defensive investing
We ran the same defensive quality screen across 16 exchanges. India leads with 17.23% CAGR. UK delivers the best Sharpe (0.666). The US portfolio has a negative down capture (-9.5%) — it gains when markets fall. Eight markets showed positive performance. Three (Taiwan, Sweden, South Africa) had...
defensive investing
We ran the defensive quality screen on LSE stocks from 2000 to 2024. 12.63% CAGR, +4.80% excess, max drawdown -9.99%, Sharpe 0.666. The UK delivered the best risk-adjusted performance across 16 exchanges in our study. One caveat upfront: the universe averaged only 13.6 stocks per period.
defensive investing
We backtested a quality screen across Consumer Defensive, Utilities, and Healthcare on all US exchanges from 2000 to 2024. 9.80% CAGR vs 7.83% for the S&P 500, with a -9.5% down capture ratio. When markets fall on average, this portfolio gains. Not just protects. Gains.
income quality
Income quality tested on HKSE from 2003 to 2025. High IQ returned 4.9% CAGR. Low IQ lost money at -3.5% CAGR. The +8.4% spread is the second strongest globally, driven entirely by how badly accrual-heavy stocks perform.
income quality
Income quality tested on XETRA from 2003 to 2025. High IQ returned 7.0% CAGR with a +4.1% spread over low IQ stocks. The signal works as a risk filter, not a return amplifier. Down capture 85.2%, beta 0.892.
income quality
Income quality tested on TSX+TSXV from 2003 to 2025. High IQ returned 9.2% CAGR with 45.0% down capture, the best risk profile of any non-US market. Sharpe 0.305, max drawdown -31.1%, +5.0% spread over low IQ stocks.
income quality
Income quality tested on SHH+SHZ from 2003 to 2025. High IQ returned 4.8% CAGR vs 1.3% for Low IQ, a +3.5% spread. Absolute returns trail SPY, but beta of 0.405 makes it the most uncorrelated income quality portfolio globally.
income quality
We tested income quality (OCF/NI) on BSE+NSE from 2003 to 2025. High IQ returned 10.6% CAGR vs 11.0% for Low IQ. The spread is -0.4%, essentially zero. India is the only market where this signal doesn't work.
backtests
Graham Number strategy on Nasdaq Stockholm returned 13.04% annually from 2000-2024, beating the OMX Stockholm 30 in 20 of 25 years. The 80% win rate ties Japan for the highest in the study. Up capture: 151.9%. Down capture: 30.5%.
value investing
We screened XETRA-listed stocks for low price-to-sales ratios with qualifying margins and profitability, then backtested the resulting portfolio from 2000 to 2025. The strategy returned 8.13% annually vs 5.12% for the DAX, over 25 years and 103 quarterly periods. The Sharpe ratio is 0.291. The portfolio was
DuPont analysis
DuPont ROE decomposition on TAI+TWO from 2000-2025. Quality ROE returned just 3.30% CAGR with 25.1% volatility and -58.7% max drawdown. All tracks trail SPY (7.30%). Taiwan's tech-heavy export economy resists DuPont quality screening.
DuPont analysis
DuPont ROE decomposition on SHH+SHZ from 2000-2025. Margin-driven ROE at 4.50% CAGR beat leverage-driven at 2.40%, but all tracks trail SPY (7.30%). The +2.1% margin-leverage spread is real but weak in China's state-influenced economy.