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Makes perfect sense. There were massive increases in certain SP500 stocks, but the majority goes nowhere.

On the whole, if you have the financials of all companies, and apply certain variations of the cigar-butt strategy, you get out ahead. This not only makes sense logically but also works in backtesting.

Value investing is a wide term that includes many strategies. Some of them have made quite a lot of money, very consistently.



> if you have the financials of all companies, and apply certain variations of the cigar-butt strategy, you get out ahead

> This not only makes sense logically but also works in backtesting.

No, it does not work at all in backtests.

That's exactly what I'm talking about: a long short, normalized, rank based on e. g EPS. A typical value signal.


Doesn’t work at all? Using “a common value signal”? There are many value signals that can be used. Some of which print money.


> There are many value signals that can be used. Some of which print money

Please share portfolio weights of such a signal, so that I can check the value exposure and adjusted returns.


The burden of proof is on the person claiming no form of value investing will have passed a backtest over the last decade. That’s you, not the other person.


> The burden of proof is on the person claiming no form of value investing will have passed a backtest over the last decade

Says who?

In my book the burden of proof is on the argument being the less in line with general consensus.

Value being a bad investment in the last decade is not an argument, it's a fact. Value is not something you find, it is a defined factor with academic consensus on the definition. You can have some leaway and build a portfolio highly correlated to value, but that only goes so far.

Claiming to have found a good value signal is then akin to claiming being able to doing consistently good factor timing on value.

This is a feat the top hedge funds on the planet would be weary to claim. Allow me to be skeptical when someone on HN claims to have done so with "basic value indicators" and found something that "prints money".




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