quantitative-research
We backtested sector-relative revenue growth as a stock screen across 15 exchanges from 2000 to 2024. India outperformed by 4% annually. Every other market underperformed. Here's what explains the difference.
global stocks
We reran the R&D efficiency screen across 10 exchanges with local benchmarks. UK beats FTSE 100 (price return) by +7.22% annually — the strongest result globally. India, previously the standout vs SPY, now underperforms the Sensex by 4.65pp. Local benchmarks change everything. Pharma-heavy...
india stocks
The R&D efficiency screen on NSE-only sits in cash for 56% of years. When invested (2014-2024), it produced volatile results with two spectacular years (2014 +58% vs Sensex, 2023 +91% vs Sensex). But the 25-year CAGR of 7.41% trails the Sensex''s 12.06%. The screen finds India''s best pharma and...
uk stocks
The UK R&D efficiency screen returned 8.45% CAGR over 25 years. The FTSE 100 price index returned 1.23%. That is +7.22% annual excess, the strongest result across 10 global markets. Max drawdown was -17.26%. Returns in GBP. Benchmark caveat: FTSE 100 is price-return only.
r&d
From 2000 to 2012, buying stocks with the highest gross profit per R&D dollar beat the S&P 500 consistently. Then mega-cap tech took over, and the strategy spent the next twelve years giving money back. 25-year backtest, full data, SQL included.
small cap
Canadian small-cap growth stocks returned 8.28% CAGR over 25 years, +0.43%/yr vs SPY but +4.33%/yr vs TSX Composite. The strategy turned $10,000 into $72,733 with a 64% win rate against the local benchmark.
small cap
Chinese small-cap growth stocks generated +7.76%/yr excess over the SSE Composite, turning $10K into $129,070. The alpha is real, but so is the -72% max drawdown and two A-share bubble years that drove most of the outperformance.
small cap
We tested the small-cap growth premium across 14 exchanges over 25 years. India leads at +5.59% vs SPY. 4 outperform (all emerging/frontier), 10 underperform (all developed). The size premium survives where analyst coverage is thin.
small cap
German small-cap growth stocks returned 4.79% CAGR over 25 years, slightly trailing DAX by -0.25%/yr and SPY by -3.06%/yr. With 47% down capture and 74% up capture versus DAX, the strategy had correct asymmetry but a weak benchmark.
small cap
NSE small-cap growth stocks: 13.44% CAGR over 25 years, +5.59% excess vs SPY, +1.38% vs Sensex. India is the top outperformer in a 14-exchange study. The size premium survives where analyst coverage is thin.
small cap
Japanese small-cap growth returned -1.17% CAGR over 25 years, turning $10,000 into $7,447 — a net loss. Underperformed Nikkei 225 (3.31% CAGR) by -4.48%/yr. With 40% annual win rate and 75.5% down capture versus Nikkei 225, this is one of the clearest cases of a factor premium failing completely.
small cap
Korea's small-cap growth screen returned 5.54% CAGR over 25 years. The KOSPI benchmark returned 5.35%. The strategy beat the local market by +0.19% per year. That's not a rounding error, but it's close. Contents 1. Executive Summary 2. The Method 3.