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
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.
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
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.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 across the TSX returned 9.21% CAGR vs 3.95% for TSX Composite (+5.26% excess) over 25 years — with 29.11% down capture. When the Canadian market fell, this portfolio fell far less.
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 75.04% down capture. Two bubble events: +111.2% in 2006 and +83.8% in 2014. Volatility of 33.24% and max drawdown of -56.24%.
quality investing
We screened XETRA-listed German equities for D/E < 0.5 and Piotroski F-Score >= 7 across 25 years. Result: 6.39% CAGR vs 5.04% for the DAX. +1.35% excess with 51.08% down capture. 0 cash periods, 48 avg stocks.
quality investing
D/E < 0.5 + Piotroski F-Score >= 7 on HKSE-listed stocks, backtested 2000-2025. 3.84% CAGR vs 1.64% Hang Seng. The strategy beat the local benchmark by 2.20% annually, with max drawdown of -35.04% vs -40.45%. Down capture of 86.84% provided meaningful protection through Hong Kong's volatile...
value investing
D/E < 0.5 + Piotroski F-Score >= 7 on NSE, backtested 2000-2025. 13.78% CAGR vs Sensex 12.06%, +1.72% annual excess. Max drawdown -16.61% vs Sensex -32.20%. India delivers sustained alpha with half the drawdown.
quality investing
D/E < 0.5 and Piotroski F-Score >= 7 on JPX stocks across 25 years. 6.09% CAGR vs 3.31% Nikkei 225. +2.78% excess with 52.30% down capture. 114 avg qualifying stocks. Abenomics drove +47.4% in 2012 and +38.9% in 2014.