Value Factor
topic on 1 show · 3 statements across 3 episodes
3 statements about Value Factor, every show
Asness: Painful three-year drawdowns protect value factors from being arbitraged away
“The famous value factor, that can kill your world for three years. That's a terrible thing to live through, a wonderful thing if you don't want a factor to be arbitraged away.”
Inker: 12-year value drought causes standard quant backtests to penalize value
“If you are a quant, your favorite tool is the back test. And it has now been 12 years that value has underperformed. You are much less likely to come up with a quantitative stock selection technique that is predominantly value, because if you look back, you sa…”
Factor investment sales peak at market tops, leading to inevitable disappointment
“So if value has been working very, very well, the demand for interest in buying into, and the supply, i.e. The interest in selling people on, value factor investment will rise to a crescendo at the top, and then people get disappointed.”