![]() If you invested $100 in each of the funds and and the quantitative value strategies this is the amount you would have had at the end of the 10 years. So how did the value funds perform against the quantitative value strategies? Investing in US companies onlyĪll funds and quantitative value strategies sorted by average returnsĪs you can see the best quantitative value strategy outperformed the best US value fund by an average of 4.8% per year for 10 years.Įven the worse performing quantitative value strategy on average did 2.4% (per year for 10 years) better than the best performing US value fund.Ĭall me conservative but this is substantial!Īll funds and quantitative value strategies sorted by 10 year compound returns These are all investment strategies you can easily implement with the Quant Investing stock screener.Ĭlick here to get the best quant value strategies working for you * You can read more about the Value Composite One in the Glossary and this article: This combined valuation ranking gives you higher returns - Value Composite One Best ranked Value Composite One* value companies combined with best six months share price momentum Best ranked Value Composite One* value companiesĤ. Cheapest Earnings Yield combined with best six months share price momentumģ. Cheapest Earnings Yield (earnings before interest and taxes (EBIT) / Enterprise value)Ģ. The quantitative value investment strategies we tested were:ġ. The quantitative value investing strategies Should a company have gone bankrupt or delisted returns were calculated using the last stock exchange price of the company before it was delisted.Įach year we selected 50 companies for each strategy that comply with the above guidelines.Īfter one year all the investments were sold and this amount (including dividends) was re-invested in a further 50 quantitative value investment ideas. This is done to ensure that the strategies do not only select from companies that have survived the past 10 years. When implementing the quantitative value strategies we included companies in the investment universe that have gone bankrupt or re-organised in the past 10 years. We also made provision for bid ask spreads deducting 0.5% from the yearly returns. I chose a few, easy to implement, qualitative value investing strategies.įrom the website I got the ten-year returns (2004 to 2013) of the best US based value investing funds that invest only in the USA as well as globally.įor the quantitative value investing strategies I looked for companies with a market value of more than $1 billion and with median liquidity of € 0.25 million per day.įor the US only funds we only selecting companies with a primary listing in the USA.įor global value investment funds we looked at companies in Western Europe, the UK, Switzerland and Scandinavia.įrom the return generated by the qualitative value investment strategies we deducted 1% for dealing costs for buying and selling (this is conservative as most investment funds can deal buy and sell investments for a lot less, most likely under 0.5%). What Works on Wall Street by James O'Shaughnessy and Quantitative Value: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors by Westley Gray and Tobias Carlisle.īased on these great books and our research from the research paper I wrote with a friend called Quantitative Value Investing In Europe: What Works for Achieving Alpha. You can easily find a lot of really good quantitative value investing strategies in the best quantitative investing books. The best way to test this is to compare the top value investment funds to a few simple quantitative value investing strategies. With all these different ways you can apply value investing how do you know if you (or your value fund manager) is doing as well as you could, even if you are outperforming the market? For example some value investors look at price to book ratios, others to price to earnings others use free cash flow. Value investing can be implemented in a number of ways. What to compare value investing returns to? Even thought it sometimes underperforms the market for long periods of time. If you have studied investing for any length of time I'm sure you are also convinced that, over long periods of time, value investing is the best investment strategy. Can a simple quantitative value strategy (using just one simple ratio) outperform the worlds best value investment funds?
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