dupont analysis
DuPont ROE decomposition on XETRA from 2000 to 2025. Quality ROE returned 6.28% CAGR vs DAX 4.51%. Margin-driven (8.32%) and leverage-driven (8.60%) both beat the benchmark by roughly 4 percentage points. Germany rewards ROE quality.
cash conversion cycle
We tested CCC as a stock-picking signal on US equities over 25 years. Low-CCC companies returned 5.9% CAGR vs 7.3% for SPY. The spread between low and high CCC was -0.2%. CCC barely works as a US stock-picking signal.
cash conversion cycle
CCC works on the TSX. Low-CCC companies returned 7.8% CAGR vs 4.4% for high CCC, a +3.4% spread. +3.7% excess over the TSX Composite. Sharpe 0.251 is the best of any CCC portfolio across 14 exchanges. The resource-heavy TSX creates real working capital differentiation.
dupont analysis
We decomposed ROE for 7,900+ US stocks over 25 years. Margin-driven ROE does NOT beat leverage-driven ROE. But filtering for quality ROE (high margin, low leverage) adds 1% annual alpha with 78% down capture.
equity growth
We ran the Compounding Equity Screen on all US exchanges from 2000 to 2025. 6.76% CAGR vs 7.85% for the S&P 500. The strategy underperforms by 1.09% annually. In 2023, it returned -4.8% while SPY gained 25.4%. Here is what the data shows and why it happens.
dupont analysis
We tested DuPont ROE decomposition across 13 stock markets. Leverage-driven ROE beats margin-driven in 8 of 13 exchanges. Brazil leads with 19.1% Quality ROE CAGR. The margin advantage is market-dependent.
backtests
We tested the yield gap strategy on London Stock Exchange stocks from 2000 to 2025. LSE stocks delivered 10.02% CAGR against 0.86% for the FTSE 100, a +9.16% annual edge, and beat the local index in 80% of years.
backtests
ASX cyclical timing returned 8.58% CAGR (+4.69% alpha over ASX 200) over 24 years. Australia's resources-heavy economy ties cyclical signals closely to commodity prices. 2015: +15.6% vs ASX -5.7%. 2020: +40.8% vs ASX +21.1%. 32.0% down capture vs the ASX 200.
P/E compression
P/E compression on German stocks returns 3.32% annually vs 4.45% for the DAX. The DAX reinvests dividends, so unlike most markets in this study the comparison is like-for-like. Germany is the fair test, and the strategy loses it.
backtests
Price-to-Tangible-Book strips goodwill and intangibles from the valuation, leaving only what a company physically owns. Backtested on US large-caps from 2000-2025, the strategy returned 11.31% CAGR versus 7.85% for SPY, with a down-capture ratio of just 3.9%.
altman z-score
We backtested the Altman Z-Score on US stocks from 2000 to 2025. Safe-zone companies (Z > 2.99) returned 5.6% annually vs 7.3% for the S&P 500. Distress-zone stocks actually outperformed safe ones. The Z-Score predicts bankruptcy, not stock returns.
value investing
We ran a P/S value screen on NYSE, NASDAQ, and AMEX from 2000 to 2025 requiring P/S below 1.0, gross margin above 20%, operating margin above 5%, and ROE above 10%. The strategy returned 11.66% annually vs 8.02% for the S&P 500.