The Secret to Momentum is the 52-Week High???
The 52-Week High and Momentum Investing Thomas J. George and Chuan-Yang Hwang A version of the paper can be found here. Want a summary of academic [...]
Quantitative Value Research: Long-term P/E Ratio
The Long-Term Price-Earnings Ratio Anderson and Brooks A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Mind the Gap: A Way to Enhance Momentum Profits
The Momentum Gap and Return Predictability Simon Huang A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Face-ripping Drawdowns and the Magic Formula
Due to a surge of interest from our "Long Cheap; Short Expensive. Buyer Beware" post, we decided to analyze the impact of changing the net exposure of the Magic [...]
Quantitative Value Research: Weighted P/E Bracket
Decomposing the Price-Earning Ratio Anderson and Brooks A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Quantitative Value Research: A Summary of Various Value Metrics!
Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years Gray and Vogel A version of the paper can be found here and here. Want a [...]
Digging into the Enterprise Multiple Value Factor
New Evidence on the Relation Between the Enterprise Multiple and Average Stock Returns Loughran and Wellman A version of the paper can be found here. (Also described [...]
Value investing backtests: Our analysis of 13 AAII Value Strategies
Having spent 15+ years conducting value investing backtests to find the holy grail of systematic value investing, I sometimes wonder the following: Is there any [...]
Quantitative Value Research: Cyclically-adjusted B/M (CA-BM) Factor
On the Performance of Cyclically Adjusted Valuation Measures Gray and Vogel A version of the paper can be found here. Want a summary of academic papers [...]
The Fascinating Relationship Between Low Volatility and Value
A week ago, we posted an article that presented simulation performances of low-volatility strategies. The results illustrated that low-volatility portfolios do have higher returns and lower risks than [...]
Low-Volatility Investing: Avoid High Beta Stocks. Period.
We've posted simulation and research-based studies on value and momentum. The evidence was pretty clear: never buy expensive stocks (Value) and ride winners and cut [...]
The Quantitative Value Investing Philosophy
Benjamin Graham, who first established the idea of purchasing stocks at a discount to their intrinsic value more than 80 years ago, is known today as the father of value investing. Since Graham’s time, academic research has shown that low price to fundamentals stocks have historically outperformed the market. In the investing world, Graham’s most famous student, Warren Buffett, has inspired legions of investors to adopt the value philosophy. Despite the widespread knowledge that value investing generates higher returns over the long-haul, value-based strategies continue to outperform the market. How is this possible? The answer relates to a fundamental truth: human beings behave irrationally. We are influenced by an evolutionary history that preserved traits fitted for keeping us alive in the jungle, not for optimizing our portfolio decision-making ability. While we will never eliminate our subconscious biases, we can minimize their effects by employing quantitative tools.
How to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha
We've had a few questions related to 3-Factor Fama-French and 1-Factor (CAPM) alpha calculations recently (maybe it is midterm season?). Here is a deeper dive [...]
Quantitative Value Research: E/P or Size Effect?
Earnings Yields, Market Values, and Stock Returns Jaffe, Keim and Westerfield A version of the paper can be found here. Want a summary of academic papers [...]
Quantitative Value Research: Cyclically-adjusted P/E (CAPE) Factor
Stock Prices, Earnings, and Expected Dividends Campbell and Shiller A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Quantitative Value Research: Low P/E
For the next 30-60 days we'll be posting a recap research report on classic research related to quantitative value investing. This is the first part of the [...]
Mixing Momentum and Value: A Winning Combination?
Combining Value and Momentum Fisher, Shah and Titman (2014) A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Valuation Spreads Over Time: A Unique Market Timing Signal?
The blogosphere is spammed with commentary related to the current high market valuations and the inevitable crash that "must" ensue. We've even been involved in [...]
A Surprising Way to time Value and Momentum: Updated Analysis
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns K Oversby A version of the paper can be found here. Want a summary of academic papers with [...]
Interesting Tactical Asset Allocation Tool: Value portfolios
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns Kevin Oversby A version of the paper can be found here. Want a summary of academic papers with [...]