Value Investing Research

//Value Investing Research

Value Investing

Face-ripping Drawdowns and the Magic Formula

By | 2017-08-18T17:05:16+00:00 November 4th, 2014|Research Insights, Value Investing Research, Tactical Asset Allocation Research|

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 Formula Long/Short portfolio (and of course, the impact on returns). [...]

Quantitative Value Research: Weighted P/E Bracket

By | 2017-08-18T16:58:13+00:00 November 3rd, 2014|Research Insights, Value Investing Research|

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 our Academic Research Recap Category. Abstract: The price-earnings ratio is a [...]

Quantitative Value Research: A Summary of Various Value Metrics!

By | 2017-08-18T16:58:19+00:00 October 27th, 2014|Research Insights, Value Investing Research|

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 summary of academic papers with alpha? Check out our Academic Research [...]

Digging into the Enterprise Multiple Value Factor

By | 2017-08-18T17:06:49+00:00 October 23rd, 2014|Research Insights, Value Investing Research|

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 in a much more entertaining fashion in Toby's new book: [...]

Value investing backtests: Our analysis of 13 AAII Value Strategies

By | 2017-08-18T16:53:53+00:00 October 20th, 2014|Research Insights, Value Investing Research|

Does Complexity Imply Value? AAII Value Strategies from 1963 to 2013 Gray, Vogel, and Xu A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research [...]

Quantitative Value Research: Cyclically-adjusted B/M (CA-BM) Factor

By | 2017-08-18T16:58:18+00:00 October 15th, 2014|Research Insights, Value Investing Research|

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 with alpha? Check out our Academic Research Recap Category. Core Idea: [...]

How to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha

By | 2017-08-18T17:03:27+00:00 October 6th, 2014|Value Investing Research, Investor Education|

We've had a few questions related to 3-Factor Fama-French and 1-Factor (CAPM) alpha calculations recently (maybe it is midterm season?) We're here to help! Below is a an old video (note the TurnkeyAnalyst reference) I [...]

Quantitative Value Research: E/P or Size Effect?

By | 2017-08-18T16:58:16+00:00 October 6th, 2014|Research Insights, Value Investing Research|

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 with alpha? Check out our Academic Research Recap Category. Core Idea: [...]

Quantitative Value Research: Cyclically-adjusted P/E (CAPE) Factor

By | 2017-08-18T16:58:18+00:00 October 3rd, 2014|Research Insights, Value Investing Research|

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? Check out our Academic Research Recap Category. Core Idea: Price-earnings ratios [...]

Quantitative Value Research: Low P/E

By | 2017-08-18T16:58:15+00:00 October 2nd, 2014|Research Insights, Value Investing Research|

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 series. Stay tuned for a whole lot more! Investment Performance [...]

Mixing Momentum and Value: A Winning Combination?

By | 2017-08-18T17:00:46+00:00 September 23rd, 2014|Value Investing Research, Momentum Investing Research|

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? Check out our Academic Research Recap Category! Abstract: This paper considers [...]

Valuation Spreads Over Time: A Unique Market Timing Signal?

By | 2017-08-18T16:53:55+00:00 September 12th, 2014|Value Investing Research, Uncategorized, Tactical Asset Allocation Research, Macroeconomics Research|

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 the conversation at different points, trying to add some depth [...]

A Surprising Way to time Value and Momentum: Updated Analysis

By | 2017-08-18T17:11:14+00:00 August 28th, 2014|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

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 alpha? Check out our Academic Research Recap Category! Abstract:  The Fama-French [...]

Interesting Tactical Asset Allocation Tool: Value portfolios

By | 2017-08-18T17:02:54+00:00 August 26th, 2014|Research Insights, Value Investing Research, Momentum Investing Research|

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 alpha? Check out our Academic Research Recap Category. Remark:  The Fama-French [...]

Value investing: Can you withstand the pain?

By | 2017-08-18T16:53:46+00:00 July 31st, 2014|Research Insights, Value Investing Research|

So the market took a tumble today--Feeling pain? Feeling emotional? Expecting the downward trend to continue? Be careful, your system 1 is terrorizing your ability to make effective decisions. To put a -2% day in [...]

Does the size effect exist? Probably.

By | 2017-08-18T17:06:07+00:00 July 2nd, 2014|Research Insights, Key Research, Value Investing Research|

The traditional small-minus-big value-adjusted long/short factor (SMB) developed by Gene Fama and Ken French has arguably added NO value over time. Performance over the past 30 years has been flat and highly volatile (1983-2013). The results [...]

Gross Profits isn’t a Silver Bullet for Valuation Measurement!

By | 2017-08-18T17:04:28+00:00 June 17th, 2014|Research Insights, Value Investing Research|

Deflating Profitability Ball, Gerakos, Linnainmaa, and Nikolaev A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract: Gross profit scaled by book [...]

Can Market Valuations Be Effective Market-Timing Signals?

By | 2017-08-18T17:08:24+00:00 June 12th, 2014|Research Insights, Key Research, Value Investing Research, Tactical Asset Allocation Research|

We know that valuation metrics such as the CAPE, or Shiller P/E, ratio are correlated with long-term returns (notice we didn't say "predict" long-term returns--that is debatable). Here is a brief background on the measure: http://www.alphaarchitect.com/blog/2011/10/06/the-shiller-pe-ratio/ [...]

Post Earnings Announcement Drift and Value/Growth Anomaly

By | 2017-08-18T16:59:20+00:00 June 4th, 2014|Research Insights, Value Investing Research|

When Two Anomalies Meet: The Post – Earnings Announcement Drift and the Value – Glamour Anomaly Yan and Zhao A version of the paper can be found here. Want a summary of academic papers with alpha? [...]