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ABSTRACT
Single factor results
Two-factor results
INTRODUCTION
The problem of our emotions and the influence on our investments returns
METHODOLOGY
The backtest universe and benchmark
Holding periods and quintile tests
Strategies – single factor
Combining the strategies – multiple factors
RESULTS – SINGLE FACTOR ANALYSIS – VALUATION FACTORS
Earnings Yield (EY)
Price-to-Book
Price-to-Sales
Free Cash Flow Yield
RESULTS – SINGLE FACTOR ANALYSIS – FUNDAMENTAL FACTORS
Return on invested capital (ROIC)
Return on Assets (ROA)
Piotroski F-Score
Net Debt on Market Value
RESULTS – SINGLE FACTOR ANALYSIS – MOMENTUM FACTORS
Relative Strength / Price Index
RESULTS – SINGLE FACTOR ANALYSIS – HYBRID FACTORS
MF Rank
ERP5 Rank
SUMMARY OF SINGLE FACTOR TESTS
COMBINING MULTIPLE FACTORS
Combinations with Earnings Yield as primary factor
Combinations with price-to-book ratio as primary factor
Combinations with the 12-month free cash flow as primary factor
Combinations with the price-to-sales ratio as primary factor
Combinations with the Piotroski F-score as primary factor
Combinations with the 12-month price index as primary factor
Combinations with the 6-month price index as primary factor
Combinations with the MF rank as primary factor
Combinations with the ERP5 rank as primary factor
SUMMARY OF THE TWO-FACTOR TESTS
CONCLUSION
Value, momentum and changes in fundamentals (F-score)
REFERENCES
APPENDIX 1: PIOTROSKI F-SCORE CALCULATION
ABOUT THE AUTHORS
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