Swas - Trading Studio (Page 5)

Growth of $1 invested in 12-Month Price Momentum India vs Sensex from 2000 to 2025.

momentum investing

12-Month Momentum on Indian Stocks: 17.33% CAGR Over 25 Years

Pure 12-month price momentum on NSE stocks from 2000 to 2025 returned 17.33% annually, +5.98% per year over the Sensex. The portfolio captured 118% of the Sensex''s upside with only 63% of its downside. India is where the momentum factor works.

Cumulative growth of Graham Number Brazil strategy vs Bovespa, 2000–2024 (returns in BRL)

backtests

Graham Number in Brazil: 14.04% Nominal CAGR, With Two Layers of Fine Print

The Graham Number strategy returned 14.04% CAGR on Brazil's B3 from 2000–2024 vs 8.44% for the Bovespa, a +5.60% annual excess. All in BRL, where inflation ran 6–8% annually. Plus a known FMP data quality caveat on SAO adjusted-close prices. Here's the honest account.

backtests

52-Week Low Quality: 24-Year Germany Backtest (XETRA)

The same strategy, different market. On XETRA, the 52-Week Low Quality screen returned 7.13% annually over 23.8 years. The DAX returned 6.76% over the same period. That's +0.37% excess return vs the local benchmark, narrower than US-benchmarked results suggested but still positive. Contents 1.

Growth of CAD 10,000 invested in P/S value screen TSX Canada vs TSX Composite from 2000 to 2025. Canada strategy grew to ~CAD 80K, TSX Composite to ~CAD 36K.

value investing

Price-to-Sales Below 1 in Canada: 8.42% CAGR, +3.33% vs TSX Composite Over 25 Years

A quality-filtered P/S value screen on the TSX returned 8.42% annually vs 5.08% for the TSX Composite, with zero cash periods across 25 years and an average of 24.1 stocks per quarter. Sharpe 0.303, max drawdown -45.78%.

roic

Sustained ROIC Tested on 13 Global Exchanges: India and Brazil Lead

We backtested sustained ROIC on 13 exchanges worldwide. India leads at 15.55% CAGR (+8.25% alpha). Clear geographic divide between emerging markets where quality works and Asian markets where it breaks down.

roic

Sustained ROIC on Hong Kong Stocks: Roughly Matches Hang Seng Despite Decline

Sustained ROIC on HKSE from 2000 to 2025. -0.48% CAGR vs 7.30% SPY. Negative absolute returns, but the persistence premium (+1.76%) still separates sustained from single-year ROIC.

roic

Sustained ROIC on Chinese Stocks: 4.71% CAGR, Beats SSE Composite by 2.20%

Sustained ROIC on SHH+SHZ from 2000 to 2025. 4.54% CAGR vs 7.30% SPY benchmark. Quality spread still works (+1.67% vs low ROIC) but state influence and retail sentiment dilute the signal.

Graham Net-Net CAGR by exchange vs local benchmarks. Canada +3.6% vs TSX, Taiwan +3.3% vs TAIEX, Japan +3.1% vs Nikkei.

value investing

Graham Net-Net on 8 Global Markets: Three Beat Their Local Index

We ran Graham's net-net strategy on 8 global markets over 24 years with local benchmarks. Canada beat the TSX by +3.6% per year, Taiwan and Japan also outperformed. The UK lost 69% peak-to-trough. India badly trailed the Sensex. Here's the full cross-market comparison.

Corporate Spinoff CAR Trajectory: Parent vs Child Returns vs SPY (2011-2024)

backtests

Corporate Spinoffs: Children Return +8% Above SPY After One Year, But Half the Edge Comes From 5 Stocks

We tracked 30 major US corporate spinoffs (2011-2024) at six time horizons. The forced-selling effect is real and statistically confirmed at T+5 (-3.5%, p<0.05). The long-run recovery is positive but driven by outliers — GEV +108%, REZI -68%. Full data and SQL included.

Grouped bar chart showing cumulative abnormal returns by upgrade cluster size (small, medium, large) at T+1, T+5, T+21, and T+63 windows. US exchanges, 2019-2025.

analyst ratings

Analyst Upgrade Clusters: No Immediate Alpha, Delayed Signal at 3 Weeks

We tested analyst upgrade clusters on US exchanges from 2019-2025. When 2+ analysts move bullish simultaneously, the T+1 abnormal return is +0.475% (t=11.42). But the real finding is in the cluster size: medium clusters (delta 3-4) produce +1.068% at T+21, while large clusters fade completely.

Cumulative growth chart comparing expanding, stable, and contracting margin portfolios vs S&P 500 on US stocks from 2000 to 2025.

margin expansion

Margin Expansion Backtest: Stable Margins Beat Expanding Ones on US Stocks

We tested margin expansion as a stock signal across all US exchanges from 2000 to 2025. The surprise: stable margins (9.72% CAGR) beat expanding (6.12%) and contracting (5.29%). $10,000 in stable-margin stocks grew to $101,587 vs $44,188 for expanding margins.

Cumulative growth chart comparing expanding, stable, and contracting margin portfolios on Indian stocks (BSE+NSE) from 2000 to 2025.

margin expansion

Margin Expansion on Indian Stocks: The Signal Runs in Reverse

We tested margin expansion on BSE and NSE from 2000 to 2025. Contracting margins returned 17.65% CAGR vs 3.41% for expanding. The quality signal runs backward in India. Cyclical sectors and growth dynamics flip the expected relationship.