This series is one of the better when it comes to understanding what has gone wrong for value investors.
The first looks into whether value is actually cheap.
“The evidence brings us full circle to Arnott’s observation that the problem with the Value Factor has not been the absolute performance of Value stocks. The problem has been shorting the Glamour stocks“.
The second, propose something very intriguing – “that looking through the lens of optionality reveals that the source of excess returns to factors are not a function of the securities themselves, but rather the rules of portfolio construction and the embedded optionality these rules create“
