Single factor Strategies

Using only one factor, we tested the following:

  1. Value factors (earnings yield, free cash flow yield, price-to-book ratio and price-to-sales),
  2. Quality factors (Piotroski F-score, ROIC, ROA, net debt ratio), and
  3. Momentum factors (price Index/relative strength).

We also tested two investment strategies; the MF strategy developed by Joel Greenblatt and explained in his book, ‘The Little Book that Still Beats the Market’ and the ERP5 strategy developed by MFIE Capital.

Our goal was to look at each factor and determine if it is a strong or a weak contributor to generating market-beating returns.