momentum investing
Quality + momentum is one of the most studied factor combinations in academic finance. Screen for financially sound companies, then rank by which ones are already trending upward. In theory, quality reduces your drawdown risk; momentum captures stocks that are already working. In practice on US equities, the combination delivered 8.
momentum investing
Sweden's stock market doesn't get much attention in factor investing research. Most papers use US data; most backtests default to the S&P 500 universe. But the Stockholm Stock Exchange has characteristics that make quality momentum work reasonably well: a cluster of high-quality industrial and
momentum investing
South Africa's stock exchange (JNB) is dominated by mining, energy, and commodity companies. Anglo American, BHP, Glencore, Sasol. These are large, liquid companies that define the JSE. They're also structurally leveraged: mining operations require heavy capex, and debt-to-equity ratios above 1.0 are common. Contents 1.
momentum investing
The same strategy that delivered 8.27% annually on US stocks returned 19.03% on Indian stocks over the same period. That's 11.29% of annual alpha above the S&P 500 benchmark. Of the 17 exchanges we tested quality momentum on, India ranks first by a
backtests
EV/EBITDA below 10x on the TSX: 9.84% CAGR vs TSX Composite 4.44%, 76% win rate. Canada's commodity-heavy market is structurally suited to this screen, with 150.5% up capture and 5.36% alpha.
backtests
EV/EBITDA below 10x on Indian equities: 12.03% CAGR over 20 invested years vs 11.40% for the Sensex. A narrow edge with lower beta.
backtests
EV/EBITDA below 10x is how private equity prices acquisitions. We tested it as an equity screen on 22,000+ US stocks over 25 years.
backtests
EV/EBITDA screening on XETRA: 7.40% CAGR vs 4.45% for the DAX. A 2.96% annual edge against the local index with a 68% win rate.
backtests
EV/EBITDA screen on Borsa Italiana returned 6.03% CAGR over 25 years, trailing SPY's 7.64%. Thin universe and six cash years. The strategy doesn't justify the complexity over a simple index fund.
backtests
A simple EV/EBITDA screen on Stockholm-listed stocks returned 9.74% CAGR over 25 years vs OMX Stockholm 30's 2.95%. The strategy outperformed in 76% of years, with 134.5% up capture and only 50.7% down capture against the local index.
global stocks
D/E reduction + ROE > 8% tested on 13 exchanges from 2001-2025. Only India (+4.39%) and Canada (+1.32%) beat SPY. US -4.23%, HK -8.85%. The signal is regime-dependent, not universal.
debt reduction
We backtested D/E reduction with ROE > 8% on US stocks from 2001-2025. 3.78% CAGR vs 8.01% for SPY. Pre-2013 it averaged +2.7% excess per year. Post-2013 it averaged -9.8%. The signal didn't fail — it became regime-dependent when ZIRP made leverage cheap.