New related paper to #26 - Value (Book-to-Market) Anomaly - Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies Monday, 2 March, 2015

Related research paper has been included into existing free strategy review.

#26 - Value (Book-to-Market) Anomaly

Authors: Hsu, Myers, Whitby:

Title: Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies



Value investing is viewed as a historically successful investment strategy. The literature generally agrees on the robustness of the strategy but disagrees on the explanations for the success. While the empirical research focuses exclusively on the time-series returns — or the buy-and-hold return — of a value portfolio, the investor experience is, of course, driven by the internal rate of return (IRR) — or the dollar-weighted average return. Although the buy-and-hold average portfolio return may be the proper way to document the anomaly, the dollar-weighted average return can shed light on some interesting questions which cannot be addressed by analyzing the buy-and-hold returns. In particular, examining the dollar-weighted returns allows us to ask whether investors have actually generated superior IRR consistent with the reported buy-and-hold outperformance of value strategies.

Notable quotations from the paper:

... launch Tuesday, 9 September, 2014

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Quantpedia's 2nd anniversary Sunday, 20 October, 2013

We would like to say thanks to our visitors and readers for their interest and support. Therefore we have decided to use our 2nd anniversary to expand free section of our page. It currently consists of more than 50 free strategies with more than two hundred related research papers. The total number of strategies exceeds 240 and the total number of related research papers has grown to more than six hundred.

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New milestone reached Tuesday, 16 October, 2012

Good news, has reached an imporant milestone - we have finished our first year of existence.

More than 100 new strategies and hundreds of related academic research papers have been included into our database during that time. Whole site currently consists of more than 210 strategies. Our free section contains free reviews of more than 40 most common investment/trading strategies and the Quantpedia Premium section is expanded to over 170 strategies. Total number of trading systems is regularly growing as new strategies are added into on a regular basis.

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Important Quantpedia Update Sunday, 19 February, 2012

Dear visitor,

We would like to inform you that we have greatly expanded our free section and currently contains free reviews of more than 40 most common investment/trading strategies. We believe you will find this new development very useful.

Our Quantpedia Premium section currently contains more than 120 strategies together with more than 250 links to related academic research papers. Premium section allows you to access reviews of high-performance uncommon/niche investment strategies and new systems/strategies are regularly added on a weekly basis.

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