momentum - Ceta Research

Growth of NT$1 invested in the 52-week high proximity strategy on Taiwanese stocks vs TAIEX from 2000 to 2025. Taiwan strategy grew to NT$9.59, TAIEX to NT$3.01.

momentum

Taiwan's 52-Week High Proximity: +4.8% vs TAIEX Over 25 Years

We tested the 52-week high proximity strategy on Taiwanese stocks (TAI) from 2000 to 2025. 9.18% CAGR, +4.80% vs TAIEX, 42.9% down capture. The signal protected hard in 2022 (-6.0% vs TAIEX -22.2%) and rode the 2023 semiconductor rally.

Growth of ¥1 invested in the 52-week high proximity strategy on Japanese stocks vs Nikkei 225 from 2000 to 2025. Japan strategy grew to ¥8.04, Nikkei 225 to ¥2.36.

momentum

Japan's 52-Week High Proximity: Steady Alpha in a Flat Market

We tested the 52-week high proximity strategy on Japanese stocks (JPX) from 2000 to 2025. 8.43% CAGR, +5.03% vs Nikkei 225, 41.3% down capture. In a market that went sideways for a decade, the signal found the winners and avoided the worst drawdowns.

Growth of ฿1 invested in the 52-week high proximity strategy on Thai stocks vs SET Index from 2000 to 2025. Thailand strategy grew to ฿12.98, SET Index to ฿2.58.

momentum

Thailand's 52-Week High Proximity: Anchoring Works in Emerging Markets Too

We tested the 52-week high proximity strategy on Thai stocks (SET) from 2000 to 2025. 10.47% CAGR, +6.71% vs SET Index, 49.3% down capture. In 2022, the strategy returned +5.6% while the SET rose just 0.5%.

Growth of ₩1 invested in the 52-week high proximity strategy on Korean stocks vs KOSPI from 2000 to 2025. Korea strategy grew to ₩18.79, KOSPI to ₩3.35.

momentum

KOSPI's 52-Week High Screen: 12.1% CAGR, 38% Down Capture

We tested the 52-week high proximity strategy on Korean stocks (KSC) from 2000 to 2025. 12.07% CAGR, +7.26% vs KOSPI, 37.9% down capture. 2024 returned +25.1% when KOSPI fell 10.2%.

Growth of $10,000 invested in Korea Sector Momentum strategy vs KOSPI (2000-2025)

sector rotation

Korea Sector Momentum: 24.23% CAGR, +18.68% Annual Alpha Over KOSPI (2000-2025)

Korea sector momentum rotation delivered 24.44% CAGR over 26 years with a down capture of just 16.46% — the lowest across all 14 exchanges we tested. $10,000 grew to $2.94 million. Healthcare and Consumer Defensive drove the rotation through Korea's aging demographics.

Growth of $10,000 invested in Sector Momentum Rotation strategy vs S&P 500 (2000-2025)

sector rotation

Sector Momentum Rotation: 26 Years of Chasing Industry Trends in US Markets

We ran sector momentum rotation on US markets from 2000-2025. Top 2 sectors by 12-month equal-weighted return, held quarterly. Result: 10.42% CAGR vs 8.02% SPY, -1.0% in 2022 while SPY fell 19%. Full methodology and SQL included.

Growth of 1 rupee invested in the 52-week high proximity strategy on NSE stocks vs the Sensex from 2000 to 2025. NSE strategy grew to ₹87.35, Sensex to ₹15.11.

momentum

NSE 52-Week High Proximity: 19.0% CAGR, +7.8% vs Sensex Over 25 Years

We tested the 52-week high proximity strategy on NSE stocks from 2000 to 2025 with next-day execution. 18.96% CAGR vs 11.12% Sensex, +7.84% excess return. ₹1 grew to ₹87.35 vs ₹15.11 for Sensex. The anchoring effect persists in India's retail-dominated market.

Sector Momentum Rotation CAGR by Exchange across 13 global markets (2000-2025)

sector rotation

Sector Momentum Rotation: Tested on 13 Global Markets (2000-2025)

We ran sector momentum rotation on 14 stock exchanges. 13 of 14 beat SPY. Korea, India, and Canada lead. Switzerland is the only market that fails, and the reason reveals when momentum stops working.

Growth of $1 invested in 52-Week High Proximity US vs S&P 500 from 2000 to 2025. Strategy grew to $20.87, S&P 500 to $7.28.

momentum

The Stock That's Closest to Its High Usually Keeps Going: 25 Years of US Data

We screened for stocks nearest their 52-week high every quarter from 2000 to 2025 using next-day close execution. The strategy returned 12.52% annually vs 8.02% for the S&P 500, with a down capture ratio of 65.5%. It gained 56.9% in 2000 while the market lost 10.5%.

52-Week High Proximity excess return by exchange vs local benchmarks 2000-2025. India and Korea lead near +7.8%. 15 of 18 markets show positive alpha.

momentum

52-Week High Proximity: One Signal, 18 Markets, Very Different Outcomes

We ran the 52-week high proximity screen across 18 exchanges with local benchmark comparisons. 15 of 18 show positive alpha. India +7.84% vs Sensex, Korea +7.26% vs KOSPI, Japan +5.03% vs Nikkei. Even UK is positive (+3.71% vs FTSE). Local currency benchmarks reveal the real story.

CAR after analyst upgrades on LSE UK stocks vs FTSE 100. Clustered upgrades reach +1.74% at T+63. Single upgrades drift to +0.64%. Downgrades recover to near zero.

analyst ratings

Analyst Upgrades on UK Stocks: +1.09% vs FTSE 100 at 3 Months (9,116 Events)

We measured 9,116 analyst upgrades on LSE-listed UK stocks from 2012 to 2025. Upgrades produce sustained drift through three months: +0.48% at one month and +1.09% vs FTSE 100 at three months. Clustered upgrades reach +1.74% at T+63. UK downgrades recover rather than persist, opposite to the US...

CAR after analyst upgrades on US stocks. Clustered upgrades reach +0.27% at T+21. Single upgrades fall to -0.51%. Downgrades -0.61% at T+63. All measured from next-day-close entry.

analyst ratings

Do Analyst Upgrades Actually Move Stock Prices? We Measured 66,741 of Them

We ran an event study on 66,741 analyst upgrades on US stocks from 2012 to 2025. The upgrade move happens on announcement day. You can't capture it. By the next close, average upgrades produce -0.18% at one month. Clustered upgrades (2+ firms in 30 days) still drift +0.27% at T+21. Single...