Matthias Hanauer @HanauerMatthias Twitter profile

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Matthias Hanauer

1 year

HONEY, WE SHRUNK THE FACTOR ZOO! In our brand new paper "Factor Zoo (.zip)", we compress the #FactorZoo of >150 factors to just 15. 👉 Many are redundant but just a handful as in common asset pricing models is not enough! Check out the top 15 in our paper! 👇

Factor Zoo (.zip)

ssrn.com

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Matthias Hanauer

@HanauerMatthias

1 year

New 150+ (!) page survey on Financial #MachineLearning by Bryan Kelly and Dacheng Xiu! 👉 Unfortunately, only limited discussion of international results…

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Matthias Hanauer

@HanauerMatthias

2 years

Has Value still fuel left in the tank? 🚀 Despite the strong comeback over the last two years, we find that valuation differences between value and expensive stocks are still wider than at the peak of the dot-com bubble! Get the full analysis here 👉

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Matthias Hanauer

@HanauerMatthias

5 years

The classic Fama-French factors failed over the last decade. By contrast, many factors that are not endorsed by the academic community showed positive returns. New paper by David Blitz 👇

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Matthias Hanauer

@HanauerMatthias

1 year

To the day three years ago today, the announcement of a successful #COVID19 vaccine candidate sparked the long-awaited #value factor revival. Below, I share 10 charts on the resurrection of the value premium, plus some general value investing insights.

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Matthias Hanauer

@HanauerMatthias

3 years

NEW PAPER: “ Betting Against Quant: Examining the Factor Exposures of Thematic Indices”. 👉

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Matthias Hanauer

@HanauerMatthias

4 years

2020 was been the worst year for the academic value factor (HML). The second worst year (1999) was followed by a very strong comeback of the value factor. What will be 2021?

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Matthias Hanauer

@HanauerMatthias

4 years

DATA, DATA everywhere | New data library available | 12 factors, 4 global regions, 37 individual countries, dozens of visualizations! 👉

New factor data library is available!

globalfactorpremia.org

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Matthias Hanauer

@HanauerMatthias

4 years

2020 has been the worst year for the academic value factor (HML). The second worst year (1999) was followed by a very strong comeback of the value factor. What about 2021? Q1 2021 was the 2nd best quarter in history! How will the story continue? Stay tuned!

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Matthias Hanauer

@HanauerMatthias

1 year

❗️** New article out** ❗️ The Double Discount in Emerging Markets 🌍 EM trading at a 1/3 discount compared to DM 💎 EM value spread still very wide #EmergingMarkets #DoubleDiscount

Double delight: Seizing the dual discount in emerging markets

www.robeco.com

livesocial.seismic.com

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Matthias Hanauer

@HanauerMatthias

2 years

It has been a long journey with many #ups and #downs , but today I am happy to share that our paper 🗒️ 'Enhanced momentum strategies' is now finally published in the Journal of Banking & Finance. 😎 Access the published version of the paper here:

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Matthias Hanauer

@HanauerMatthias

2 years

2022 was an excellent year for #value . Interestingly, the current valuation #spread is still wider than it was at the beginning of the value winter in 2018 and similar to levels seen at the peak of the #dotcom bubble!

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Matthias Hanauer

@HanauerMatthias

4 years

It has been a long journey with many ups and downs, but I am happy to share that our paper "The idiosyncratic momentum anomaly" (joint work with David Blitz and Milan Vidojevic) was finally published. :) Free download via the link!

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Matthias Hanauer

@HanauerMatthias

2 years

In my latest 'quant chart of the month', we show how the Value factor has had its strongest start in 35 years. Despite this rally, the value remains attractive both in terms of absolute and relative valuations.

Quant chart: Value accelerates to strongest start in decades

www.robeco.com

livesocial.seismic.com

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Matthias Hanauer

@HanauerMatthias

10 months

📈Despite its reported death, Value is very much alive📈 Below, I showcase 10 key #graphs covering: 🚀 Resurgence since Nov 2020 📈 Long-term performance 📊 Expected returns for different scenarios 🔄 Interplay with rates, growth, #MAG7 ... and more

Value investing: The reports of my death have been greatly exaggerated

robeco.com

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Matthias Hanauer

@HanauerMatthias

1 year

As of the end of June, the MSCI Small Cap Index trades at a valuation discount of more than 20% compared to the standard MSCI World Index. This presents the largest discount observed for at least 20 years.

