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.
Germany
Testing capital efficiency on XETRA: low-capex, high-ROIC German companies delivered 8.56% CAGR from 2000-2025, beating the DAX by 3.52%/year. Lower volatility and better drawdown protection than the benchmark.
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
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 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.
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.
S&P 500
We measured the price impact of 537 S&P 500 additions from 2000 to 2025. Additions underperform the market by 0.86% at T+5 (t = -3.63). The classic academic finding has reversed.
S&P 500
We measured cumulative abnormal returns for 196 S&P 500 removals from 2000 to 2025. The overall mean at T+63 is +8.6%, but five extreme events drive the entire result. In the 2020s, removals continue declining. The classic recovery pattern is dead.
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 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 the 30 least ETF-owned quality stocks on US markets over 20 years. Result: 4.56% CAGR vs 10.61% for SPY. Under-owned stocks don't outperform. Here's why.
earnings
India shows strong beat-streak returns at +4.15% T+63 vs Sensex. 95% of events are from 2022-2025. Update August 2026: the mirror leg now exists. Miss streaks drift -1.28% at T+21 vs the Sensex, even in the bull sample; direction is tested, magnitude keeps its regime asterisk.