Gains.