…where we stand today, according to how we value companies” (using absolute and relative value metrics). These measures, Greenblatt said, show that the market is in the 22nd percentile with…
Search Results for: value
The Case Against Value Stocks
…using don’t paint a clear picture of reality and more cheap stocks could end up being value traps. [5] Value is a Bet Against Technology Unconstrained value strategies tend to…
Some Thoughts on Multi-Factor Investing
…value, momentum and quality, I would just take 10 value stocks, 10 momentum stocks and 10 high quality stocks and combine them together. In a 2015 article, Jack Vogel of…
Marko Kolanovic Says Quant Investing Has Limits
…adding much value.” Regarding macro trends, Kolanovic cited what he described as a “fragility in the marketplace that came with the new structure of liquidity, with electronic market-making, computers, and…
Investors Getting More Comfortable with Factor Investing
…lack of available products. The study also found that equity single factors were the most common approach, closely followed by equity multi-factor approaches. The article concluded, “While value and low…
Five Questions: Multi-Factor Investing with Liqian Ren
…dimensions. As a result of this multi-factor construction, value stocks within multi-factor don’t necessarily behave the same as a stand-alone value strategy. We believe both philosophically and empirically that this…
Market Observations from Bill Miller
In an investor call last October, fund manager Bill Miller of Miller Value Partners shared market insights and observations. Here are some highlights: “It’s the beliefs and expectations that really…
Study Claims That the Momentum Factor Doesn't Work
…can, and not base investment decisions on simulated performance,” noting that back-tests don’t account for transactions costs. Although there is a lot of talk in the markets about which factors—value,…
Factor Timing: Sin Less Than a Little
…low and sell high, and it is tempting to conclude that we can do the same thing with factors. For example, if value stocks have struggled for a long period…
WorldQuant's New Fund Underperformed
…more than six years in October and tore through money pools that slice and dice assets based on factors such as momentum, value and growth.” WorldQuant employs approximately 1,000 research…