dividend investing
We backtested a dividend growth screen (5+ consecutive years of increases with quality filters) across 25 years of US stock data. 7.96% CAGR, matching the S&P 500 with 24% better Sharpe and 50% down capture.
value investing
We backtested an earnings yield screen with quality filters on 25 years of US stock data (NYSE, NASDAQ, AMEX). 8.38% CAGR vs 8.02% for the S&P 500. Modest alpha, textbook value factor cyclicality.
debt reduction
We backtested D/E reduction with ROE > 8% on US stocks from 2001-2025. 11.22% CAGR vs 8.02% for SPY, a +3.20% annual excess. The key: filtering FMP's FY2012 zero-D/E errors (30% of stocks affected). With clean data, the signal works consistently across all 13 global markets tested.
event study
155,684 US earnings events from 2000-2025. Habitual beaters drift +0.289% vs S&P 500 in 10 days before announcements. Habitual missers fall -0.321%. The spread between best and worst beat-rate quintiles is 44bp.
event study
15,167 JPX earnings events from 2017-2025. When benchmarked against the Nikkei 225 instead of EWJ, the pre-earnings drift drops to -0.007% (t=-0.19). Not significant. The original +0.114% result was a benchmark artifact.
event study
Pre-earnings drift across 13 markets with local currency benchmarks. Korea leads at +0.745% vs KOSPI, India +0.693% vs Sensex (NSE). Japan's effect disappeared vs Nikkei. Taiwan flipped from negative to positive. Benchmark choice matters.
event study
6,348 KOSPI earnings events from 2016-2025. Pre-earnings drift averages +0.745% vs KOSPI in 10 days before announcements. Both habitual missers (+0.593%) and mixed stocks (+0.772%) show the same drift. Beat rate doesn't matter in Korea.
value investing
Owner Earnings Yield on Shanghai + Shenzhen A-shares from 2000 to 2025. 9.61% CAGR vs SSE Composite 2.43%, +7.18% excess. Zero cash periods. 72% win rate vs local benchmark.
owner earnings
We ran the same Owner Earnings Yield screen on 13 global exchanges over 25 years. Nine of 13 beat their local benchmark. India leads at 17.17% CAGR. The US delivers the best risk-adjusted result (0.432 Sharpe). Hong Kong, Sweden, and China each produced 7%+ alpha vs local indices.
value investing
We screened HKSE stocks for high Owner Earnings yield from 2000 to 2025. The strategy returned 10.44% annually vs 1.64% for the Hang Seng Index, with zero cash periods across all 25 years. 68% win rate, 47% down capture.
value investing
Owner Earnings Yield screen on NSE, 2000-2025. 17.17% CAGR vs Sensex 12.06%. +5.1% annual excess with next-day close execution. All returns in INR against a local benchmark.
value investing
We screened for stocks with high Owner Earnings yield on Sweden's Stockholm exchange from 2000 to 2025. The strategy returned 9.59% annually vs 2.55% for the OMX Stockholm 30. 80% win rate, 40% down capture, 0.390 Sharpe.