The Re-Death of Value, or Déjà Vu All Over?
The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to [...]
Buying Stocks Trading Above 10x Sales–A Good Idea?
Early last week, Meb Faber included me on a conversation on buying stocks trading at 10x their company's revenue (sales). Is this a good idea [...]
Deep Dive into the Value Factor
The financial equivalent of the famous Miller Lite, “tastes great, less filling” debate is the debate between traditional financial economics which uses risk theories to [...]
A Remarkable New Factor: The Cash Conversion Cycle
The Cash Conversion Cycle Spread Baolian WangJFE, forthcoming.A version of this paper can be found here.Old discussions here and here. h.t. M. Mauboussin What are the [...]
Factor Investing in Practice
Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art [...]
How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons
Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries [...]
Size and Value in China
Size and Value in China Jianan Liu, Rob Stambaugh, and Yu Yuan Journal of Financial Economics A version of this paper can be found here What [...]
EBITDA, EBITDA, EBITDA…that’s all, folks!
Value investing practitioners and academics have long studied the enterprise multiple effect, including my own business partners, Jack and Wes. The literature reveals that Enterprise [...]
Value, Momentum & Carry Across Asset Classes
There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between [...]
After a Lost Decade, Will Value Get its Groove back in 2019?
Borne in academia and raised by fund managers seeking to outperform, value style mutual funds and ETFs today hold close to $2 trillion[ref]Morningstar[/ref]. But with [...]
Factor Investing Fact Check: Are Value and Momentum Dead?
The "stock market," at least as measured via the S&P 500, has been on an epic performance run -- especially relative to almost all asset [...]
Value and Momentum and Risk
Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk [...]
The Conservative Formula: Quantitative Investing made Easy
The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz A version of this paper can be found here. Want to read our [...]
The Best Research Paper Ever Written on Trading Costs
Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via [...]
Why you should trust the investment process (even though it’s hard)
In this article, we discuss why trusting an investment process can be very hard, and how you should approach the challenge. Trust the Process - [...]
The Future for Factor Investing May Be Different Than its Backtested Past
We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time. Many are common sense [...]
Factor Regressions Problems and How to Fix Them
Factor Regressions are one way to ascertain a fund's exposure to certain factors that an investor/advisor may want to allocate towards, such as Value, Momentum, [...]
Podcast: Value Investing in India and Technology
Here is a link to our podcast on Behind the Markets This is a special episode of Behind the Markets with Wharton alumni for SiriusXM's [...]
Value Investing Portfolios are Not Dead, But Some Have Done Better than Others
Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that [...]
The World’s Longest Multi-Asset Momentum Investing Backtest!
As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: "Two Centuries of [...]