Value Investing Research

//Value Investing Research

Value Investing

Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers

By | 2017-08-18T16:52:58+00:00 February 22nd, 2011|Research Insights, Value Investing Research|

Discussion: In the academic literature, the highest book-to-market portfolio (value portfolio) has created controversy. On one hand, efficient market theorists believe the "value portfolio" outperforms the market because the portfolio is fundamentally riskier than the broader market. A pile of academic evidence suggests that this "market efficiency" hypothesis is correct.

How to use the Fama French Model

By | 2017-08-18T17:03:14+00:00 August 1st, 2011|Research Insights, Value Investing Research, Investor Education, Introduction Course|

The CAPM is prolific, but doesn't appear to work! (Note: see here for our epic post on the history of factor investing.) For example, in the figures below I've plotted the Fama-French 25 (portfolios ranked [...]

Magic Formula and MA Rules: A Bad Combo!

By | 2017-08-18T17:01:14+00:00 November 27th, 2011|Trend Following, Research Insights, Value Investing Research|

Recently, I've been investigating various risk management systems. A lot of the work we've done is beyond the scope of the blog and/or is related to things we do with our investment management business. Nonetheless, [...]