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Questions tagged [value-investing]

The tag has no usage guidance.

2
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1answer
79 views

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 ...
0
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1answer
51 views

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 ...
2
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0answers
51 views

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-...
2
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0answers
66 views

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 ...
1
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0answers
37 views

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 ...
1
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0answers
173 views

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 ...