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Matthias Hanauer

@HanauerMatthias

3 years

Despite the recent rally in cheap stocks, we believe the Value upswing still has a way to go! Check our deep dive into recent developments and why we believe that value is ready for summer.

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Matthias Hanauer

@HanauerMatthias

3 years

I hope that the current situation will be resolved peacefully. However, how did Value for a sample of major historical geopolitical/military events?

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Matthias Hanauer

@HanauerMatthias

4 years

Around the world, the valuation spread between cheap and expensive stocks is at unprecedented levels! The animation below is an update of our recently published paper 'Resurrecting the Value Premium' 👉

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Matthias Hanauer

@HanauerMatthias

4 years

Tired of paying 2 and 20 for PE? This paper shows that you can replicate private equity returns with value investing, leverage, and creative accounting:

Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

Abstract. The contributions of asset selection and incremental leverage to buyout investment performance are more important than typically assumed or estim

academic.oup.com

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Matthias Hanauer

@HanauerMatthias

2 years

🚀🚀🚀 Exciting news (again 😎): Our 📝 "Machine learning and the cross-section of emerging market stock returns" has just been published in the Emerging Markets Review! @tk260592 Access our article for free (next 50 days) here:

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Matthias Hanauer

@HanauerMatthias

1 year

The value-rates narrative is based on some spurious correlation between 2018-2020. Before and after, there is little relationship between the two. Data until Sep 2023. Analysis as in

Clifford Asness

@CliffordAsness

1 year

Remember when the geniuses claimed super high value spreads were justified by rock bottom interest rates? They were always wrong: But, oddly, now that rates are 300-500 bps higher, they seem to agree with us, “shrugging it off” (the term lazy journalists

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Matthias Hanauer

@HanauerMatthias

2 years

📣Paper "Beyond Fama-French Factors: Alpha from Short-Term Signals" has been published in the FAJ! w @paradoxinvestor Net alpha possible by 🔀applying a combination of short-term signals on 💧 liquid global universe 🚀advanced buy/sell trading rules 👉

Beyond Fama-French Factors: Alpha from Short-Term Signals

Short-term alpha signals are generally dismissed in traditional asset pricing models, primarily due to market friction concerns. However, this paper demonstrates that investors can obtain a signifi...

www.tandfonline.com

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Matthias Hanauer

@HanauerMatthias

4 years

We substantially revised our paper 'Enhanced Momentum Strategies' by adding a cross-country analysis. MOM and cMOM are heavily exposed to market dynamics while dMOM and iMOM are significantly less affected. Revised paper:

Enhanced Momentum Strategies

ssrn.com

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Matthias Hanauer

@HanauerMatthias

3 years

In our new note, we document that single and multi-factor equity portfolios are currently very attractively valued (especially value!) and factor premiums persist across interest rate cycles.

What valuations and interest rates tell us about equity factors

www.robeco.com

livesocial.seismic.com

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Matthias Hanauer

@HanauerMatthias

4 years

Does news in shorting activity predict future returns? Yes, it does! Check out our new paper (with Esad Smajlbegovic and Pavel Lesnevski) for more details. 👇

Surprise in Short Interest

ssrn.com

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Matthias Hanauer

@HanauerMatthias

4 years

Value is not dead! In our new paper, we describe how the value premium can be resurrected. 👉

Resurrecting the Value Premium

ssrn.com

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Matthias Hanauer

@HanauerMatthias

3 years

Even after a year of excellent value returns, valuation spreads are still wider than during the peak of the dot-com bubble -> value still has legs

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Matthias Hanauer

@HanauerMatthias

5 years

NEW STUDY | What is the best factor model for global markets? Free downloading here 👇 Happy to receive your feedback!

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Matthias Hanauer

@HanauerMatthias

2 years

Why did EM underperform DM over the last decade? 📈 Diverging relative valuations were the main driver. 📈 Over 75% of EM vs DM performance can be explained by changes in the EM/DM value spread. 📈 Currently, EM is trading at a one-third discount compared to DM.

