…have significant exposure to both the size and value factors, performed very well. That made me think that investing is much easier than it really is. The past decade, when…
Search Results for: factor
Value Investing Still Works and Here’s Why
…practice.” He cites the 1992 findings of finance professors Eugene Fama and Kenneth French showing that considering size and value factors “righted the relationship between risk and reward” — specifically,…
Five Lessons from Our Most Downloaded Podcasts of 2020
…always investing in stocks that are going through a crisis. Toby discusses this idea below. https://youtu.be/lK5TihMw9Eg [3] Wes Gray – There is No One Right Way to Build a Factor-Based…
Twin Momentum: Combining Fundamental and Price Momentum Together In One Quantitative Model (Ep. 59)
The academic research supporting the momentum factor is very strong. But most of that research focuses on the momentum in a stock’s price. An interesting research paper written by Dashan…
If Not Now, When Will Value Return?
…we measure using normal earnings. Value is not a factor.” Pzena conducted an analysis of 14 U.S. recessions (dating back to the Great Depression) and 8 recessions in Japan since…
The Life Cycle of Investing Factors
…Factors typically work because there is some reason that investors avoid the types of stocks selected by the factor. For example, stocks selected using the value factor are typically riskier…
The Birth, Growth & Death of Investing Factors w/ ReSolve Asset Management's Adam Butler
…We discuss: The life cycle of investment factors and why the factors that have the strongest evidence to support them may be the most vulnerable to having their premiums reduced…
When Quantitative Becomes Discretionary
…with that one factor. As a result, his value model in the most recent edition uses a composite of factors. That process of evolving a strategy over time and using…
Is Passive Investing Distorting the Market?
…trend is likely to continue as a result of the rise of ETFs, investors’ focus on fees, the inconsistency of active manager outperformance, and numerous other factors. That is where…
No Value Explanation for ‘Exorbitantly Priced’ Tech Stocks, Says Research Affiliates
…change the value calculation of companies (like the FANGs) with high levels of research and development expense—assets which are typically not included on company balance sheets and therefore don’t factor…