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O’Shaughnessy Asset Management: Additional Insights into the Value Factor's Inner Workings

FYI: In this appendix, we're going to explore the inner workings of the value factor by analyzing the properties and behaviors of its different future growth bins. To follow the analysis, readers will need to have read our earlier piece on the topic, Factors from Scratch.

The chart below shows the EPS of the value factor and its five future one-year EPS growth bins from 1965 through 2017. The black line is the EPS of the value factor itself and the colored lines are the EPS of the different growth bins within it, ranging from the top growth bin in green to the bottom growth bin in red. The vertical gridlines delineate the June rebalancing dates:
Regards,
Ted
https://osam.com/Commentary/insights-into-the-value-factors-inner-workings?utm_campaign=c3bf694760-EMAIL_CAMPAIGN_2017_12_20_COPY_38&utm_medium=email&utm_source=PAID+The+Idea+Farm&utm_term=0_ac58d173d8-c3bf694760-411914281
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