…Validea’s new factor report for individual stocks, and why quality, momentum and low volatility factors may be important in today’s market. Our Trend Following system, which is a technical model…
Search Results for: factor
Excess Returns, Ep. 14: Some Thoughts on the Struggles of Factor Investing in the Past Decade
The long-term evidence to support factor investing is compelling. Academic work has shown that factors like value and momentum have produced an excess return relative to the market over time….
The Value Premium is Smaller, but Not Dead
Although the value factor is one of the longest standing for stocks, the value premium has shrunk. This according to a recent article in AAII. The article notes that since…
Five Questions: The Future of Asset Management with Meb Faber
…within the industry and computing power have risen and factor-based strategies have become more widely available. On the business side, falling fees and increasing market share for the largest players…
Sixteen Quant Leaders Weigh-In on What Happens Next
…said, financial advisors will “use the language of factors to create bespoke portfolios” and individuals will be more “outcome-oriented with factors—growing their nest egg with value and momentum, or being…
Ken French: We Can’t Tell if Value Premium Has Disappeared
In a paper published last month, the team of Eugene Fama and Ken French—credited with identifying the value premium back in 1992—analyzed how the value factor has fared over the…
Some Thoughts on the Struggles of Factor Investing in the Past Decade
…Against Beta AQR-BAB 9.68% 8.09% source: Portfolio Visualizer, Factor Statistics The struggles of factor investing, particularly value, over a long period of time has led many to question whether factor…
The Elusive Definition of Risk
…decline. For the second point of failure (abandoning a strategy when it underperforms), a base rate strategy can also be helpful. With factor strategies, looking at the percentage of time…
Learn from Peter Lynch but Don’t Think You Can Replicate Him
…So depending on the historical earnings growth rate, companies were analyzed differently through various fundamental factors. PEG Ratio: A Shortcut to GARP stocks Not only does the earnings growth…
A Proven Strategy for Disciplined Growth Stock Investing
…be improved? Mohanram, smartly, developed a grading system, called the GSCORE, which effectively scores stocks based on profitability, cash flows factors and accounting policies. The GSCORE is an eight-point scale…