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Matthias Hanauer

@HanauerMatthias

1 year

#ICYMI : I am thrilled to share that my paper "Surprise in short interest“ has been published in the Journal of Financial Markets! We demonstrate that not only the LEVEL but also the CHANGE (i.e. surprise) in short interest matters! #openaccess 👇

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Matthias Hanauer

@HanauerMatthias

1 year

@VogtAlexander_ Thx for sharing! Most of the underperformance be can explained by small cap becoming relatively cheaper. Controlling for these valuation changes, small caps actually showed a good performance (spread between the blue and green lines widens).

Matthias Hanauer

@HanauerMatthias

1 year

As of the end of June, the MSCI Small Cap Index trades at a valuation discount of more than 20% compared to the standard MSCI World Index. This presents the largest discount observed for at least 20 years.

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Matthias Hanauer

@HanauerMatthias

1 year

📣NEW PAPER: The Term Structure of Machine Learning Alpha📣 🧠 Common ML models have high full-sample gross alphas ❗ However, performance net of costs is close to zero after 2004 📈 Training on longer horizons and efficient trading rules yields significant positive net returns

The Term Structure of Machine Learning Alpha

ssrn.com

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Matthias Hanauer

@HanauerMatthias

2 years

Value spread with MSCI Value and Growth. 1) For 4 different multiples, I compute the RATIO between G and V 2) Normalize each time series with its median 3) Take the average across the 4 value spreads 👉The spread is extremely wide!!! @CliffordAsness @choffstein @LizAnnSonders

Matthias Hanauer

@HanauerMatthias

2 years

Mind your computations. Assume growth trades at 40 P/E and value at 20 P/E. -> Growth is 2x as expensive as value. Assume all stocks fall by 50% -> PE now 20 vs. 10. G still 2x as expensive as V. It “/“ is NOT “-“

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Matthias Hanauer

@HanauerMatthias

2 years

NEW PAPER with David Blitz, Rob Huisman, @HonarvarIman , and @paradoxinvestor is out today! We document that investors can harvest net alpha beyond Fama-French factors by combining short-term signals and applying efficient portfolio construction.

Beyond Fama-French Factors: Alpha from Short-Term Signals

ssrn.com

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Matthias Hanauer

@HanauerMatthias

2 years

Artificial intelligence confirms human intelligence that #value investing is not dead! 😉 #OpenAI

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Matthias Hanauer

@HanauerMatthias

1 year

This @FT chart has been trending here for the last 48 hours. It shows that Treasuries and bonds now #yield as much as the S&P500. However, not all stocks are created equal, and there is an extreme dispersion in earnings yields across equity markets and across stocks.

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Matthias Hanauer

@HanauerMatthias

2 years

This is a piece of art! Worth a NFT? @RyanPKirlin @nonprophetcap @HML_Compounder @Greenbackd @MebFaber @NomadicSamuel @DominantPort @lady__bost

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Matthias Hanauer

@HanauerMatthias

3 years

In our new paper, we show that machine learning can significantly boost fundamental analysis. ML strategies earn substantially higher alphas than their OLS counterparts (48–66 vs. 11–36 bp per month).

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Matthias Hanauer

@HanauerMatthias

2 years

Mind your computations. Assume growth trades at 40 P/E and value at 20 P/E. -> Growth is 2x as expensive as value. Assume all stocks fall by 50% -> PE now 20 vs. 10. G still 2x as expensive as V. It “/“ is NOT “-“

Liz Ann Sonders

@LizAnnSonders

2 years

Rebalancing of S&P 500 Growth and Value Indexes has brought valuation gap in considerably … forward P/E spread between former and latter now hovering near lowest since 2017

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Matthias Hanauer

@HanauerMatthias

3 years

Yesterday afternoon we had the honor and pleasure to have @CliffordAsness in our finance research seminar at @TU_Muenchen . Cliff gave a great and entertaining presentation on why even with more than 70 years of data, "The Long Run Is Lying to You." Thanks!

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Matthias Hanauer

@HanauerMatthias

3 years

Despite a weak June so far, the value train is still on track for 2021. YTD performance is even better than in 2000 up to now.

