Value factor strategies ripe for revival, quants say
Stocks rated for value are historically cheap compared with growth stocks, evidence shows
Equity value strategies are in the depths of their fourth worst drawdown in a hundred years, but quants say the stocks they favour are so cheap buyers should not be put off.
Stocks captured by the value factor, meaning those with high book value to price or similar ratios, are at their cheapest levels in recent history compared with other stocks. And cheapness – as the name suggests – is the main driver of value strategies’ performance, experts say.
“In all previous occurrences value stocks
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Asset management
Fears of runaway risk on offshore reinsurance
Life insurers catch the eye of UK regulator for pension buyout financing trick
Hot topic: SEC climate disclosure rule divides industry
Proposal likely to flounder on First Amendment concerns, lawyers believe
‘Brace, brace’: quants say soft landing is unlikely
Investors should prepare for sticky inflation and volatile asset prices as central banks grapple with turning rates cycle
Trend following struggles to return to vogue
Macro outlook for trend appears to be favourable, but 2023’s performance flop gives would-be investors pause for thought
Start-up bond platform OpenYield prepares to launch
Start-up aims to give retail brokers the same electronic liquidity used by the professionals
Can machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
Asset managers offer tailored LDI to smaller pension schemes
Minimum AUM for customised hedging slashed from around £400m to £75m
Most read
- Quants are using language models to map what causes what
- Reluctantly, CME moves to clear US Treasuries
- The bank quant who wants to stop gen AI hallucinating