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Juicing P/B: Piotroski F_SCORE and LSV’s Two-Dimensional Classifications
Price-to-book value is demonstrably useful as a predictor of future investment returns. As we discussed yesterday in Testing the performance of price-to-book value, various studies, including Roger...
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Contrarian Investment, Extrapolation, and Risk: LSV’s Two-Dimensional...
This week we’ve been examining the various studies that have considered book value as a predictor of future investment returns, and methods for “juicing” or improving its performance. Josef Lakonishok,...
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Piotroski’s F_SCORE
The second method for boosting the performance of book value as a predictor of future investment returns is Joseph D. Piotroski’s elegant F_SCORE. Piotroski first discussed his F_SCORE in 2002 in Value...
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Goldman Sachs says P/B dead-as-dead; Special sits and event-driven strategies...
The phenomenal Zero Hedge has an article, Goldman Claims Momentum And Value Quant Strategies Now Overcrowded, Future Returns Negligible, discussing Goldman Sachs head of quantitative resources Robert...
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A closer look at the “High Minus Low” strategy: Component returns (Part 1)
Recently we discussed a Goldman Sachs Asset Management (GSAM) presentation, Maybe it really is different this time, in which GSAM argued that High Minus Low or HML, a quantitative investment strategy...
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A closer look at the “High Minus Low” strategy: HML returns (Part 2)
In yesterday’s post we discussed some informal analysis I’ve undertaken on the returns to the quantitative investment strategy known as “High Minus Low” or HML. The first step was an analysis of HML’s...
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Near Graham net nets vs Ultra-low price-to-book value stocks
I’m setting up a new experiment for 2009/2010 along the same lines as the 2008/2009 Net Net vs Activist Legend thought experiment pitting a little Graham net net against activist investing legend Carl...
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How P/E juices P/B returns
As I’ve discussed in the past, P/B and P/E are demonstratively useful as predictors of future stock returns, and more so when combined (see, for example, LSV’s Two-Dimensional Classifications). As...
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Greenbackd Contrarian Value Portfolio Update
In a post in late November last year, Testing the performance of price-to-book value, I set up a hypothetical equally-weighted portfolio of the cheapest price-to-book stocks with a positive P/E ratio...
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Donald G. Smith on price-to-tangible book value
The Fall 2010 edition of the Graham and Doddsville Newsletter, Columbia Business School‘s student-led investment newsletter co-sponsored by the Heilbrunn Center for Graham & Dodd Investing and the...
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