Here are the main points of the two-factors tests:

• All two-factor strategies we tested substantially outperformed the market, with even the worst-performing strategy returning 114.4% over 12 years compared with 30.54% of the market portfolio.
• Price momentum, both 6-month price index and 12-month price index played a substantial part in all 10 of the best performing two-factor strategies.
• The three best-performing strategies that all generated returns of more than 1000%, all either as first or second factors, contained the highest 6-month price index as a factor.
• A low price-to-book value was also a very important factor as it formed part, either as a first or second factor, in three out of four of the best-performing two-factor strategies.

If you only looked at the first quintile of all two-factor strategies we tested, these were the five best and worse strategies:

Best Strategies: