income quality
We tested the Sloan accrual anomaly on US stocks from 2000 to 2025. Companies generating 20%+ more cash than reported profit returned 8.5% annually vs 3.74% for accrual-heavy stocks. The 4.76% annual spread has survived 30 years of academic scrutiny.
income quality
We tested income quality (OCF/NI) on 25 years of Stockholm exchange data. High IQ returned 8.7% CAGR, beating medium (3.8%) and low (4.2%). Clean monotonic ranking, +4.5% spread. But 130% down capture and 1.057 beta mean higher volatility than SPY.
income quality
We tested income quality (OCF/NI) on 25 years of KSC data. The medium quality basket (7.1% CAGR) beat the high quality basket (5.5%). The signal works as a filter against low quality (1.4% CAGR) but the top tier underperforms, likely due to chaebol cash flow structures.
income quality
We tested income quality (OCF/NI) on 25 years of SAO data. High IQ returned 12.5% CAGR with a 72% win rate vs SPY and 44.6% down capture. But medium IQ (17.4%) beat high IQ by 5% per year. The spread vs low quality is +8.1%. Cash conversion matters in Brazil, just not the way you'd expect.
income quality
We tested income quality (OCF/NI) on 25 years of JSE data. High IQ returned 16.6% CAGR with +8.91% alpha. Low IQ lost 5.6% per year. The 22.1% spread is the widest globally. But the high IQ basket averaged just 10 stocks, so interpret with caution.
income quality
We tested income quality (OCF/NI) on 25 years of LSE data. The spread between high and low quality is just 0.5% per year. All three buckets returned nearly identical CAGRs. The UK market is too cash-generative for this signal to separate.
dupont analysis
We decomposed ROE for 7,900+ US stocks over 25 years. Margin-driven ROE does NOT beat leverage-driven ROE. But filtering for quality ROE (high margin, low leverage) adds 1% annual alpha with 78% down capture.
dupont analysis
We tested DuPont ROE decomposition across 13 stock markets. Leverage-driven ROE beats margin-driven in 8 of 13 exchanges. Brazil leads with 19.1% Quality ROE CAGR. The margin advantage is market-dependent.
dupont analysis
DuPont ROE decomposition on B3 (SAO) from 2000 to 2025. Quality ROE returned 19.10% CAGR with only -32.7% max drawdown. Down capture of 21.9% is the lowest of any market tested. Margin beats leverage by 6.0% annually.
dupont analysis
DuPont ROE decomposition on XETRA from 2000 to 2025. Quality ROE returned 5.40% CAGR. Margin-driven ROE (8.30%) slightly outperforms leverage-driven (7.10%). Germany rewards operational efficiency over financial engineering.
dupont analysis
DuPont ROE decomposition on BSE+NSE from 2000 to 2025. Quality ROE returned 9.10% CAGR vs 7.30% SPY. Leverage-driven ROE dominated at 11.30%, the widest leverage premium of any market tested.
cash conversion cycle
We tested CCC as a stock-picking signal on US equities over 25 years. Low-CCC companies returned 4.6% CAGR vs 7.3% for SPY. The spread between low and high CCC was -0.6%. An honest result that builds more credibility than another claimed 15% alpha.