margin expansion
We tested margin expansion as a stock signal across all US exchanges from 2000 to 2025. The surprise: stable margins (9.78% CAGR) beat expanding (7.17%) and contracting (5.83%). $10,000 in stable-margin stocks grew to $103,004 vs $56,472 for expanding margins.
analyst ratings
We tested analyst upgrade clusters on US exchanges from 2019-2025 with next-day MOC execution. The 3-week move fails its own direction test: downgrade clusters beat the market too (+1.480% vs +0.764%). The surviving signal is at T+63, led by medium clusters at +1.631%.
momentum investing
We ran pure 12-month price momentum on 18 exchanges worldwide. 8 of 17 comparable exchanges outperform SPY. India (NSE) leads at 17.33% CAGR with +9.56% excess. Germany has the best Sharpe (0.588). US trails SPY by 0.62% with 159% down capture. The pattern is geographic.
revenue acceleration
Canada is the best result in our 15-exchange study, at 8.39% CAGR against 7.33% for the S&P 500. The alpha is thin, but the 43% down capture held up in five of six down years.
margin expansion
We tested margin expansion on NSE from 2000 to 2025. Contracting margins returned 16.30% CAGR vs 3.44% for expanding. The quality signal runs backward in India. Cyclical sectors and growth dynamics flip the expected relationship.
GARP
We ran the Growth at a Reasonable Price strategy on all US stocks from 2000 to 2025. 7.42% CAGR vs 8.02% for the S&P 500. The screen was fully invested every quarter. It still lost.
backtests
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.
margin expansion
We tested margin expansion as a signal on Taiwanese stocks from 2001 to 2025. Expanding margins returned 9.22% CAGR. Contracting margins returned 2.37% per year. The +6.85% annual spread is the widest of any exchange in our 14-market study. Low beta (0.64), positive alpha (+5.10%) vs TAIEX.
margin expansion
We tested margin expansion on LSE stocks from 2000 to 2025. Expanding margins returned 7.81% CAGR vs 5.88% for contracting, a +1.93% annual spread. The signal stabilized post-2010 after mixed early results. Beta 1.01, alpha +6.68% vs FTSE 100 price index. Zero cash periods.
backtests
Japan's sector momentum portfolio returned -12.31% in 2008 while the Nikkei 225 fell -38.45%, a +26.14% gap. Over 26 years: 8.73% CAGR, +4.80% excess, +6.05% alpha at a beta of 0.674. Lowest down capture of our 13 markets at 45.37%.
momentum
We tested the 52-week high proximity strategy on Japanese stocks (JPX) from 2000 to 2025. 8.43% CAGR, +5.03% vs Nikkei 225, 41.3% down capture. In a market that went sideways for a decade, the signal found the winners and avoided the worst drawdowns.
P/E mean reversion
A sector-relative P/E screen on 25 years of XETRA-listed data returned 10.37% annually vs 4.45% for the DAX, the best Sharpe of 13 exchanges (0.413) and 43% down-capture. The universe is companies listed on XETRA, not German-domiciled ones, and that distinction changes the answer.