We focused the first part of this article more on tendencies and trends among these US Equity Value strategies. Today we will talk solely about specific top-performing equity value strategies. More specifically, about numbers #7 to #1 from Quantpedia’s ranking. We will also take a look at combining all the value strategies together into a diversified portfolio of value strategies.
Trend-following strategies have gained extreme popularity in the recent decade. Almost every asset manager utilizes trend following, or momentum, in some form – whether consciously or subconsciously. We at Quantpedia are convinced that each and every strategy has to be scrutinized thoroughly before it’s put into use. This is one of our motivations why we will introduce to you our framework for building a 100-year daily history of a multi-asset trend-following strategy today.
Finding a high-quality data source is crucial for quantitative trading strategies. Also, having a long history is beneficial. Fama & French, for example, offer free historical data for stocks and a variety of factors. However, it is very hard to get good-quality and free data for other asset classes. For this reason, we have already examined how to extend historical daily bond data to 100 years.
For any event-driven analysis or to perform stress tests of various historical situations, long-enough data can only help. Whether one wants to analyze past market patterns, or simply examine the risk of their portfolio under different historical scenarios, the use case for long data is pretty straightforward.
Following the theme of our previous article, we decided to extend historical data of another asset class, commodities. This article explains our commodity data methodology and introduces data sources, which helped us extend historical daily commodities data to 100 years.
Equity Value strategies have suffered hardly during years 2018, 2019 and also 2020. Due to the poor performance of Value during this period, many investors have abandoned the strategy, often expressing view that “Value strategy is not working anymore”. Nevertheless, equity Value strategies have managed a strong comeback recently, turning attention of investors and traders back to them. In our blog today, we will take a close look at many different equity Value strategies, their performance and how they behave.
Socially responsible investing, also known as ESG investing, is a recent trend in the world of portfolio management. More and more investors have started to look into the Environmental, Social, and Governance scores of the companies they invest in. However, one major problem with ESG scoring is that there is not one universal scoring system. Many companies sell ESG data, but the scores are not comparable, and additionally, the ESG data providers are not very transparent about how they create the ratings. These problems with ESG data mean we need to have a method to grade and merge the information from multiple providers.
Quantpedia has already covered a countless number of factor investing strategies and articles, from strategies in our Screener to multiple blog posts. Therefore, we can confidently say that we do like factor investing. However, there is always new research with a unique point of view. For example, we recently found a paper focused on the decay of the factor exposures of equity factor strategies. The study examines five factors: Value, Momentum, Quality, Investment, and Low Volatility, across 12 developed and emerging markets over a 20-year period. This research aims to find out how long it takes for a factor to decay after the portfolio is assembled. In other words, how often should the portfolio be rebalanced?
