Value investment strategies make investors wiser like water with core fundamental factor analysis.

Jacob Miramar

2018-04-17 12:38:00 Tue ET

Value investment strategies make investors wiser like water with core fundamental factor analysis. Value investors tend to buy stocks below their intrinsic book values and then wait for them to rebound to fair market values. This old-school investment philosophy echoes the *buy-low-sell-high* mantra of dynamic asset management. Nonetheless, the Russell 1000 Value index now trails the Russell Growth index by 130% in the 9.5-year bull market from late-2008 to mid-2018. Also, the former lags the S%P 500 market benchmark by more than 50%. Stock market valuation blows most conventional benchmarks, and the recent mega-cap tech juggernauts drive most of this outperformance. These tech titans include Facebook, Apple, Microsoft, Google, Amazon, Netflix, and Twitter (FAMGANT).

Some recent quantitative value investment strategies have quietly transformed into smart-beta factor strategies. The latter entail attributing the broad variation in total returns to several fundamental factors such as size, value, momentum, profitability, asset growth, and market risk exposure.

Subtracting multi-beta risk premiums from total returns yields alpha estimates or average excess returns after the econometrician controls for multiple fundamental factors in the smart-beta value investment strategies. On this basis of fundamental risk adjustment, value stocks earn higher *alphas* or average excess returns than their glamor counterparts.

 


If any of our AYA Analytica financial health memos (FHM), blog posts, ebooks, newsletters, and notifications etc, or any other form of online content curation, involves potential copyright concerns, please feel free to contact us at service@ayafintech.network so that we can remove relevant content in response to any such request within a reasonable time frame.

Blog+More

It can be practical for the U.S. to impose the 2% Warren wealth tax on the rich.

Dan Rochefort

2019-02-03 13:39:00 Sunday ET

It can be practical for the U.S. to impose the 2% Warren wealth tax on the rich.

It can be practical for the U.S. to impose the 2% wealth tax on the rich. Democratic Senator Elizabeth Warren proposes a 2% wealth tax on the richest Americ

+See More

Amazon and Google face more intense antitrust scrutiny.

Apple Boston

2019-06-21 13:33:00 Friday ET

Amazon and Google face more intense antitrust scrutiny.

Amazon and Google face more intense antitrust scrutiny. In recent times, Justice Department and Federal Trade Commission have reached an internal agreement

+See More

Apple is now the world's biggest dividend payer with its $13 billion dividend payout.

Dan Rochefort

2017-04-19 17:37:00 Wednesday ET

Apple is now the world's biggest dividend payer with its $13 billion dividend payout.

Apple is now the world's biggest dividend payer with its $13 billion dividend payout and surpasses ExxonMobil's dividend payout record. Despite the

+See More

MIT financial economist Simon Johnson rethinks capitalism with better key market incentives.

Daisy Harvey

2019-11-23 08:33:00 Saturday ET

MIT financial economist Simon Johnson rethinks capitalism with better key market incentives.

MIT financial economist Simon Johnson rethinks capitalism with better key market incentives. Johnson refers to the recent Business Roundtable CEO statement

+See More

Addendum on empirical tests of multi-factor models for asset return prediction

Rose Prince

2022-03-05 09:27:00 Saturday ET

Addendum on empirical tests of multi-factor models for asset return prediction

Addendum on empirical tests of multi-factor models for asset return prediction Fama and French (2015) propose an empirical five-factor asset pricing mode

+See More

Warren Buffett warns that the current cap ratio of U.S. stock market capitalization to real GDP seems to be much higher than the long-run average benchmark.

James Campbell

2019-08-24 14:38:00 Saturday ET

Warren Buffett warns that the current cap ratio of U.S. stock market capitalization to real GDP seems to be much higher than the long-run average benchmark.

Warren Buffett warns that the current cap ratio of U.S. stock market capitalization to real GDP seems to be much higher than the long-run average benchmark.

+See More