quality investing - Ceta Research (Page 2)

Cumulative growth of Low Debt Quality Sweden portfolio vs SPY, 2000–2025

quality investing

Low Debt Quality Stocks: Sweden (STO) — 25-Year Backtest

Sweden's low-debt, high-quality portfolio returned 8.97% CAGR over 25 years vs 7.83% for SPY. Total return: 755.80% vs 558.69%. The universe is thin: 22 stocks on average, with 7 cash periods where fewer than 10 qualified. Still, the strategy outperformed. The up-capture of 106.

Growth of $10,000 invested in Low Debt Quality strategy on JPX vs S&P 500 from 2000 to 2025

quality investing

Low Debt Quality on Japanese Stocks (JPX): 6.00% CAGR Over 25 Years

We ran the low-leverage quality screen on JPX-listed Japanese equities across 25 years. D/E < 0.5 and Piotroski F-Score >= 7 as the entry conditions. Annual July rebalance, equal weight, all qualifying stocks held. The result: 6.00% CAGR vs 7.83% for SPY. A deficit of -1.

Growth of $10,000 invested in the Low Debt Quality strategy on Indian stocks vs S&P 500 from 2000 to 2025. Portfolio (INR) grew to $267,803, SPY grew to $65,869.

value investing

Low Debt Quality on India: 14.05% CAGR and a -2.02% Down Capture Over

We ran a low-debt quality screen on BSE and NSE stocks from 2000 to 2025. D/E below 0.5, Piotroski F-Score of 7 or higher, annual rebalance in July. The result was 14.05% CAGR in Indian Rupees, against a 7.83% SPY benchmark. That's +6.22%

Growth of $10,000 in the Low Debt Quality strategy on HKSE vs S&P 500 from 2000 to 2025. HK portfolio grew to ~$24,601 (HKD terms), S&P 500 grew to $65,869.

quality investing

Low Debt Quality on Hong Kong (HKSE): Underperformance With a Cushion

We screened all HKSE-listed stocks for D/E < 0.5 and Piotroski F-Score of 7 or higher, then held the portfolio annually from 2000 to 2025. The result: 3.67% CAGR vs 7.83% for SPY. The strategy trailed by 4.17% per year. Total return was 146.01%

Growth of $10,000 invested in Low Debt Quality strategy on XETRA vs S&P 500 from 2000 to 2025

quality investing

Low Debt Quality on German Stocks (XETRA): 6.72% CAGR Over 25 Years

We screened XETRA-listed German equities for D/E < 0.5 and Piotroski F-Score >= 7 across 25 years. Result: 6.72% CAGR vs 7.83% for SPY. The 2001 Neue Markt collapse cost the strategy -33.6% in a single year. 0 cash periods, 48 avg stocks.

Growth of $10,000 in the Low Debt Quality strategy on Chinese A-shares (SHH + SHZ) vs S&P 500 from 2000 to 2025. China portfolio grew to ~$36,207 (CNY terms), S&P 500 grew to $65,869.

quality investing

Low Debt Quality on China Stocks (SHH + SHZ): Bubble Returns, Extreme Volatility, and 11% Down Capture

D/E < 0.5 + Piotroski F-Score >= 7 on Chinese A-shares (SHH + SHZ), backtested 2000-2025. 5.28% CAGR vs 7.83% SPY. Two verified bubble events: +111.2% in 2006 and +83.8% in 2014. Down capture of 11.37% — the lowest in the global study. Volatility of 33.24% and max drawdown of -55.77%.

Cumulative growth of Low Debt Quality Canada portfolio vs SPY, 2000–2025

quality investing

Low Debt Quality Stocks: Canada (TSX) — 25-Year Backtest

D/E < 0.5 + Piotroski F-Score >= 7 across the TSX returned 9.16% CAGR vs 7.83% for SPY over 25 years — with a -13.01% down capture. When markets fell, this portfolio tended to rise.

Growth of $10,000 invested in QARP US vs S&P 500 from 2000 to 2025. QARP grew to $125K, S&P 500 to $67K.

value investing

Quality at Reasonable Price: A Seven-Factor Screen Tested on 25 Years of US Stock Data

We built a systematic quality-value screen using seven quantitative criteria and backtested it across all US exchanges from 2000 to 2025. QARP returned 10.42% annually vs 7.77% for the S&P 500.