income quality
Income quality tested on HKSE from 2003 to 2025. High IQ returned 4.9% CAGR. Low IQ lost money at -3.5% CAGR. The +8.4% spread is the second strongest globally, driven entirely by how badly accrual-heavy stocks perform.
income quality
Income quality tested on XETRA from 2003 to 2025. High IQ returned 7.0% CAGR with a +4.1% spread over low IQ stocks. The signal works as a risk filter, not a return amplifier. Down capture 85.2%, beta 0.892.
income quality
Income quality tested on TSX+TSXV from 2003 to 2025. High IQ returned 9.2% CAGR with 45.0% down capture, the best risk profile of any non-US market. Sharpe 0.305, max drawdown -31.1%, +5.0% spread over low IQ stocks.
income quality
Income quality tested on SHH+SHZ from 2003 to 2025. High IQ returned 4.8% CAGR vs 1.3% for Low IQ, a +3.5% spread. Absolute returns trail SPY, but beta of 0.405 makes it the most uncorrelated income quality portfolio globally.
income quality
We tested income quality (OCF/NI) on BSE+NSE from 2003 to 2025. High IQ returned 10.6% CAGR vs 11.0% for Low IQ. The spread is -0.4%, essentially zero. India is the only market where this signal doesn't work.
income quality
We tested the Sloan accrual anomaly on US stocks from 2000 to 2025. Companies generating 20%+ more cash than reported profit returned 8.5% annually vs 3.74% for accrual-heavy stocks. The 4.76% annual spread has survived 30 years of academic scrutiny.
income quality
We tested income quality (OCF/NI) on 25 years of Stockholm exchange data. High IQ returned 8.7% CAGR, beating medium (3.8%) and low (4.2%). Clean monotonic ranking, +4.5% spread. But 130% down capture and 1.057 beta mean higher volatility than SPY.
income quality
We tested income quality (OCF/NI) on 25 years of KSC data. The medium quality basket (7.1% CAGR) beat the high quality basket (5.5%). The signal works as a filter against low quality (1.4% CAGR) but the top tier underperforms, likely due to chaebol cash flow structures.
income quality
We tested income quality (OCF/NI) on 25 years of SAO data. High IQ returned 12.5% CAGR with a 72% win rate vs SPY and 44.6% down capture. But medium IQ (17.4%) beat high IQ by 5% per year. The spread vs low quality is +8.1%. Cash conversion matters in Brazil, just not the way you'd expect.
income quality
We tested income quality (OCF/NI) on 25 years of JSE data. High IQ returned 16.6% CAGR with +8.91% alpha. Low IQ lost 5.6% per year. The 22.1% spread is the widest globally. But the high IQ basket averaged just 10 stocks, so interpret with caution.
income quality
We tested income quality (OCF/NI) on 25 years of LSE data. The spread between high and low quality is just 0.5% per year. All three buckets returned nearly identical CAGRs. The UK market is too cash-generative for this signal to separate.