Using “Quality” to Separate Good and Bad Value Stocks
Trying to avoid value traps.
Combining Value and Profitability Factors to Improve Performance
Prior Research on Value and Profitability Factors The 1997 publication of Mark Carhart’s paper “On Persistence in Mutual Fund Performance” led to the four-factor model, which added momentum to market beta, size, and value, becoming [...]
Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.
Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful [...]
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
Can We Use the Shiller CAPE Ratio to Forecast Country Returns?
Utilizing an Amended CAPE Ratio to Derive a Country's Expected Return and Develop Portfolio Rotation Between Countries Sailesh S. RadhaJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]
Even Great Investments Experience Massive Drawdowns
Editor's Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through March 2020, in terms of total returns, the Russell 3000 [...]
Value Investing: An Examination of the 1,000 Largest Firms
Among stock investors, a common strategy/belief held is Value investing -- buying stocks that are relative cheaper on price/fundamental ratios. The idea behind why value investing works is that Value stocks are either (1) riskier [...]
Is Systematic Value Dead???
Value investing is the age-old investment strategy that buys securities that appear cheap relative to some fundamental anchor. Ronen Israel, Kristoffer Laursen, Scott A. Richardson in "Is (Systematic) Value Investing Dead" There is a large [...]
What is Impact Investing?
Impact Investing 2.0: Not Just for Do-Gooders Anymore Diana LiebermanThe Journal of Investing, Winter 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
Diversifying Your Value Portfolio? Quality Works, but Have You Heard of Momentum?
What if your portfolio was only based on one idea? Something like “stocks always go up” or “value always beats growth.” You may be learning a humbling lesson right now that Mr. Market has taught [...]
Excess Returns Podcast: Systematic Value Investing (Wes)
Recently I was invited to talk with Justin and Jack on the Excess Returns Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: Struggles in [...]
Do Interest Rates Explain Value’s Underperformance?
From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks experienced a drawdown of 42 percent. The team at Buckingham [...]
How I Explain Crappy Returns
Diversification. It looks great on paper, but for the past ten years, being globally and “Factor” diversified has been anything but great. Understandably, many diversified investors are looking at their returns and wondering why they [...]
Is value dead? Has the story changed? No.
Is (systematic) Value Investing Dead? Ronen Israel, Kristoffer Laursen and Scott RichardsonWorking Paper, published at aqr.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
Compound Your Knowledge Ep 29: What’s the Story Behind EBIT/TEV?
This week we discuss Ryan's article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm's Total Enterprise Value (TEV). Article Links: What's the Story Behind EBIT/TEV [...]
Absolute Value Versus Relative Value: A Quick Note on the Value Debate
We've saw a spike in questions the last few days related to the various "value is really cheap posts" coming into the mainstream. This conversation was elevated after Cliff Asness posted the best piece of [...]
Cheap vs. Expensive Factors: Does Valuation Matter for Future Returns?
Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging given the growth profile, complexity of the business, and erratic [...]
What’s the Story Behind EBIT/TEV?
A common question we receive at Alpha Architect is the following: Why do you focus on EBIT/TEV as a value screen for stocks instead of the more traditional measures such as book to price? In [...]
How Cheap (or Expensive) Are Value Stocks?
What are the two most annoying words in forecasting? IT DEPENDS. In this piece we look at the "value" of value, which has been beaten down recently. A few questions arise in this scenario: How [...]
Compound Your Knowledge Ep 27: Value, Momentum, and Low Volatility
In this video, we examine two articles highlighted on our site. The first article, written by Larry Swedroe, examines the Value and Momentum performance over the past two years ( highlighting great research by the [...]