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Best quantitative investment strategies we have tested

 

Below is a list of the most profitable quantitative investment 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 and back testing since then.

Easy to implement

Don't worry if some investment strategies look complicated, they are all easy to implement with the Quant Investing stock screener. In most cases we have already saved the screen so you can use it with a few mouse clicks.

If you have a question, help is just an email away.

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

All these quantitative investment strategies have great returns BUT your goal here is not to choose the investment strategy with the highest return.

Your goal is to choose the investment strategy that matches your investment style. This will also be the strategy you feel most comfortable with and lets you to sleep well.

Read this article first

This article helps you find the best investment strategy for you: How to find your best investment strategy – not the one you expect

Back test your own quantitative strategy

You can also back test your own quantitative investment strategy, this article shows you how: How to back test your investment strategy

 

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Strategy Summary Period Return Index
 
Qi Value Investment Strategy When we tested the Qi Value investment strategy (and I started using it in my own portfolio) I honestly did not think it would work this well. Over the 16 years from May 2001 to June 2017 across markets worldwide and it returned an astounding 710.7%! Apr 2001 -
Jun 2017		 +13.8% pa +710.7% 16yrs +1.9% pa +35.1% 16yrs
OShaughnessy trending value investment strategy The Trending Value investment strategy was developed by James O’Shaughnessy’s and explained in his excellent book What Works on Wall Street: The Classic Guide to the Best-Performing Investment Strategies of All Time. Dec 1963 -
Dec 2009		 +21.2% pa over 45yrs +11.2% pa over 45yrs
Quality Adjusted Value Microcap Investment Strategy - OShaughnessy This article explains a long only Quality adjusted Value microcap investment strategy, developed and tested by O’Shaughnessy asset management, that returned 20.3% annually over 34 years – It also shows you exactly how (step by step) to implement it in your portfolio. Dec 1981 -
Dec 2016		 +20.3% pa 34yrs +8.9% pa 34yrs
Free cash flow yield and Price Index 12 months investment strategy This article shows you the back test results of a high Free Cash Flow yield and Price Index 12 months momentum investment strategy and exactly how (step by step) to implement it in your portfolio. Jun 1999 -
Jun 2011		 +19.6% pa +755.0% 12yrs +2.3% pa +30.5% 12yrs
Price Index 6 month and Price to Book investment strategy To implement this investment strategy first select the 20% of companies with the largest 6 month share price increase (momentum) and then from these companies buy those with the lowest Price to Book ratio May 1999 -
Jun 2011		 +23.5% pa +1157.5% 12yr +2.25% pa
Neglected, Value and Momentum - Europe Since I wrote to you that 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 complicated the idea is very simple and easy to implement. Jun 2001 -
Aug 2014		 +22.7% pa +1374.2% 13.16yrs +3.5% pa
Price to Book and Price Index 6m momentum First select the 20% of companies with the lowest Price to Book ratio and then, from this list, select the companies with the biggest 6 month share price increase - momentum May 1999 -
Jun 2011		 +22.4% pa +1029.4% 12yr +2.25% p.a.
Quality, Value and Momentum Investment Strategy - 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 Momentum & Earnings Yield investment strategy First select the 20% of companies with the highest Earnings Yield (EBIT / Enterprise Value), then from these companies select those with the largest share price increase over 6 months, the best 6 month momentum. May 1999 -
May 2011		 +22.1% pa +1002.4% 12yr +2.25% pa
Price to Book & Price Index 12m investment strategy 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 Jun 1999 -
Jun 2011		 +22.0% pa +987.3% 12yr +2.25% p.a.
Quality Value Momentum investment strategy - North America The Quality Value Momentum (QVM) investment strategy is made up from the best ideas from our research paper Quantitative Value Investing in Europe: What works for achieving alpha as well as all the research we have done since then. Jun 2001 -
Aug 2014		 +19.7% pa +962.4% 10yr +7.9% pa +169.0% 10yr
Magic Formula investing & Price Index 6m momentum investment strategy First select the 20% best ranked Magic Formula investing companies (most undervalued) then, from these companies, buy those with the highest 6 months Price Index (PI) or six month momentum. May 1999 -
May 2011		 +19.9% pa +783.3% 12yr +2.25% pa
Free Cash Flow Yield and 5 year average Free Cash Flow Yield investment strategy In article shows you the back tested returns of a high free cash flow yield investment strategy. We tested both the highest free cash flow yield companies (trailing 12 months) and companies with the highest five year average free cash flow yield. May 1999 -
May 2011		 +19.6% pa +755.0% 12yr +2.25% pa
ERP5 & Price Index 6m investment strategy To implement this ERP5, momentum investment strategy - First select the 20% most undervalued companies using the ERP5 indicator, then from these companies select those with the highest 6 month stock price momentum. May 1999 -
May 2011		 +19.3% pa +732.1% 12yr +2.25% pa
Price to Book & Piotroski F-Score investment strategy To implement this investment strategy first select the 20% lowest Price to Book (PB), most undervalued companies then, from this list, select those with the highest (best) Piotroski F-Score. May 1999 -
May 2011		 +18.7% pa +685.2% 12yr +2.25% pa