cash conversion cycle
We backtested CCC on Indian equities from 2000 to 2025. Low-CCC companies returned 8.6% CAGR vs 7.3% for high CCC, a +1.3% spread. Weak signal dominated by IT services sector bias. Sharpe of 0.085 and -57.3% drawdown make it impractical as a standalone strategy.
cash conversion cycle
CCC produced the best spread of any developed market on the TSX. Low-CCC companies returned 7.1% CAGR vs 3.9% for high CCC, a +3.2% spread. Best Sharpe (0.210) and lowest drawdown (-36.5%) of any CCC portfolio tested. The resource-heavy TSX creates real working capital differentiation.
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.
altman z-score
We backtested the Altman Z-Score on US stocks from 2000 to 2025. Safe-zone companies (Z > 2.99) returned 4.3% annually vs 7.3% for the S&P 500. Distress-zone stocks actually outperformed safe ones. The Z-Score predicts bankruptcy, not stock returns.
quality investing
We ran the same FCF Conversion screen on 16 exchanges from 2000-2025 with MOC execution and local benchmarks. 12 of 16 beat their local index. Top alpha in UK (+7.42% vs FTSE), Switzerland (+6.35% vs SMI), India (+6.13% vs Sensex).
quality investing
We ran our FCF Conversion screen on JPX-listed stocks from 2000-2025. 4.89% CAGR in JPY, beating the Nikkei 225 (3.31%) by 1.58% annually. 52% win rate, 51% down capture. $10K grew to ~$33K vs ~$23K for the Nikkei.
quality investing
We ran our FCF Conversion screen on TWSE stocks from 2000-2025. 3.69% CAGR in TWD, trailing the TAIEX (4.09%) by just 0.39%. Max drawdown of -22.6% is the shallowest of any exchange. Similar returns to the index with significantly lower risk, but 7 cash periods drag performance.
quality investing
We ran our FCF Conversion screen on SET stocks from 2000-2025. 3.30% CAGR in THB, trailing the SET Index (5.13%) by 1.83%. 40% win rate, 80.54% down capture. $10K grew to ~$23K vs ~$35K for the index. The signal doesn't work well here.
piotroski
We ran the Piotroski F-Score on US value stocks from 1997 to 2024. Score 8-9 returned 6.1% vs 9.4% for SPY. Selection alpha is -1.6% per year. Avoidance alpha is +2.8%. The F-Score works as a floor (skip Score 0-2) but not as a ceiling in large-cap US.
quality investing
FCF Conversion on SAO stocks returned 10.73% CAGR from 2000-2025, beating the Bovespa (8.70%) by 2.03%. Negative down capture (-13.54%) means the portfolio gained when the index fell. $10K grew to ~$128K vs ~$82K for the Bovespa.
quality investing
FCF Conversion on TSX stocks returned 9.54% CAGR from 2000-2025 vs the TSX Composite's 3.95%. 76% win rate, the highest of any exchange. $10K grew to $98K vs $26K for the index.
quality investing
FCF Conversion on LSE stocks returned 8.64% CAGR from 2000-2025, beating the FTSE 100 (1.23%) by 7.42% annually. 84% win rate, 18% down capture. The strongest relative performer in our global analysis.