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.
value investing
Owner Earnings Yield screen on NSE, 2000-2025. 15.47% CAGR vs Sensex 12.06%. +3.4% annual excess with next-day close execution. All returns in INR against a local benchmark.
quality investing
We screened for companies that grew FCF in 4+ of the last 5 years with ROIC above 15% and backtested on US stocks from 2000-2025. 12.15% CAGR vs 7.85% for SPY. 68% win rate, 51.2% down capture, invested 23 of 25 years.
quality investing
We screened XETRA for FCF compounders from 2000-2025. 8.84% CAGR vs 5.04% for the DAX with 20 invested years out of 25. Germany's industrial cash discipline beats the local benchmark by 3.80% annually.
quality investing
We ran the FCF Compounders screen on 18 exchanges from 2000-2025 with local benchmarks. US led at 12.15% CAGR (+4.29% vs S&P 500). UK +9.48% vs FTSE. India trails Sensex by 6.14% annually. Only deep markets work.
owner earnings
We ran the same Owner Earnings Yield screen on 14 global exchanges over 25 years. Ten of 14 beat their local benchmark. India leads at 15.47% CAGR. The UK delivers the largest local alpha (+7.5% vs FTSE). Sweden produces the best Sharpe (0.389).
value investing
Owner Earnings Yield on Shanghai + Shenzhen A-shares from 2000 to 2025. 6.76% CAGR vs SSE Composite 2.43%, +4.33% excess. Zero cash periods. 68% win rate vs local benchmark.
value investing
We screened for stocks with high Owner Earnings yield on Sweden's Stockholm exchange from 2000 to 2025. The strategy returned 9.51% annually vs 2.55% for the OMX Stockholm 30. 76% win rate, 36% down capture, 0.389 Sharpe.
value investing
We screened HKSE stocks for high Owner Earnings yield from 2000 to 2025. The strategy returned 5.24% annually vs 1.64% for the Hang Seng Index, with zero cash periods across all 25 years. 60% win rate, 58.5% down capture.
value investing
We screened for stocks with high Owner Earnings yield across all US exchanges from 2000 to 2025. The strategy returned 9.22% annually vs 7.85% for the S&P 500 with a down capture ratio of 42.1%.
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.
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.