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A Review Of Ben Graham’s Famous Value Investing Strategy: “Net-Nets”
Benjamin Graham, considered by many the “the father of quantitative value investing“, developed an investment strategy that involved purchasing securities for less than their “current-asset value”, “a rough index of the liquidating value”.
Is The Market Getting More Efficient?
For the three-years 2016-18, the 10-day buy-and-hold returns for the S&P 500vwere just +15 bps for additions and −23 bps for deletions, both of which are smaller than their standard errors.
Value And Momentum And Investment Anomalies
The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. Two studies dive deeper.
A Curious Combination: Momentum Investing, Tesla, And November 9th
Every data point has a story and sometimes that story can illuminate a larger truth.
Is Size A Useful Investing Factor Or Not?
In his famous 1981 paper, Rolf Banz found that small firms have higher risk-adjusted returns than large firms. This was one of the first major challenges to the capital asset pricing model and market efficiency. Yet, it has been called into question.
Buying Quality: Is The Juice Worth The Squeeze?
Although we cannot forecast how high-quality stocks will perform in the future, we can certainly evaluate their historical performance. In this research note, we will evaluate high-quality companies through the lens of quality-themed ETFs in the US.
Should Treasury Bills Be The Risk-Free Asset In Asset Pricing Models?
Blitz found strong evidence that the risk-free rate used in asset pricing models is misspecified, as the empirical evidence provides support for intermediate-term Treasuries as the more appropriate benchmark.
Even Great Investments Experience Massive Drawdowns
All strategies involving risk assets assume risk of failure, regardless of your investment horizon—there is no guarantee that you will ultimately be rewarded.
Combining Momentum With Long-Term Reversal
Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect.
Diversifying Your Value Portfolio? Quality Works, But Have You Heard Of Momentum?
What if your portfolio was only based on one idea? Something like “stocks always go up” or “value always beats growth.” You may be learning a humbling lesson right now that Mr. Market has taught us over and over again.
Trading Costs Wipe Out The Overnight Return Anomaly
While overnight performance versus intraday still holds gross and net of transaction costs, the statistical robustness of any outperformance is low. This indicates that the anomaly is more of a random walk than it is a repeatable trading strategy.
A Viral Market Melt-Up, Optimism Or Fundamentals?
There is no question that the stock market has been acting a bit like a three-year-old consisting of temper tantrums and sugar highs. In a world with such volatility, it might be a good idea to sit down, take a measure of the data being presented.
How I Explain Crappy Returns
Diversification. It looks great on paper, but for the past ten years, being globally and “Factor” diversified has been anything but great.
Cheap Vs. Expensive Factors: Does Valuation Matter For Future Returns?
Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging given the growth profile, complexity of the business, and erratic CEO.
Estimating Pandemic Economic Costs For “Face-to-Face” Businesses
Social distancing interventions can be effective against epidemics but are potentially detrimental for the economy.
Dividends, Stock Prices, And Inflation
Building on the concepts presented in my Dividends Are Different article, here we present data and observations highlighting the relationship between inflation and 1) company fundamentals, 2) dividends, and 3) stock market movements.
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