An interesting out of sample test on return drivers in the Vietnamese market from 2006 to 2014. Not surprisingly, value and momentum show some mojo — Liquidity as well…size, not so much. But size only matters if you control your junk, apparently.
This is in line with our own research and the research of many others:
The purpose of this paper is to understand the linkages between excess returns and four investment strategies – value, momentum, size, and liquidity – for the Vietnam stock market during the period 2006-2014. The empirical results suggest that a value strategy, such as the E/P and B/P ratios, and momentum and liquidity strategies are the most successful and generate significant excess returns, in contrast to the size strategy, which does not work in the Vietnam stock market. Therefore, investors who want to make a profit when investing in the Vietnam stock market should track published financial information and find winner stocks by referring to value, momentum, and liquidity strategies.
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016).
Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.
Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. There is a risk of substantial loss associated with trading stocks, commodities, futures, options and other financial instruments. Full disclosures here.