momentum investing
Sector-adjusted momentum on NSE stocks returned 18.54% annually from 2000 to 2025 vs the Sensex''s 11.12%. +7.42% annual alpha, 82% down capture vs Sensex. India had the highest absolute return across 14 global exchanges tested.
momentum investing
Pure 12-month price momentum on NSE stocks from 2000 to 2025 returned 17.33% annually, +5.98% per year over the Sensex. The portfolio captured 118% of the Sensex''s upside with only 63% of its downside. India is where the momentum factor works.
NCAV
NCAV screen on Indian stocks from 2001 to 2024. 8.28% CAGR with 42% volatility. Recovery years hit +133%, +106%, and +81%. The trade-off is a -57.7% max drawdown.
asset-light
We tested the asset-light composite score on Indian stocks (BSE + NSE) over 25 years. Asset-light returned 5.39% annually vs 1.60% for asset-heavy: a 3.79% spread. Smaller than the US, and India's capex-led growth cycle creates a headwind.
defensive investing
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...
equity growth
We backtested the Compounding Equity Screen on NSE stocks from 2000 to 2025. 5.15% CAGR vs 12.06% for the Sensex. The strategy underperforms the local benchmark by 6.90% annually, with 8 of 25 years in cash missing India''s strongest bull market.
dividend investing
We backtested a high dividend yield quality screen on NSE stocks from 2000-2025. 6.36% CAGR vs 11.40% Sensex, with 68% cash periods. The signal is too strict for India's early market structure, but produced +60.3% in 2023 when invested.
FCF growth
$10,000 grew to $327,183 over 25 years using a free cash flow growth screen on Indian stocks. 14.97% CAGR, +7.14% above SPY, and a 2.85% down capture ratio that barely moved during global bear markets.
momentum investing
Volume-confirmed momentum on Indian equities from 2001 to 2025: 12.21% CAGR with 70.6% down capture. Strong absolute returns, but the Sensex returned 13.18% over the same period. The factor provides downside protection but doesn't beat the index.
India stocks
We backtested a sector-relative EV/EBITDA screen on NSE stocks (2006-2025). 10.75% CAGR and beats SPY by a wide margin, but the Sensex returned 11.4%. Against the local benchmark, the strategy trails by 0.66% per year. Full data, SQL screen, and honest assessment.
P/E mean reversion
We tested a sector-relative P/E mean reversion screen on 25 years of Indian stock data from the NSE. The strategy returned 9.96% annually, which beats the S&P 500 (7.64%) but trails the Sensex (11.4%). Local benchmark matters: a strategy that looks like alpha vs SPY is actually slightly...
P/E compression
P/E compression on Indian NSE stocks delivers 8.00% CAGR vs 11.40% for the Sensex, underperforming by 3.40% per year. Strong absolute returns, but India's bull market is a tough benchmark to beat.