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value factor

3 statements across 3 episodes · 0 bullish · 1 bearish · 3 people on the record · first statement Jul 30, 2018 by Charlie Ellis · across every show →

Everything said about value factor, oldest first

Jul 30, 2018 negative
Insight
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.”
Charlie Ellis Jul 30, 2018 ▶ 29:18 Charley Ellis - Indexing and Its Alternatives (EP.62)
Mar 30, 2020 neutral
Insight
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…”
Ben Inker Mar 30, 2020 ▶ 53:31 Ben Inker – Value Investing at GMO (First Meeting, EP.17)
May 13, 2024
Insight
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.”
Cliff Asness May 13, 2024 ▶ 19:03 Cliff Asness - Simple Investing is Hard (EP.385)
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