Value Investing Research

//Value Investing Research

Value Investing

Replicating Private Equity: the Impact of Return Smoothing

By | 2017-08-18T16:57:56+00:00 March 7th, 2016|Value Investing Research|

Having spent what seems like a lifetime in the financial industry at this point, I've always had this nagging suspicion about private equity (PE): private equity investments are not special. And I'll take my hunch a bit [...]

Has the Value Investing Pain Train Ended?

By | 2017-08-18T17:03:56+00:00 March 8th, 2016|Value Investing Research|

Last year we highlighted what we deemed the "value investing pain train." In 2015, cheap high-quality stocks started getting crushed by expensive junk stocks. Here is a recap of the carnage. In many respects, value investing is [...]

Why Investors Should Combine Value and Momentum Investing Strategies

By | 2017-08-18T16:52:10+00:00 March 22nd, 2016|Value Investing Research, Momentum Investing Research, $mtum, $vlue|

In the past we have discussed how to combine value and momentum investing strategies to improve an equity allocation. In this piece we discuss why an investor should combine value and momentum investing concepts.* Many investors recognize that stand-alone value and [...]

Update on the Valuation Metric Horserace: 2011-2015

By | 2017-08-18T16:54:00+00:00 April 6th, 2016|Research Insights, Value Investing Research|

Jack and I published, "Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years," in the 2012 Journal of Portfolio Management. Here is a summary of the research paper on our own blog. The [...]

Does Buffett Have Lessons for Systematic Value Investors?

By | 2017-08-18T17:06:13+00:00 May 4th, 2016|Value Investing Research, Business Updates|

We are fundamentals-based value investors, just like Warren and Charlie, but have chosen to pursue the art of value investing in a slightly different way than they do -- we use quantitative tools. Perhaps we [...]

Replicating Private Equity Returns with Small Value Stocks…3min video

By | 2017-08-18T16:57:57+00:00 May 16th, 2016|Value Investing Research|

We discussed private equity replication with public equities here and here. Erik Stafford just won the "honorable mention" award from AQR for his work on the subject. Click the image below to hear Erik's 3 minute [...]

Want to spot a true Value Investor? Look for horrible recent performance

By | 2017-08-18T16:52:50+00:00 June 1st, 2016|Value Investing Research|

Harry Houdini is perhaps the best-known magician of all time, gaining notoriety in the early 20th century through his daring escape acts. Houdini escaped from straight jackets while suspended from chains, fought his way out of [...]

Value Investing Got Crushed During the Internet Bubble — Here’s Why…

By | 2017-08-18T16:53:53+00:00 October 10th, 2016|Value Investing Research, Momentum Investing Research, $vlue, $iwd|

The dot-com bubble of the late 90s was a wild time in the stock market. Internet stocks were trading through the roof, tech IPOs were a practically daily experience, and people quit their jobs to [...]

Creating an Alternative Investment Strategy with Value and Momentum

By | 2017-08-18T17:07:49+00:00 July 7th, 2016|Key Research, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

Anyone who follows our website should be familiar with the extensive evidence behind our favorite stock selection strategies: Value Investing Momentum Investing The evidence suggests that high-conviction (<50 stock) value and momentum portfolios, deployed as a system, seems like [...]

Evidence-Based Investing Requires Less Religion and More Reason

By | 2017-08-18T17:05:23+00:00 July 27th, 2016|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research, $SPY, $mtum, $vlue|

Technical Analysis: The Market’s Oldest Religion During the 1600s, the Dutch had a large merchant fleet and the port city of Amsterdam was a dominant commercial hub for trade from around the world. Based on [...]

Surprise! The Size, Value, and Momentum Anomalies Survive After Trading Costs

By | 2017-08-18T16:56:32+00:00 August 17th, 2016|Research Insights, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Anyone who has spent time reading this blog has become familiar with research involving asset pricing anomalies that generate excess returns. In particular, the academic literature has addressed the following: "size," or a portfolio of [...]

Value investing is quite possibly the worst idea…EVER

By | 2017-08-18T16:53:51+00:00 September 14th, 2016|Research Insights, Behavioral Finance, Value Investing Research|

We believe deeply in the value philosophy as first described by Ben Graham: view stocks as ownership in a firm; buy with a margin of safety; avoid stories; think independently; and so forth. In fact, [...]

Book Review — Common Stocks and Common Sense

By | 2017-08-18T17:09:12+00:00 October 26th, 2016|Value Investing Research, Book Reviews|

Investing can perhaps be best learned through a combination of applied practice and continuous study. While there is no substitute for real-world experience and the valuable lessons learned from making and losing money, reflecting on [...]

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Digging Deeper into Closed End Fund Investment Opportunities

By | 2017-08-18T17:06:50+00:00 October 11th, 2016|Value Investing Research, $FTF|

A couple of weeks ago, I received Franklin Templeton Investments' letter to shareholders of Franklin Limited Duration Trust (ticker FTF) imploring us to not let "self-serving" Saba (an activist shareholder) "DESTROY YOUR FUND" [their bold and all [...]

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The Rebalance Bonus for Value and Momentum Porfolios

By | 2017-08-18T16:55:17+00:00 October 31st, 2016|Guest Posts, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

A sophisticated DFA-focused advisor asked us to conduct some research on the following question: Are there additional portfolio diversification benefits to combining concentrated portfolios of value and momentum stocks relative to combining less concentrated portfolios of value [...]

Value Investing using Enterprise Multiples — Is the Premium Due to Risk and/or Mispricing?

By | 2017-08-18T16:53:48+00:00 November 2nd, 2016|Research Insights, Value Investing Research|

At Alpha Architect, we are big fans of Value investing (and Momentum). In the past, Wes and I examined which valuation measure had the largest spread between Value and Growth firms. The evidence showed (updated results [...]

Great Minds Agree to Disagree on the Source of the Value Investing Premium

By | 2017-08-18T17:04:30+00:00 November 22nd, 2016|Value Investing Research|

Active investing sounds so easy. But we all know it is extremely difficult. Ask any deep value investor how they have felt over the past few years (although, they are feeling a lot better recently). [...]

Factor Investing is More Art, and Less Science

By | 2017-08-18T17:05:14+00:00 February 3rd, 2017|Factor Investing, Research Insights, Key Research, Value Investing Research, Momentum Investing Research, Size Investing Research|

Albert Einstein is reported to have said the following: The more I learn, the more I realize how much I don’t know. I can relate. Having studied finance for a long time (PhD, professor, books, [...]

The January Effect: An Evidence-Based Perspective

By | 2017-08-18T16:55:31+00:00 January 11th, 2017|Factor Investing, Research Insights, Value Investing Research|

January is here again and market commentators are already telling stories about the so-called January Effect. Some articles (examples here and here) are saying the effect is an illusion, while others are claiming the effect [...]