In comparison with the USA, there have been relatively few studies conducted on what works in investing in the European stock markets. With this paper, we would like to make a contribution and examine what factors led to excess returns in the European markets over the 12 years from 13 June 1999 to 13 June 2011. The factors we tested were:

• Earnings yield
• Free cash flow yield
• Price-to-book
• Price-to-sales
• Piotroski F-score
• Return on invested capital (ROIC)
• Return on assets (ROA)
• Net debt on Market Cap
• Relative strength / price index

We didn't only test the historical value of the factors, but where it made sense, we also tested the 5-year average to see if it is a better indicator of generating market outperformance. When we found a factor that showed strong out-performance, we tested it together with other factors to see if two factors generated even more market outperformance. In addition, we also tested two investment strategies, the Magic Formula and the ERP5 strategy for their ability to outperform the market. What we found mostly confirmed what other research studies found, but a few results were astounding.