In some of the previous combination strategies, the 6-month price index was among the best second factors. In this combination would like to determine if it is also a good first factor to use. We thus selected the 20% of companies with a higher 6-month price index and used only these companies when we made up the portfolios for the second-factor tests.
It turns out that using the 6-month price index as a first factor gives you a very satisfactory return. On average, across all 14 secondary factors we tested, the best quintile would have given you an average return of 566% (median was 610%). The best-performing strategy was combining the 6-months price index with the lowest price-to-book companies. If you did this to select investments, your return over the past 12 years would have been 1157.5%.
The worst-performing strategy combination would have been combining the best 6-month price index companies by the same factor again. This would have given you a return of only 122.1%.