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Matthias Hanauer

@HanauerMatthias

3 years

I think we can agree that there is no replication crisis for value spreads! 😄

Clifford Asness

@CliffordAsness

3 years

That’s It, That’s the Blog

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Matthias Hanauer

@HanauerMatthias

3 years

I am honored to share that our paper "Does earnings growth drive the quality premium?" has been awarded the ACATIS Value Prize. Link to the paper: Practitionar summary:

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Matthias Hanauer

@HanauerMatthias

3 years

Does Impact Investing have Impact? This study from Jonathan Berk and Jules van Binsbergen suggests that current ESG divesture strategies have had little impact and proposes that investors should become more active owners instead. 👉

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Matthias Hanauer

@HanauerMatthias

3 years

Despite the good performance in 2021, the valuation spread between cheap and expensive stocks is still exceptionally wide!

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Matthias Hanauer

@HanauerMatthias

11 months

@georgxhaas Bitte diskutieren @DietmarHamann , @LMatthaeus10 , @Erikmeijer_ , @SkySportDE

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Matthias Hanauer

@HanauerMatthias

4 years

Does Size Matter? Check out our brand new paper on the size premium (joint work with David Blitz).

Settling the Size Matter

ssrn.com

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Matthias Hanauer

@HanauerMatthias

1 year

❗️Small Cap Valuation Update❗️ As of the end of September, the MSCI Small Cap Index still trades at a valuation discount of more than 20% compared to the standard MSCI World Index. #SmallCaps #Valuation

Matthias Hanauer

@HanauerMatthias

1 year

As of the end of June, the MSCI Small Cap Index trades at a valuation discount of more than 20% compared to the standard MSCI World Index. This presents the largest discount observed for at least 20 years.

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Matthias Hanauer

@HanauerMatthias

1 year

🎉Very happy to see our paper Beyond Fama-French Factors: Alpha from Short-Term Signals in the latest issue of the Financial Analysts Journal!🎉 Free download (first 50 clicks) via this link: Paper with @paradoxinvestor

Beyond Fama-French Factors: Alpha from Short-Term Signals

Short-term alpha signals are generally dismissed in traditional asset pricing models, primarily due to market friction concerns. However, this paper demonstrates that investors can obtain a signifi...

www.tandfonline.com

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Matthias Hanauer

@HanauerMatthias

11 months

@CliffordAsness YtD, the average value stock outperforms the average expensive stock. However, the average (long-only) value strategy underperforms their cap-weighted benchmark. This seemingly contrasting evidence is mainly explained by a few extremely well performing mega-caps (Magnificent 7)

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Matthias Hanauer

@HanauerMatthias

2 years

Despite missing intangibles and all the other critics, also academic Value (B/M) is back! #resurrection

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Matthias Hanauer

@HanauerMatthias

3 years

#OpenData #GlobalFactorPremia We just updated and extended our set of global factor premia on with end-2021 data. Check how 12 common factors have performed in different global regions (AC, DM, EM, or subregions) or more than 30 individual countries.

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Matthias Hanauer

@HanauerMatthias

11 months

There's always a first time for everything; for me, it was joining a podcast! Big thank you to @JJCarbonneau and @practicalquant for inviting me. Topics covered include: 🦓Taming the Factor Zoo 💵Value: Reported Death, Resurrection, and Outlook

Jack Forehand

@practicalquant

11 months

This week @JJCarbonneau and I talk factor investing with (and host the podcast debut of) @HanauerMatthias We cover: - filtering down the factor zoo - resurrecting the value premium - factor timing - value performance and rates

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Matthias Hanauer

@HanauerMatthias

3 years

2021 has seen the resurrection of the academic value factor (HML) after its reported death. This mirrors the strong comeback after the second-worst year (1999). What will be 2022?

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Matthias Hanauer

@HanauerMatthias

5 years

What drives the quality premium? Our paper (just accepted in the Journal of Banking and Finance) shows that quality measures predict stock returns if and only if they forecast earnings growth. Access the paper free of charge:

Does earnings growth drive the quality premium?

sciencedirect.com

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Matthias Hanauer

@HanauerMatthias

1 year

@HML_Compounder Should have posted this picture 🙈

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Matthias Hanauer

@HanauerMatthias

2 years

The value/rates narrative: economic causality or just a recent (spurious?) phenomenon? Nice article from @CliffordAsness . The post reminds me also on our note in which we observed a similar pattern.

