TP2400x272B

The best strategies we have tested

The table below shows the most profitable strategies we found in the 50 page research paper called Quantitative Value Investing in Europe: What Works for Achieving Alpha as well as all our research since then.

Easy to implement

Even though the strategies may look complicated at first don’t let that worry you, they are all easy to implement with the screener. And if you struggle remember help is just an email away.

Don’t choose the highest returns, rather find the right strategy for you

These are all strategies with very good returns and your goal here is not to choose the highest return strategy.

Your goal is to choose the strategy that matches your investment style. This will also be the strategy you feel most comfortable with and the one that will allow you to sleep comfortably at night.

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Strategy Summary Period Return Index
 
Price Index 6m & Price to Book First select the 20% of companies with the largest 6 month share price increase and then from these companies selects those with the lowest Price to Book ratio May 1999 -
May 2011
+23.5% pa +1157.5% 10yr +2.25% pa
Neglected, Value and Momentum - Europe Ever since I wrote to you about how illiquidity companies can increase your investment returns I have been looking forward to test this ratio in combination with the other best ratios and indicators we have tested. This is how we came up with the Neglected, Value and Momentum investment strategy. Even though it may seem really complicated at first the basic idea is very simple and easy to implement in your portfolio. Jun 2001 -
Aug 2014
+22.7% pa +1374.2% 13.16yrs +3.5% pa
Price to Book & Price Index 6m First select the 20% of companies with the lowest Price to Book ratio and then, from this list, select the companies with the highest 6 month share price increase May 1999 -
May 2010
+22.4% pa +1029.4% 10yr +2.25% p.a.
Quality, Value and Momentum - Europe The Quality Value Momentum (QVM) investment strategy that contains the best ideas from our 2012 research paper Quantitative Value Investing in Europe: What works for achieving alpha as well as all the research we have done up till the end of 2014 tested in the Eurozone, UK, Scandinavia and Switzerland. Jun 2001 -
Aug 2014
+21.1% pa +1141.8% 13yr +3.5% pa +57.2% 13yr
Price Index 6m & Earnings Yield First select the 20% of companies with the largest share price increase over 6 months, then from these companies select those with the highest Earnings Yield (EBIT / Enterprise Value) May 1999 -
May 2011
+22.1% pa +1002.4% 10yr +2.25% pa
Price to Book & Price Index 12m First select the 20% of companies with the lowest Price to Book ratio and then, from this list, select the companies with the highest 12 month share price increase May 1999 -
May 2010
+22.0% pa +987.3% 10yr +2.25% p.a.
Quality Value Momentum - North America The Quality Value Momentum (QVM) investment strategy contains the best ideas from our 2012 research paper Quantitative Value Investing in Europe: What works for achieving alpha as well as all the research we have done up till the end of 2014 tested in the USA and Canada Jun 2001 -
Aug 2014
+19.7% pa +962.4% 10yr +7.9% pa +169.0% 10yr
Magic Formula investing & Price Index 6m First select the 20% lowest ranked Magic Formula investing companies (most undervalued) then, from these companies, select those with the highest 6 months Price Index (PI) or share price momentum. May 1999 -
May 2011
+19.9% pa +783.3% 10yr +2.25% pa
Free Cash Flow Yield and 5 year average Free Cash Flow Yield In this strategy we tested the returns you could have generated if you invested in a strategy of buying the highest free cash flow yield companies (trailing 12 months) as well as companies with the highest five year average free cash flow yield. May 1999 -
May 2011
+19.6% pa +755.0% 10yr +2.25% pa
ERP5 & Price Index 6m First select the 20% most undervalued companies in terms of ERP5, then from these companies select those with the highest 6 month share price momentum. May 1999 -
May 2011
+19.3% pa +732.1% 10yr +2.25% pa
Price to Book & Piotroski F-Score First select the 20% lowest Price to Book (PB) value companies (most undervalued) then, from these companies, select those with the highest (best) Piotroski F-Score. May 1999 -
May 2011
+18.7% pa +685.2% 10yr +2.25% pa