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

President Trump tweets that he asks the SEC to assess the practical implications of switching to a 6-month corporate disclosure cycle.

John Fourier

2018-08-17 11:45:00 Friday ET

President Trump tweets that he asks the SEC to assess the practical implications of switching to a 6-month corporate disclosure cycle.

In accordance with the extant corporate disclosure rules and requirements, all U.S. public corporations have to report their balance sheets, income statemen

+See More

Apple revises down its global sales revenue estimate to $83 billion due to subpar smartphone sales in China.

James Campbell

2019-01-09 07:33:00 Wednesday ET

Apple revises down its global sales revenue estimate to $83 billion due to subpar smartphone sales in China.

Apple revises down its global sales revenue estimate to $83 billion due to subpar smartphone sales in China. Apple CEO Tim Cook points out the fact that he

+See More

CNBC's business anchorwoman Becky Quick interviews Nobel Laureate Joseph Stiglitz on the current Sino-U.S. trade war.

Daisy Harvey

2018-03-27 07:33:00 Tuesday ET

CNBC's business anchorwoman Becky Quick interviews Nobel Laureate Joseph Stiglitz on the current Sino-U.S. trade war.

CNBC's business anchorwoman Becky Quick interviews Nobel Laureate Joseph Stiglitz on the current trade war between America and China. As America imposes

+See More

Goldman Sachs chief economist Jan Hatzius proposes designing a new Financial Conditions Index (FCI).

Chanel Holden

2018-07-19 18:38:00 Thursday ET

Goldman Sachs chief economist Jan Hatzius proposes designing a new Financial Conditions Index (FCI).

Goldman Sachs chief economist Jan Hatzius proposes designing a new Financial Conditions Index (FCI) to be a weighted-average of interest rates, exchange rat

+See More

Paul Samuelson defines the mathematical evolution of price theory and then influences many economists in business cycle theory and macro asset management.

Joseph Corr

2023-05-14 12:31:00 Sunday ET

Paul Samuelson defines the mathematical evolution of price theory and then influences many economists in business cycle theory and macro asset management.

Paul Samuelson defines the mathematical evolution of economic price theory and thereby influences many economists in business cycle theory and macro asset m

+See More

AYA Analytica podcast provides fresh insights into the latest stock market issues, economic trends, and investment portfolio strategies.

Daphne Basel

2019-05-30 16:44:00 Thursday ET

AYA Analytica podcast provides fresh insights into the latest stock market issues, economic trends, and investment portfolio strategies.

AYA Analytica finbuzz podcast channel on YouTube May 2019 In this podcast, we discuss several topical issues as of May 2019: (1) Our proprietary alp

+See More