Table of Contents
Catching the 2011 Bounce.......................................................3
The Style Environment.............................................................4
Part 1 Composite Factors ........................................................6
Part 2 Price Momentum Factors............................................12
Part 3 Earnings Momentum Factors .....................................18
Part 4 Value Factors...............................................................25
Part 5 Quality Factors ............................................................33
Part 6 Risk Factors.................................................................39
Part 7 J.P. Morgan Quant Services – Back-Testing.............50
Viewing the Results................................................................53
Universe & Factor Construction............................................57