FCF growth
We backtested FCF growth stocks across NYSE, NASDAQ, AMEX from 2000 to 2025. The strategy absorbs crashes at about half the rate of SPY (51.3% down capture) but trails on absolute return (6.57% vs 7.85% CAGR). Honest results from a 25-year run.
DCF
We added ROE, D/E, and OCF quality filters to a Gordon Growth DCF screen and tested it on 25 years of US stocks. The result was 11.25% CAGR vs 7.64% SPY, 3.60% annual excess return, and 38% down capture — the strategy captures only 38 cents of every dollar the market loses.
momentum investing
Quality + momentum on Stockholm Stock Exchange from 2003 to 2025. 9.76% CAGR vs 7.75% SPY. 2.01% annual alpha with strong momentum capture in bull markets.
momentum investing
We combined quality filters (ROE>15%, low debt, positive cash flow) with 12-month price momentum to screen US stocks from 2000 to 2025. The strategy returned 8.27% annually vs 7.75% for the S&P 500 — with 0% cash periods but 106.7% down capture.
momentum investing
Quality + momentum on BSE+NSE from 2004 to 2025. 19.03% CAGR vs 7.75% SPY benchmark. 11.29% annual alpha, 64.4% down capture.
momentum investing
Quality + momentum on Johannesburg Stock Exchange from 2005 to 2025. 11.36% CAGR vs 7.75% SPY. The quality filter eliminates most commodity and mining stocks, leaving a concentrated portfolio of SA's financially sound companies.
momentum investing
We backtested quality + momentum on 17 exchanges worldwide. India leads at 19% CAGR. South Africa surprises with 16.2% down capture. Most developed markets underperform the S&P 500 — momentum adds return but crashes harder in downturns.
quality investing
D/E < 0.5 and Piotroski F-Score >= 7 on JPX stocks across 25 years. 5.96% CAGR vs 3.31% Nikkei 225. +2.64% excess with 52.25% down capture. 116 avg qualifying stocks. Abenomics drove +48.2% in 2012 and +39.9% in 2014.
quality investing
D/E < 0.5 and Piotroski F-Score >= 7 on LSE stocks across 25 years. 6.91% CAGR vs 1.23% FTSE 100. +5.69% excess with 55.66% down capture. 2016 Brexit rally was the standout. 0 cash periods, 55 avg stocks.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 on Chinese A-shares (SHH + SHZ), backtested 2000-2025. 5.39% CAGR vs 2.43% SSE Composite. +2.96% excess with 75.14% down capture. Two bubble events: +111.7% in 2006 and +74.9% in 2014. Volatility of 32.44% and max drawdown of -56.69%.
quality investing
We screened XETRA-listed German equities for D/E < 0.5 and Piotroski F-Score >= 7 across 25 years. Result: 6.62% CAGR vs 5.04% for the DAX. +1.58% excess with 47.95% down capture. 0 cash periods, 42 avg stocks.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 across the TSX returned 9.80% CAGR vs 3.95% for TSX Composite (+5.85% excess) over 25 years, with a 9.32% down capture, the lowest in the study. When the Canadian market fell, this portfolio barely moved.