momentum
We screened for stocks nearest their 52-week high every quarter from 2000 to 2025 using next-day close execution. The strategy returned 12.52% annually vs 8.02% for the S&P 500, with a down capture ratio of 65.5%. It gained 56.9% in 2000 while the market lost 10.5%.
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.
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 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.
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%.
working capital
Canada produced the most defensive working capital efficiency portfolio across all 14 exchanges we tested. Max drawdown was -21.0% vs -28.80% for the TSX Composite. 10.05% CAGR beats the TSX by 5.99% per year.
momentum
We ran the 52-week high proximity screen across 18 exchanges with local benchmark comparisons. 15 of 18 show positive alpha. India +7.84% vs Sensex, Korea +7.26% vs KOSPI, Japan +5.03% vs Nikkei. Even UK is positive (+3.71% vs FTSE). Local currency benchmarks reveal the real story.
working capital
Sweden produced strong excess returns for working capital efficiency. 8.70% CAGR vs 2.19% for the OMX Stockholm 30. +6.51% annual excess and a 76% win rate. Best excess return across all exchanges tested.
value investing
We backtested value-momentum on 17 exchanges over 25 years with local benchmarks. 12 of 17 beat their reference benchmark. India leads at 15.87% CAGR. Hong Kong has the highest alpha (+8.57% vs Hang Seng).
altman z-score
We tested the Altman Z-Score across 13 exchanges with local benchmarks. India +7.8% spread, South Africa +4.0%. UK +4.8% vs FTSE, Switzerland +4.6% vs SMI. The pattern maps onto where distress destroys equity value and where local benchmarks are weak enough that safe stocks outperform.
quality investing
FCF Compounders screen on LSE from 2000-2025. 10.71% CAGR vs 1.23% for the FTSE 100. Invested 20 of 25 years, beating the benchmark by 9.48% annually.