backtests
The revenue-leadership strategy on NSE returned 11.08% CAGR over 24 years, beating SPY by 2.17% annually. But the Sensex returned 14.23%. $10,000 grew to $124,600 vs $243,500 with Sensex.
earnings
17,692 beat-and-dip events across 11 exchanges with local benchmarks and data-quality filters. Taiwan: +2.23%** at T+21. UK: +1.51%**. China: +2.08%* at T+63. US: -0.72%** at T+63. Sweden lost its negative signal to the data cleanup; India still has none.
ETF overlap
SPY and QQQ share 92 stocks. SPY, VOO, and IVV overlap 99.4%. We analyzed 13,946 ETFs to measure the exact overlap between popular combinations and found most multi-ETF portfolios are far more redundant than investors realize.
sector rotation
Sector mean reversion on JPX large caps from 2000 to 2025: 6.90% CAGR vs 3.93% for the Nikkei 225, a +2.97% annual excess with Sharpe 0.333 and 66.82% down capture. Max drawdown of -50.39% beat the Nikkei at -61.06%. Utilities took 39% of quarters, a tilt created by Fukushima.
backtests
India's 6.5% risk-free rate sets a strict 9.5% earnings yield bar, too strict to fill a portfolio in seven of 25 years. NSE yield gap stocks returned 7.17% CAGR against the Sensex's 11.40%. Over the 15 years the screen ran every January, it beat the Sensex by 2.57 points a year.
low volatility
We tested low-vol quality on 14 exchanges with the same screen: ROE > 10%, OPM > 10%, lowest 252-day volatility. Measured against local benchmarks, it beats the home market in 11 of 14 exchanges. China leads at +7.1% over the SSE Composite, India +5.8% over the Sensex. US and Germany trail.
low volatility
Low-vol quality stocks on the LSE returned 7.34% CAGR, beating the FTSE 100 by +5.99% annually from 2000 to 2025. Down capture of 42.77%, max drawdown -22.63% vs -43.69% for FTSE 100. Zero cash periods across 103 quarters.
low volatility
Low-vol quality stocks on the TSX returned 9.68% CAGR, beating the TSX Composite by +4.60% annually from 2000 to 2025. 0.645 Sharpe ratio, down capture of 39.2%, max drawdown -29.70% vs -41.58%.
low volatility
Low-vol quality on the SIX Swiss Exchange returned 5.07% CAGR with a 0.342 Sharpe from 2000 to 2025, beating the SMI by +2.96% annually at 13.34% volatility. Switzerland's defensive market produced 257% total returns with a -46.62% max drawdown, and rarely sits in cash.
low volatility
We backtested low-vol quality on the Taiwan Stock Exchange (TAI) from 2000 to 2025. It returned 6.68% CAGR with a 0.424 Sharpe, beating the TAIEX by +2.30% annually. Down capture 29% and beta 0.314 in a market dominated by TSMC and semiconductors. The boring-stock premium beats the local index.
low volatility
We backtested a low-volatility quality screen on US stocks (NYSE, NASDAQ, AMEX) from 2000 to 2025. It delivered 6.53% CAGR with a 0.484 Sharpe vs 0.361 for the S&P 500, a -26.0% max drawdown vs -43.9%, and captured only 27% of market downside. Boring stocks, better risk-adjusted returns.
low volatility
Low-vol quality stocks on the JPX returned 6.38% CAGR vs the Nikkei 225's 3.40% from 2000 to 2025. 0.398 Sharpe, 4.42% alpha, 58.25% win rate. Max drawdown of -42.16%. The strategy sat in cash for 14% of quarters due to late Japanese financial filings. Down capture of 43.22%.