FYI: The slide in global markets in recent weeks has cut prices near and far, but the steepest declines for the trailing five-year return – a proxy for the value factor – are still linked with the dive in commodities. That was true for the deep-value list in October and the profile is intact in today’s update, which reflects trading through yesterday (Nov. 14).
Before we dive into the rankings, let’s review the definition of value for this preliminary hunt for bargains via exchange-traded products. The ranking is based on five-year annualized return, a trailing period inspired by “Value and Momentum Everywhere,” a 2013 Journal of Finance paper by AQR Capital Management’s Cliff Asness and two co-authors. There are many ways to measure value, but as an initial screen across asset classes and its subsets there’s a case for starting the review with this metric. Why? It’s easy and facilitates the analysis across a broad range of assets on an apples-to-apples basis.
Regards,
Ted
https://www.capitalspectator.com/commodities-continue-to-dominate-deep-value-etf-ranking/
