Quality, Value And Momentum In North America +962% Over 13 Years

Quality, Value And Momentum In North America +962% Over 13 Years by Tim du Toit, Quant Investing

On 1 November 2014 in an article with the title Quality, value, momentum – the best strategy you have never heard of, I told you about an investment strategy that contains the best ideas from our 2012 research paper Quantitative Value Investing in Europe: What works for achieving alpha as well as all the research we have done up till nearly the end of 2014.

In the article we tested the strategy only in Europe and a lot of readers asked if the strategy worked as well in North America.

We ran the back test again on North American companies and...