Questions tagged [value-investing]

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Valuation of companies, which belong to each other

There are three companies: A, B and C. A fully belongs to B, B fully belongs to C and C fully belongs to A. Company A has USD 1 mln of cash and no debt. Company B and C each have USD 10 mln of cash ...
Ilya Tegmark's user avatar
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1 answer

Search for historical balance sheet data

I would like to run backtests on swedish companies. How I can retrieve historical balance sheet data?
Ramon Medeiros's user avatar
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3 answers

Historical Ticker Symbols Data Source (for Creating Tradable Universe)

I would've guessed this question would have been answered somewhere on here before, but I have been going down rabbit holes for days trying to figure it out with no luck... I want to backtest ...
Kyle M's user avatar
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Interpreting factor coefficients when correlation flips

I am looking at mainly value and growth factor coefficients of a fund during the recent Covid market “crisis”. I have found that said fund had a negative coefficient to value at the start of 2020 (let’...
Simon Nicholls's user avatar
1 vote
1 answer

How to normalise companies relative to each other? Remove the effect of macro-economy?

I want to focus on companies-performance only and as much as possible remove the effect of macro-economy. Interest rate changes, crisis, inflation etc. There are 2 goals: Simplification of analysis ...
Alex Craft's user avatar
1 vote
2 answers

How to Calculate ROIC (Return on Invested Capital)

I am trying to calculate ROIC based on data I receive from Yahoo Financials. A comprehensive output of what I receive from the site is below, which elements of this can I put together to get ROIC? <...
BBSysDyn's user avatar
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Value premium / HML - Long/short portfolio useful?

I'm currently working on a paper about the value premium. Right now I'm wondering if there's any reason why calculating the long-short portfolio return as a difference between the high B/E portfolio ...
user43224's user avatar
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How to retrieve for the entire universe past performance, shareholder friendliness and cheapness metrics?

I recently read Good Stocks Cheap (and took a course run by the author). I have summarised in a table attached to this post the past performance, shareholder friendliness and cheapness benchmarks he ...
ndthl's user avatar
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1 vote
1 answer

Expanding window vs Rolling window z-score

I wish to find the z-score of a value measure( e/g P/E ratio) to compare them across asset classes, currently i am using an expanding window z-score to calculate the long-term mean and standard ...
Dhruv Mahajan's user avatar
1 vote
0 answers

Crisis in in-sample period

I am backtesting a value momentum asset allocation strategy and my in sample period is from 2003 to 2011 and out sample from 2012 to 2019. I am optimising a cutoff for value on in sample to allocate ...
Dhruv Mahajan's user avatar
2 votes
2 answers

What is a robust method to determine if the stock's market price is below its intrinsic value and can be bought in a Fundamental analysis perspective?

It is a very common idea that Fundamental analysis looks at the intrinsic value of a stock, but if I were to look at the stock market right now, I just see the movement of the price of the stock, ...
Pherdindy's user avatar
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2 votes
1 answer

Comparing Values of 5s and 7% Notes (Security Analysis by Benjamin Graham)

I was reading Security Analysis by Benjamin Graham (Sixth Edition). Page 63, last paragraph says: A third kind of analytical conclusion may be illustrated by a comparison of Interborough ...
chrononinja's user avatar
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Discounted free cash flow valuation

I started valuating company based on their free cash flow by using DCF valuation.But for some companies i came across negative free cash flow for all years. How can we evaluate company with negative ...
Chetan Warke's user avatar
2 votes
0 answers

Looking for: List of 30 top-performing value investors in the US (AUM 100USD mn+; 10 years)

we are currently looking to build another database sourced by crawling the SEC (freely available at SimFin). Our goal is to build a monthly updating database showing the holdings of the top value-...
MRC89's user avatar
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What are the latest developments on "Value Averaging"?

If you search with Google "Value Averaging", you're swamped with dozens of web pages which explain how it works, why lump-sum investing is better and why not, template Excel sheets and so forth. So I ...
Lisa Ann's user avatar
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4 votes
2 answers

Have any other factor "styles" which explain equity returns been uncovered?

I know this is an inherently broad question, so I will attempt to clarify what I mean by factor "styles". I am not looking for a compendium of "anomalies", per se, but rather for categorical themes ...
David Addison's user avatar
3 votes
2 answers

Bond Valuation and liquidity

Assuming the market is perfect liquid, the bond price can be replicated and is related as follows: $$\sum_{t=0}^{N}c_ne^{-Y(t_n-t)}=\sum_{t=0}^{N}c_nP_{t_n}=\sum_{t=0}^{N}c_ne^{-Y_{t,t_n}(t_n-t)}$$ ...
quallenjäger's user avatar
2 votes
1 answer

How to evaluate companies with different rate of growth rate?

I'm trying to do a value analysis within a group of companies with very different growth rate, here are some method I've explored: P/E ratio. By this measurement most top value companies are those ...
Hao's user avatar
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3 votes
0 answers

Underperformance of low vol factor after US presidential election, comeback of Value

My question is about factor investing. In most equity markets (Europe, US) the factors momentum and low volatility have outperformed the cap weighted indices in the last couple of years while the ...
Richi Wa's user avatar
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