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
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.
cash conversion cycle
CCC works on the TSX. Low-CCC companies returned 7.8% CAGR vs 4.4% for high CCC, a +3.4% spread. +3.7% excess over the TSX Composite. Sharpe 0.251 is the best of any CCC portfolio across 14 exchanges. The resource-heavy TSX creates real working capital differentiation.
cash conversion cycle
We tested CCC as a stock-picking signal on US equities over 25 years. Low-CCC companies returned 5.9% CAGR vs 7.3% for SPY. The spread between low and high CCC was -0.2%. CCC barely works as a US stock-picking signal.
cash conversion cycle
CCC backtested on NSE from 2000 to 2025. Low-CCC companies returned 7.8% CAGR vs 11.5% for the Sensex. +0.3% spread over high-CCC, but -3.7% vs the local benchmark. CCC doesn't beat the Indian market as a standalone strategy.
dupont analysis
DuPont ROE decomposition on XETRA from 2000 to 2025. Quality ROE returned 6.28% CAGR vs DAX 4.51%. Margin-driven (8.32%) and leverage-driven (8.60%) both beat the benchmark by roughly 4 percentage points. Germany rewards ROE quality.
cash conversion cycle
We ran the same CCC backtest across 14 exchanges with local benchmarks. 9 of 14 show positive excess over local indices. Sweden +5.5% vs OMX, Canada +3.7% vs TSX, India -3.7% vs Sensex. Using local benchmarks vs SPY changes the picture significantly.
dupont analysis
DuPont ROE decomposition on B3 (SAO) from 2000 to 2025. Quality ROE returned 19.28% CAGR vs Bovespa 8.58%, a +10.70% excess return. Down capture of 21.9% is the lowest of any market tested. Avg universe dropped to 12 stocks.
dupont analysis
DuPont ROE decomposition on NSE from 2000 to 2025. Quality ROE returned 9.56% CAGR but the Sensex returned 11.49%. Margin-driven stocks returned just 1.85%. Leverage premium is 10% per year, the widest of any market tested.
altman z-score
We backtested the Altman Z-Score on US stocks from 2000 to 2025. Safe-zone companies (Z > 2.99) returned 5.6% annually vs 7.3% for the S&P 500. Distress-zone stocks actually outperformed safe ones. The Z-Score predicts bankruptcy, not stock returns.
piotroski
We ran the Piotroski F-Score on US value stocks from 1997 to 2024. Score 8-9 returned 6.1% vs 9.4% for SPY. Selection alpha is -1.6% per year. Avoidance alpha is +2.8%. The F-Score works as a floor (skip Score 0-2) but not as a ceiling in large-cap US.
quality investing
We ran our FCF Conversion screen on JPX-listed stocks from 2000-2025. 4.89% CAGR in JPY, beating the Nikkei 225 (3.31%) by 1.58% annually. 52% win rate, 51% down capture. $10K grew to ~$33K vs ~$23K for the Nikkei.