income quality
We tested income quality (OCF/NI) on 25 years of SAO data. High IQ returned 12.5% CAGR with a 72% win rate vs SPY and 44.6% down capture. But medium IQ (17.4%) beat high IQ by 5% per year. The spread vs low quality is +8.1%. Cash conversion matters in Brazil, just not the way you'd expect.
income quality
We tested income quality (OCF/NI) on 25 years of JSE data. High IQ returned 16.6% CAGR with +8.91% alpha. Low IQ lost 5.6% per year. The 22.1% spread is the widest globally. But the high IQ basket averaged just 10 stocks, so interpret with caution.
income quality
We tested income quality (OCF/NI) on 25 years of LSE data. The spread between high and low quality is just 0.5% per year. All three buckets returned nearly identical CAGRs. The UK market is too cash-generative for this signal to separate.
income-quality
We ran the Sloan accrual anomaly screen on 13 exchanges over 25 years. The high-low spread was positive in 12 of 13 markets. South Africa led at +22.1%. India showed no separation at all. Full comparison with methodology.
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.
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 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.
US
Testing capital efficiency across NYSE, NASDAQ, AMEX: companies spending <8% of revenue on capex while earning >15% ROIC delivered 10.40% CAGR from 2000-2025. Asset-light businesses compound faster with less reinvestment drag.
India
Testing capital efficiency in India (NSE): companies spending <8% of revenue on capex while earning >15% ROIC delivered 21.44% CAGR from 2004-2025, beating the Sensex by 6.96%/year. Asset-light businesses thrive in India's growth economy.
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.
Multi-Market
Testing capital efficiency across 6 major markets (2000-2025): India +6.96% vs Sensex, Switzerland +7.13% vs SMI, UK +8.12% vs FTSE, Germany +3.52% vs DAX, US +2.54% vs SPY, China -0.64% vs SSE. How low-capex, high-ROIC strategies travel across markets.
backtests
Canada has the lowest down capture of any market in our 15-exchange study (28.4%). But overall CAGR is weak at 5.78% (-3.11% excess). Energy sector concentration creates boom-bust dynamics that the revenue growth signal times but can't fully escape.