Volume-confirmed momentum on UK stocks returned 9.05% annually from 2001 to 2025 against 1.44% for the FTSE 100, the largest local-benchmark edge of 17 markets. The FTSE 100 is a price index though, and once dividends are added back the honest edge is about +4%.
The FTSE 100 compounded at 1.55% a year from 2000 to 2025. Sector momentum on the same market compounded at 11.09%, a +9.54% annual excess with the highest win rate of our 13 markets at 70.19% of quarters. Never held cash in 104 quarters. Technology led 35 of them.
DuPont ROE decomposition on STO from 2000 to 2025. Quality ROE returned 5.82% CAGR vs OMX Stockholm 30 at 2.40%. Leverage-driven ROE at 8.76% best sub-portfolio. 68% win rate, 51.7% down capture. Wallenberg conglomerate model drives leverage returns.
DuPont ROE decomposition on HKSE from 2000 to 2025. Quality ROE returned -1.15% CAGR vs Hang Seng 1.28%. Leverage-driven ROE at 2.45% was the only portfolio to beat the benchmark. Property-heavy market punishes the low-leverage quality filter.
DuPont ROE decomposition on KSC from 2000 to 2025. Quality ROE returned 5.51% CAGR, beating KOSPI at 4.44%. Leverage-driven ROE lost 1.97% annually. Margin-to-leverage spread of +5.7%. Chaebol discount is measurable over 25 years.
A sector-relative P/E mean reversion screen on 25 years of Nasdaq Stockholm data returned 6.68% annually vs 2.95% for the OMX Stockholm 30, with 42% down-capture and a shallower drawdown than the index. The catch: it holds cash in 10 of 25 years.
Sector-adjusted momentum on STO (Stockholm) returned 11.45% annually from 2000 to 2025 vs the OMX Stockholm 30's 3.17%, with +8.28% excess CAGR, the largest in a 14-market study, and a 0.457 Sharpe ratio.
Sector-adjusted momentum on US stocks returned 9.46% annually from 2000-2025 vs the S&P 500's 8.02%. The 1.45-point raw edge is pure beta: lower Sharpe, deeper drawdowns, and the worst down capture in the study. Risk-adjusted, the index wins.
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.
Sector-adjusted momentum on XETRA returned 10.99% annually from 2000 to 2025 vs the DAX's 5.12%, with +5.87% excess CAGR and 54.55% down capture. Germany's 9.0 average active sectors make it one of the most reliable markets for the RS signal.
The P/TBV strategy on the Hong Kong Stock Exchange returned 6.48% annualised over 25 years against the Hang Seng's 1.64%, adding 4.84% per year with a 68% win rate. $10,000 grew to $48,000 vs $15,000 for the index.
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.