NCAV
We backtested Graham net-net stocks on the Hong Kong Stock Exchange from 2001 to 2024. The strategy returned -3.17% annually with an -82% max drawdown. Pre-2015 it worked. Post-2015 it collapsed alongside Hong Kong's structural market decline.
free cash flow
We screened for high FCF yield on Hong Kong Stock Exchange stocks from 2000 to 2025. 10.22% CAGR, +8.58% excess over Hang Seng. In 2008, the portfolio lost only 5.5% while Hang Seng fell 16%. 72% win rate, 27% down capture. Hang Seng returned just 1.64% annually over the same 25 years.
quality investing
Hong Kong FCF conversion quality returned 6.0% CAGR vs 1.64% for the Hang Seng over 25 years. +4.36% annual excess. 68% win rate. The alpha comes from stock selection, not crash protection: down capture is 70%.
value investing
We screened HKSE stocks for high Owner Earnings yield from 2000 to 2025. The strategy returned 10.44% annually vs 1.64% for the Hang Seng Index, with zero cash periods across all 25 years. 68% win rate, 47% down capture.
dividend investing
A 5-factor dividend sustainability score backtested on HKSE from 2000-2025. 6.50% CAGR, +4.86% annual excess over the Hang Seng Index, 60% win rate. The screen consistently beat Hong Kong's own market over 25 years.
dividend investing
We backtested a high dividend yield screen with quality filters on Hong Kong stocks (HKSE) from 2000-2025. 7.93% CAGR with +6.29% annual alpha over the Hang Seng, the strongest outperformance of any exchange tested.
Hong Kong stocks
We backtested sector-relative EV/EBITDA on 21 years of Hong Kong stocks (HKSE). 0.87% CAGR vs 0.49% Hang Seng, +0.38% excess. Looks positive — but negative Sharpe ratio (-0.097) and -57.59% max drawdown tell the real story. Risk-adjusted returns are negative despite marginally beating the index.
P/E compression
P/E compression on Hong Kong stocks returns -0.32% CAGR vs 0.49% for the Hang Seng. Both the strategy and the local market failed to deliver real returns over 25 years. Down-capture is 95% vs the local benchmark.
sector rotation
Sector mean reversion on HKSE large caps from 2000 to 2025: 6.51% CAGR vs 8.02% S&P 500. 2009 was +105.53%. 2023 was -15.66% vs SPY +26%. Extreme year-to-year variance with -1.51% average annual underperformance.
value investing
Low P/E with quality filters returned 14.4% annually on HKSE-listed stocks from 2000-2025. That's +12.6% over the Hang Seng Index (1.8% CAGR). The catch: 38.5% volatility, -59% max drawdown, and a 2024-2025 spike that needs an asterisk.
value investing
QARP returned 4.02% annually on Hong Kong stocks, beating the Hang Seng's 1.31% by +2.71% per year. The absolute returns are modest, but the quality screen adds real alpha over the local market.