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Value's recent under-performance has many managers saying that the style looks cheap. We explore the value-of-value through the lens of multiple metrics.
In this research note, we implement a regression-based and optimized-based approach to achieving pure factor portfolios and report the results achieved.
In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naïve trend strategy.
The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.
Can Managed Futures Offset Equity Losses?
By Corey Hoffstein
On February 3, 2020