Clifford Asness

@CliffordAsness

2 years

My latest: Is Value Just an Interest Rate Bet? If you want the tl;dr then no it is not. More follows.

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Matthias Hanauer

@HanauerMatthias

1 year

@BaltussenGuido @LaurensSwinkels Final words If you made it this far, thank you! Your time is valuable, and I'm grateful you spent some of it here! Hopefully, these value investing insights hit home! Looking forward to the next 3 years of value investing!

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Matthias Hanauer

@HanauerMatthias

1 year

The value-rates narrative (correlation) is mainly a 2018-2020 thing. Sometimes value can even outperform when rates fall and vice versa. Data until March 2023. May 2023 is not even included. Analysis as in

Clifford Asness

@CliffordAsness

1 year

Let’s add “is value just a, or even a significant, interest rate bet” to the long list of things I and others (e.g., ) have utterly failed to convince the echo bubble brains of, so the market does what it wants for a while.

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Matthias Hanauer

@HanauerMatthias

3 years

2021 was an excellent year for value so far! Academic HML had a superb start until May, followed by a negative June and a flattish summer. Question: Will we see a Q4 rally as in 2000 again?

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Matthias Hanauer

@HanauerMatthias

4 years

New paper out with David Blitz and @paradoxinvestor ! We show that the low-risk anomaly in China is a strong, robust, and distinct phenomenon. Actually, VOL is stronger than all Fama-French factors.

The Volatility Effect in China

ssrn.com

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Matthias Hanauer

@HanauerMatthias

3 years

Thought ETFs are passive? Think again and read this new paper:

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Matthias Hanauer

@HanauerMatthias

1 year

Just saw this new cool paper. Language models beat word-count models (“bag-of-words”) in identifying new information in company reports for predicting stock returns, i.e. studying “lazy prices”. 👉

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Matthias Hanauer

@HanauerMatthias

5 years

Does PE outperform? This paper says NO! "Valuing Private Equity Investments Strip by Strip"

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Matthias Hanauer

@HanauerMatthias

1 year

❗️Brand new paper from David Blitz, Bart van der Grient, and Iman Honarvar: Reversing the Trend of Short-Term Reversal

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Matthias Hanauer

@HanauerMatthias

2 years

Three months into 2023, and value spreads around the world remain wide, particularly in emerging markets.”

Matthias Hanauer

@HanauerMatthias

2 years

2022 was an excellent year for #value . Interestingly, the current valuation #spread is still wider than it was at the beginning of the value winter in 2018 and similar to levels seen at the peak of the #dotcom bubble!

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Matthias Hanauer

@HanauerMatthias

3 years

I am very much looking forward to the upcoming Finance Research Seminar at @TU_Muenchen . Honored that @CliffordAsness , @marcobecht , Kent Daniel, @LeippoldMarkus , @MSchularick , and Robert Stambaugh will be our guests (among others). 👉

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Matthias Hanauer

@HanauerMatthias

3 years

High dividend stocks were outperforming low dividend stocks. However, only looking at dividends is only half the truth. You also have to look at share issuance/buybacks. @paradoxinvestor @alphaarchitect @MebFaber know what I am talking about.

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Matthias Hanauer

@HanauerMatthias

2 years

This looks like a proper style box! 🚀 @RyanPKirlin @nonprophetcap @HML_Compounder

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Matthias Hanauer

@HanauerMatthias

10 months

💥 Busting the Benner Cycle Myth 💥 Seen that 150-yr chart pretending to predict market booms and busts, too? Comments range from mind-blowing to incredibly accurate. It's time for a reality check. My analysis (details below) shows it's not the "Sure thing" it claims to be.

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Matthias Hanauer

@HanauerMatthias

4 years

Happy to share that my paper "The cross-section of emerging market stock returns" (joint work with Jochim Lauterbach) was awarded the ACATIS Value Prize 2020 (1st place). The paper was also published in the Emerging Markets Review.

Robeco Asset Management

@Robeco

4 years

Robeco’s Matthias Hanauer and fellow researcher, Jochim Lauterbach, win the ACATIS Value Prize 2020 with their paper "The cross-section of emerging market stock returns".

