Hong Kong stocks
We backtested sector-relative EV/EBITDA on 22 years of Hong Kong stocks (HKSE). 3.08% CAGR vs 0.49% Hang Seng, +2.59% excess. Strip out the three cash years that dodged a 46% index fall and the edge drops to +0.09% a year. Sharpe 0.003, max drawdown -57.04%.
NCAV
Graham net-net backtest on Hong Kong stocks (2001-2024). -0.26% CAGR vs Hang Seng's +2.53% (-2.80% deficit). Pre-2015: powerful recoveries. Post-2015: structural collapse alongside Hong Kong's market decline.
free cash flow
We screened for high FCF yield on Hong Kong Stock Exchange stocks from 2000 to 2025. 5.31% CAGR, +3.67% excess over Hang Seng. The screen beats a near-flat local index, but with a Sharpe of 0.119 and no crisis protection: in 2008 it fell 16.9% against a 16.2% index decline.
sector rotation
Sector mean reversion on HKSE large caps from 2000 to 2025: 6.87% CAGR vs 1.61% for the Hang Seng, a +5.26% annual outperformance. 2009 was +77.76%, 2008 was -47.51%. Sharpe 0.148 against a Hang Seng that scored negative at -0.065. Extreme year-to-year variance.
P/E compression
P/E compression on Hong Kong stocks returns -0.69% CAGR vs 0.49% for the Hang Seng. Both the strategy and the local market failed to deliver real returns over 25 years. Down-capture is 97% and up-capture 95%, so the strategy offers no protection the index doesn't.
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.
quality investing
Hong Kong FCF conversion quality returned 6.0% CAGR vs 1.64% for the Hang Seng over 25 years. +4.36% annual excess. 68% win rate. The alpha comes from stock selection, not crash protection: down capture is 70%.
dividend investing
A 5-factor dividend sustainability score backtested on HKSE from 2000-2025. 6.64% CAGR, +5.00% annual excess over the Hang Seng Index, 56% win rate. The screen consistently beat Hong Kong's own market over 25 years.
dividend investing
We backtested a high dividend yield screen with quality filters on Hong Kong stocks (HKSE) from 2000-2025. 8.97% CAGR with +8.48% annual excess over Hang Seng, the strongest outperformance of any exchange tested.
value investing
Low P/E with quality filters returned 14.4% annually on HKSE-listed stocks from 2000-2025. That's +12.6% over the Hang Seng Index (1.8% CAGR). The catch: 38.5% volatility, -59% max drawdown, and a 2024-2025 spike that needs an asterisk.
value investing
QARP returned 4.02% annually on Hong Kong stocks, beating the Hang Seng's 1.31% by +2.71% per year. The absolute returns are modest, but the quality screen adds real alpha over the local market.