Tag: value (Page 1 of 4)
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.
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.
Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.
We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.
Diversification with Portable Beta
By Nathan Faber
On February 18, 2020