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Matthias Hanauer

@HanauerMatthias

1 year

Just saw this paper that claims that #ML can predict #PrivateEquity fund performance by reading fundraising prospectuses. 👇 Limited Partners versus Unlimited Machines; Artificial Intelligence and the Performance of Private Equity Funds 👇

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Matthias Hanauer

@HanauerMatthias

4 years

Nice piece by @CliffordAsness on how changes in valuation multiples affect realized returns and their opposite effect on expected returns. Perfectly in line with our recent observations 👇

Clifford Asness

@CliffordAsness

4 years

The Long Run Is Lying To You Many examine long term average returns in order to make allocation decisions. But even over 30-70 years, the expected return to the stock market, and the USA vs. EAFE, is overestimated and the value factor underestimated.

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Matthias Hanauer

@HanauerMatthias

2 years

Exciting news! Our paper on machine learning to boost stock selection in emerging markets has already been downloaded over 1,000 times on @SSRN ! 🚀💻 Check out the results for yourself!

Machine Learning and The Cross-Section of Emerging Market Returns

ssrn.com

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Matthias Hanauer

@HanauerMatthias

1 year

Here some papers on ML for international markets: Developed Markets (Tobek and Hronev): Emerging Market (Kalsbach and me): Europe (Drobetz and Otto):

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Matthias Hanauer

@HanauerMatthias

9 months

🚀🚀🚀 3 years ago, Reddit-fueled retail trading sent highly-shorted #MemeStocks like $GME and $AMC "to the moon" questioning the predictive power of short-selling data. Fast forward to today, the most shorted stocks have heavily underperformed since then, no #MOASS in sight.

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Matthias Hanauer

@HanauerMatthias

3 years

We substantially revised our paper 'Enhanced Momentum Strategies' 👉 Important new finding: the well-known claim that momentum does not work in countries with low individualism does not hold out-of-sample.

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Matthias Hanauer

@HanauerMatthias

1 year

Thrilled to share that our paper Factor models for Chinese A-shares (w @LaurensSwinkels ) has been published in the International Review of Financial Analysis 🎉

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Matthias Hanauer

@HanauerMatthias

2 years

Despite some differences in defining value and measuring the valuation spread, this figure looks remarkably similar to the one shared by @CliffordAsness some time ago. Perhaps, there is indeed some truth to it? 😉

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Matthias Hanauer

@HanauerMatthias

3 years

Great new paper from @LeippoldMarkus , Qian Wang, and Wenyu Zhou: Machine learning in the Chinese stock market The authors show that ML can help to predict stock returns that survive transactions costs and in a long-only context.

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Matthias Hanauer

@HanauerMatthias

2 years

Worried about momentum crashes? In our latest #QuantChart we discuss how alternative momentum strategies can mitigate risk without sacrificing long-term returns. Recent drawdowns in Nov '22 and Jan/Feb '23 are prime examples. Check it out below!

Quant chart: taming momentum crashes

www.robeco.com

livesocial.seismic.com

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Matthias Hanauer

@HanauerMatthias

2 years

In our latest Quant chart, Jan Sytze Mosselaar and I demonstrate how low-risk strategies are typically useful for investors when they most need protection.

Quant chart: Winning by losing less

www.robeco.com

livesocial.seismic.com

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Matthias Hanauer

@HanauerMatthias

2 years

The fourth is strong with value! @CliffordAsness @MebFaber @alphaarchitect @paradoxinvestor @RyanPKirlin @HML_Compounder @PythonTrader

Matthias Hanauer

@HanauerMatthias

2 years

Today is #StarWarsDay . Fun fact: On May the 4th, #value returns are 8x times higher than on other days. The #fourth is strong with value. #MayThe4thBeWithYou

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Matthias Hanauer

@HanauerMatthias

3 years

2022 saw the 2nd best start of the academic value factor (HML) since 1935! This is just after seeing the 'resurrection' in 2021 after its reported 'death' in 2020. This mirrors the strong comeback after the second-worst year (1999) when HML was told dead before.

