The past few weeks Greenbackd.com has published a series of articles about value investing; why it works or doesn’t work, what kind of statistical measures for cheapness perform best and what not to do if you want to outperform. Since I’m assuming that most readers of this blog are value investors this should be interesting. The articles:
- Value investing works, so why do value investors underperform? The Passive Screeners
- Value investing works, so why do value investors underperform? The evidence for contrarian value investors
- Value investing works, so why do value investors underperform? The evidence for activist value investors
- Active versus passive value investing: Does spending time researching a company’s fundamentals generate higher returns?
- Which price ratio best identifies value stocks?
- Which price ratio outperforms the enterprise multiple?
- Do long-term, normalized price ratios outperform single-year price ratios?
- Should the business cycle affect the choice of price ratio? Asset-based measures versus earnings and cash flow-based measures
- Recent net net performance: Parsing on F_SCORE and Size
- How to beat The Little Book That Beats The Market: An analysis of the Magic Formula
- James Montier on why investors struggle to follow the Magic Formula: Cognitive Biases and Behavioral Error
- Joel Greenblatt on how and why investors struggle to follow the Magic Formula
- How to beat the market: Joel Greenblatt’s List of Four Things Not To Do
That should be enough reading material for the weekend! And to conclude this post: a nice visualization of volatility for the past two decades based on series of theoretical VIX indices at different maturity levels: