FYI: US stock market volatility has soared in recent months, but the surge for this measure of risk hasn’t knocked American equities from their perch as the best performer for the major asset classes for the trailing five-year return, a proxy for estimating the state of value pricing. At the opposite extreme, broadly defined commodities continue to post the deepest shade of red ink for the major asset classes.
The choice of the five-year annualized return to rank funds from a value perspective is inspired by “Value and Momentum Everywhere,” a 2013 Journal of Finance paper by AQR Capital Management’s Cliff Asness and two co-authors. There’s a wide set of value metrics, but as an initial screen across asset classes and its subsets there’s a case for using a simple performance review. 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/deep-value-etf-report-end-of-year-review/