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Matthias Hanauer

@HanauerMatthias

3 years

New paper by David Blitz: The Quant Cycle - Traditional business cycle indicators do not capture much of the large cyclical variation in factor returns - A Quant Cycle directly from factor returns captures does much better

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Matthias Hanauer

@HanauerMatthias

1 year

6. Value and Interest Rates A popular narrative is that the rise in interest rates caused the value comeback over the last years. While I have already been skeptical in a 2021 article with @BaltussenGuido , @LaurensSwinkels , and Sebastian Schneider (), one

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Matthias Hanauer

@HanauerMatthias

3 years

Share Buybacks -> strong Dividends -> strong Net Payout (Shareholder) Yield firing on both cylinders🚀🚀 (source: )

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Matthias Hanauer

@HanauerMatthias

4 years

Alpha Architect just published a nice summary of my colleague's ( @BaltussenGuido , @LaurensSwinkels , and @paradoxinvestor ) paper 'Global Factor Premiums' (forthcoming JFE).

Wes Gray 🇺🇸

@alphaarchitect

4 years

The Definitive Study on Long-Term Factor Investing Returns -

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Matthias Hanauer

@HanauerMatthias

3 years

The recent value rally confirms our view that value is currently extremely attractive. But what about other factors? Read more in our 5-year outlook!

Some factors are now more equal than others

www.robeco.com

livesocial.seismic.com

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Matthias Hanauer

@HanauerMatthias

2 years

The #memestock frenzy shook the market 2 yrs ago ( #GME #AMC ). Fast forward to today: The most shorted stocks have heavily underperformed since then. Despite some upticks in Nov 2022 and Jan 2023, no #MOASS in sight. Time to reconsider on which side you stand?

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Matthias Hanauer

@HanauerMatthias

2 years

@HML_Compounder @DominantPort @FactorDork @Luke_Swanson_ @NomadicSamuel @nomadicsammy @RyanPKirlin @RyanMGavin @wimms5987 @MarkTMeredith @game_book_life Large growth trading below fair value!? I am quite sceptical. These fair value estimates depend a lot on expected long-term growth rates and analysts tend to extrapolate them too much based on past growth.

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Matthias Hanauer

@HanauerMatthias

2 years

Go deep value. Go further! 😎 @CliffordAsness @alphaarchitect @RyanPKirlin @MebFaber @Greenbackd

Wes Gray 🇺🇸

@alphaarchitect

4 years

Go deep value. Go! If we all say it together maybe it will happen? 😇 The pitch from 3 angles: @CliffordAsness And @TPhilippeBCM And @RyanPKirlin

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Matthias Hanauer

@HanauerMatthias

4 years

Which factors work in India? We observe astonishing similarities to the UK: standard & idiosyncratic momentum (MOM & iMOM) exhibit again the highest premia. Similar to many other markets, however, iMOM is less risky and therefore shows a much higher t-stat. Size (SMB) works too!

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Matthias Hanauer

@HanauerMatthias

2 years

H1 2022 Update of Global Factor Premia Russia's invasion of Ukraine, rising inflation, and increasing recession fears led to a turbulent first half of the year. Consequently, equity factors worldwide showed pronounced performance patterns.

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Matthias Hanauer

@HanauerMatthias

10 months

Correct! The value-rates narrative is rather a short story than an ongoing story (see Fig 6 of my latest insight)!

Clifford Asness

@CliffordAsness

10 months

Half right. But it’s not about interest rates! @paradoxinvestor

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Matthias Hanauer

@HanauerMatthias

2 years

Nice reminder! I remember the critical comments when showing valuation spreads in 2020. Now most people claim that they saw it coming

Clifford Asness

@CliffordAsness

2 years

Forgot about this one! A great example of backwards (even over the “long term”) optimization. Even “since inception” isn’t what it’s cracked up to be.

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Matthias Hanauer

@HanauerMatthias

4 years

Great new paper from Manuel Ammann, Sebastian Fischer, and @florian_weigert : Mutual funds with stable factor exposure have higher returns! 👉

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Matthias Hanauer

@HanauerMatthias

4 years

Valuation spreads between value and growth have substantially widened over the last years. In the revised version of our paper () we show that the recent drawdown is fully explained by the spread widening for the US, and to large extent for DM ex-US and EM.

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Matthias Hanauer

@HanauerMatthias

3 years

After the huge MTUM rebalance last week, it seems that (MSCI) value and momentum go less against each other and both outperformed the S&P500 over the last days. Momentum strategies with more frequent rebalancing could already profit in May from value's improved momentum

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