India
Testing capital efficiency in India (NSE): companies spending <8% of revenue on capex while earning >15% ROIC delivered 21.44% CAGR from 2004-2025, beating the Sensex by 6.96%/year. Asset-light businesses thrive in India's growth economy.
US
Testing capital efficiency across NYSE, NASDAQ, AMEX: companies spending <8% of revenue on capex while earning >15% ROIC delivered 10.40% CAGR from 2000-2025. Asset-light businesses compound faster with less reinvestment drag.
survivorship bias
We ran the same value screen on the S&P 500 twice: once with today's members, once with historical membership. Survivorship bias inflated CAGR by 2.02% and hid 7.8 percentage points of drawdown over 25 years. The risk distortion is worse than the return distortion.
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.
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.
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.
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 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 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.
backtests
India's listed companies are built on physical capital: steel, cement, chemicals, engineering. A P/TBV screen on NSE large-caps returned 14.64% CAGR over 25 years versus 12.06% for the Sensex, with a down capture of 37.2%, meaning the strategy absorbed about a third of the benchmark's downside.
backtests
Canada has the lowest down capture of any market in our 15-exchange study (28.4%). But overall CAGR is weak at 5.78% (-3.11% excess). Energy sector concentration creates boom-bust dynamics that the revenue growth signal times but can't fully escape.
cash conversion cycle
We ran the same CCC backtest across 13 global exchanges. Five showed positive spreads, six negative. Unlike Altman Z-Score, there's no clean geographic pattern. CCC is a sector proxy, not a quality signal. Hong Kong +5.8%, Canada +3.2%, Korea -6.3%. Full comparison with methodology.