etf
We ran the same anti-crowding screen on 18 stock exchanges. Only 2 showed positive excess returns, both with diluted signals. Among exchanges where the portfolio genuinely held under-owned stocks, all 7 underperformed.
etf
Germany is the one market where quality stocks ignored by ETFs actually work. 9.23% CAGR, 0.460 Sharpe, -29.26% max drawdown over 20 years. The Mittelstand's structural ETF blind spot creates a genuine opportunity.
etf
We screened 18 exchanges for quality stocks held by fewer than 10 ETFs. Only Germany produced competitive returns (9.23% CAGR). The US returned 0.90%. Six exchanges had zero qualifying stocks. The orphan thesis is a global negative result.
etf
We backtested a portfolio of the 30 least ETF-owned quality stocks on US markets over 20 years. Result: 6.56% CAGR vs 10.61% for SPY. Avoiding passive-owned stocks doesn't help. Here's why.
etf
We backtested a portfolio of quality stocks held by fewer than 10 ETFs over 20 years. Result: 0.90% CAGR vs 10.61% for SPY. The ETF orphan thesis fails. Quality stocks outside ETFs are underowned for a reason.
etf
We tested whether low ETF ownership stocks outperform on 15 exchanges worldwide. Only 2 showed slim positive excess. The passive premium is real and it's global.
etf
We tested whether Indian stocks with low ETF ownership outperform over 20 years. Result: 5.73% CAGR vs SPY's 10.61%. The passive premium crosses borders.
earnings
India shows the highest beat-streak returns globally at +5.05% T+63. But 95% of events are from 2022-2025. We publish the results with full transparency about the data coverage. The signal is real for that period. Whether it continues is an open question.
roic
We screened US stocks for ROIC above 12% in 3+ of the last 5 fiscal years. Over 25 years, the sustained ROIC portfolio returned 8.86% annually vs 7.30% for the S&P 500. Modest alpha, but 77.5% down capture and -36.3% max drawdown tell the real story.
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.