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Systematically identify great investment opportunities

Canadian Equity 20-Year Annualized Returns by Decile (%)

Each bar is a decile of the universe. Buy stocks ranked above 90. Sell stocks ranked below 70.

We only consider factors with the following characteristics

Premium

It must have delivered a premium (higher returns) within its universe.

Robust

The explanatory power of returns increases after each decile.

Persistent

It performs across long periods of time, at least two full business cycles.

Consistent

The relationship with the hypothesis is as linear/non-linear as possible.

Intuitive

There are logical or behavioral explanations for its premium.

Investable

It still makes sense after considering trading and implementation costs.

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