…. the lowest fees of any alternative fund” at 0.25% annually (albeit with a minimum required investment of $250,000). The managers employ a five-factor quantitative model that identifies stocks likely…
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Bogle's Straightforward Formula for Estimating Future Stock Price Returns
…data, the piece highlights his three-factor formula for determining the “sources of return.” These are: Starting yield (annual dividends divided by stock price) Earnings growth Speculative return (changes in pricing…
AQR Tests Market Timing Techniques, Helping to Boost Long Term Returns
…two core factors – valuation, measured by the cyclically adjusted PE (CAPE) factor made known by Rober Shiller, and momentum. Drawing on 115-year data, they found meaningful advantages to timing…
The Advantages of an Active Value Management Approach
Pzena Investment Management’s Third Quarter 2015 Community Newsletter says that “Value investing is not a simplistic factor, but rather a philosophy that requires research to outperform over the long run.”…
Low Returns Going Forward, Predicts Cliff Asness of Hedge Fund Behemoth ARQ
Clifford Asness, president and managing principle of AQR Capital Management, expects returns below the historical norm to be “the single largest factor out there we have to deal with.” He…
O’Shaughnessy Emphasizes the Value of "High-conviction" Buybacks Over the Long Term
…“lottery stocks,” noting that some do very well but the average return is negative. To evaluate the value of stocks, he uses a composite of various factors (such as price…
O’Shaughnessy Emphasizes the Value of "High-conviction" Buybacks Over the Long Term
…“lottery stocks,” noting that some do very well but the average return is negative. To evaluate the value of stocks, he uses a composite of various factors (such as price…
Quantitative Model Exploits Market Inefficiencies for Above-Benchmark Returns
…Acadian uses this and other “factors” of a stock to predict the return associate with a stock in the near future. The process involves an aggregation of common metrics (like…
High Conviction Buybacks = Superior and Consistent Long Term Returns
…year), but that high conviction share repurchases typically take place when the stocks of the companies present more value (value in this case is defined as a value factor using…
Sequence Risk Lurks for “Buy on the Dip” Investors
…risk”, which refers to the order in which stocks produce good and bad returns, is a very important factor in determining whether buying during market declines is an appropriate approach….