altman z-score
We backtested the Altman Z-Score on NSE stocks from 2000 to 2025. Safe-zone stocks returned 10.6% CAGR vs the Sensex at 11.5%. Distress-zone stocks returned just 3.1%. The +7.6% spread is one of the widest across any exchange tested. In India, distress destroys capital.
altman z-score
Altman Z-Score on SAO exchange stocks from 2000 to 2025. Safe zone: 11.1% CAGR. Distress zone: 4.7% CAGR. The all-ex-distress portfolio returned 13.1% CAGR, 4.5% above Bovespa. High interest rates make distress more punishing in Brazil.
roic
Sustained ROIC on SHH+SHZ from 2000 to 2025. 4.54% CAGR vs 7.30% SPY benchmark. Quality spread still works (+1.67% vs low ROIC) but state influence and retail sentiment dilute the signal.
roic
Sustained ROIC on HKSE from 2000 to 2025. -0.48% CAGR vs 7.30% SPY. Negative absolute returns, but the persistence premium (+1.76%) still separates sustained from single-year ROIC.
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.
margin expansion
We tested margin expansion as a stock signal across all US exchanges from 2000 to 2025. The surprise: stable margins (9.72% CAGR) beat expanding (6.12%) and contracting (5.29%). $10,000 in stable-margin stocks grew to $101,587 vs $44,188 for expanding margins.
margin expansion
We tested margin expansion on BSE and NSE from 2000 to 2025. Contracting margins returned 17.65% CAGR vs 3.41% for expanding. The quality signal runs backward in India. Cyclical sectors and growth dynamics flip the expected relationship.
margin expansion
We tested margin expansion on LSE stocks from 2000 to 2025. Expanding margins returned 7.49% CAGR vs 5.07% for contracting, a +2.42% annual spread. The signal was negative in 2000-09 but strengthened to +5.6% by 2020-25. Beta 0.918, alpha +0.50%. Zero cash periods across all portfolios.
value investing
We screened NYSE, NASDAQ, and AMEX for D/E < 0.5 and Piotroski F-Score >= 7, then held the portfolio annually for 25 years. The result: 7.20% CAGR vs 7.85% for SPY, with max drawdown of -32.32% vs -38.01%. Lower return, but meaningfully better downside protection.
ROIC
Sustained high ROIC on LSE stocks from 2000 to 2025. 7.62% CAGR vs 7.30% SPY. Borderline alpha (+0.32%), but the quality spread is real: sustained beats low ROIC by 2.74% annually. Down capture of 74.9%.
ROIC
Sustained high ROIC on XETRA stocks from 2000 to 2025. 7.08% CAGR vs 7.30% SPY. No alpha, but the best max drawdown (-31.4%) and lowest volatility (20.37%) of any exchange tested. Quality as risk reducer, not return booster.
ROIC
Sustained high ROIC on BSE+NSE from 2000 to 2025. 15.55% CAGR vs 7.30% SPY. India is the only market where persistence alpha (+4.98%) is positive. The trade-off: 52% volatility and -56.9% max drawdown.