backtests
India's result is worse than it looks: 4.45% CAGR over 24 years on NSE. Compare that to the Sensex, which returned 14.48% annually over the same period. The strategy trailed the local benchmark by -10.03% per year. The Sharpe ratio is -0.08. The strategy
value investing
A quality-filtered P/S value screen on Stockholm stocks returned 10.96% annually vs 3.17% for the OMX Stockholm 30 index, the strongest excess return vs a local benchmark of any market tested. Sharpe ratio 0.452, the best globally.
pairs-trading
We ran a multi-pair portfolio backtest across 11 exchanges. Positive returns on 5 of 11, but only Korea and Sweden have positive Sharpe ratios. India at 5 pairs is the single configuration that beats the S&P 500.
GARP
GARP on XETRA stocks from 2000 to 2025. 9.52% CAGR vs the DAX's 5.12%. 4.40% annual excess, 65% down capture, Sharpe 2.5x the index. Germany is one of the few markets where GARP generates real alpha vs its local benchmark.
pairs trading
Among 12 exchanges we tested, Japan (JPX) is the only market with a positive Sharpe ratio (+0.141) and the highest investment rate: 95% of years had active pairs. We dig into why Japan's market structure makes it uniquely suited for pairs trading.
momentum investing
Pure 12-month price momentum on LSE stocks from 2000 to 2025 delivered 8.67% annually, +7.59% over the FTSE 100, with down capture of 58%. In most non-global-crisis downturns, the portfolio fell about 42% less than the FTSE 100. The UK is a consistent momentum market.
altman z-score
We backtested the Altman Z-Score on NSE stocks from 2000 to 2025. Safe-zone stocks returned 11.0% CAGR vs the Sensex at 11.5%. Distress-zone stocks returned just 3.2%. The +7.8% spread is the widest across any exchange tested. In India, distress destroys capital.
pairs trading
We screened 3,701 US large-cap stocks for pairs trading candidates: 884,000 same-sector correlation tests, 2,579 candidates surviving all filters. 87% came from Financial Services. Here's why, and what the data looks like.
pairs trading
Pairs trading bets that two related stocks will snap back together after diverging. The theory is sound. Gatev et al. (2006) found 11% excess returns from 1962-2002. We ran the same approach on 2005-2024 across 12 exchanges. Here's what we found.
momentum investing
Pure 12-month price momentum on XETRA stocks from 2000 to 2025 delivered 12.51% CAGR with a Sharpe of 0.588, the highest risk-adjusted return in an 18-exchange global study. The strategy outperformed the DAX by 7.45% annually with a max drawdown of -39.69% vs the DAX's own -55.38%.
small cap
We backtested small-cap value on LSE from 2000 to 2025. 15.44% CAGR with a max drawdown of just -10.89%. 0.750 Sharpe ratio, +14.21% excess over the FTSE 100. The best risk-adjusted result of any exchange in our 14-market comparison.
GARP
We tested Peter Lynch's GARP strategy on NSE stocks from 2000 to 2025. Against the Sensex benchmark, the excess is 0.63% per year. Against SPY, the apparent 3.73% excess reflects India's growth premium, not GARP alpha. 11.75% CAGR with higher risk than the index.