Value Factor

  • Interesting piece by Cliff Asness of AQR on the value factor.
  • Valuation of value stocks (the cheapest ones) are near historic levels against the most expensive stocks on several measures – suggesting now might be a good time to invest in this factor.
  • This chart shows the price to book ratio of the expensive 30% of stocks divided by this ratio for the cheapest 30%, adjusted for industry.
  • The spread is now in 97th %ile of the ex-tech bubble range.
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