momentum investing
We backtested sector-adjusted momentum (12M-1M return minus sector average) on 14 exchanges from 2000 to 2025. Eleven beat their local benchmark on raw return. Japan, South Africa, and China fell short. The US wins on raw return but only through beta.
roic
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.
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.
asset-light
We tested the asset-light composite score across 13 exchanges over 25 years. The light-heavy spread was positive on all 13 markets, ranging from +0.82% (Taiwan) to +16.22% (US). Capital efficiency separates winners from losers globally.
free cash flow
We ran the same FCF yield screen across 8 stock exchanges from 2000 to 2025. Three beat SPY. UK beat FTSE 100 by 8.81% annually, Hong Kong beat Hang Seng by 8.58%. Japan beat Nikkei by 4.43%. Most markets work vs local benchmarks. Only three beat SPY because SPY was exceptional (7.85% CAGR).
value investing
We backtested value-momentum on 17 exchanges over 25 years with local benchmarks. 12 of 17 beat their reference benchmark. India leads at 15.87% CAGR. Hong Kong has the highest alpha (+8.57% vs Hang Seng).
altman z-score
We tested the Altman Z-Score across 13 exchanges with local benchmarks. India +7.8% spread, South Africa +4.0%. UK +4.8% vs FTSE, Switzerland +4.6% vs SMI. The pattern maps onto where distress destroys equity value and where local benchmarks are weak enough that safe stocks outperform.
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 12 of 14 exchanges. China leads at +7.1% over the SSE Composite, India +5.8% over the Sensex. US and Germany trail.
global stocks
D/E reduction + ROE > 8% tested on 13 exchanges from 2000-2025. 10 of 13 beat local benchmarks: Sweden +4.41% vs OMX, UK +3.93% vs FTSE, India +3.85% vs Sensex. The US only matches SPY (-0.22%). The edge lives where information moves slowly.
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).
cash conversion cycle
We ran the same CCC backtest across 13 global exchanges. Five showed positive spreads, six negative. Unlike Altman Z-Score, there's no clean geographic pattern. CCC is a sector proxy, not a quality signal. Hong Kong +5.8%, Canada +3.2%, Korea -6.3%. Full comparison with methodology.
dividend investing
We backtested a high dividend yield quality screen across 13 global exchanges from 2000-2025. 11 of 13 exchanges beat their local benchmark. Hong Kong, UK, and Sweden show the largest excess returns. India and Korea underperform due to high cash periods.