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 [...]
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 [...]
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 relatively cheaper on price/fundamental ratios. Is Value investing dead? The [...]
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 [...]
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 [...]
Value Factor Diversification: Is Quality Better Than 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 [...]
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! [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
Is There Something Wrong with the Value Premium?
The dramatic underperformance of the value premium since 2018, among the largest drawdowns in history, has led many to question its existence. It is certainly [...]
The Use and Value of Financial Advice for Retirement Planning: Part 1/2
The Use and Value of Financial Advice for Retirement Planning W.V. Arlow, K.C. Brown, and S.E. JenksJournal of Retirement, Winter 2020A version of this paper [...]
Low Volatility-Momentum Versus Value-Momentum Factor Portfolios
Boring versus Cheap Winners
The Massive Performance Divergence Between Large Growth and Small Value Stocks
From 2017 through 2019, the Russell 1000 Growth Index returned 20.5 percent per annum, outperforming the Russell 1000 Value Index, which returned 9.7 percent, by [...]
Factor Investing Update: An Analysis of 2019 International Factor Returns
Last week I summarized the 2019 factor performance for U.S. stocks. A natural follow-up question was the following--"what about International stocks?" A great question. So [...]