Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 10, 2010 erstellt
Description:
We examined the return comovement of popular value-oriented investment strategies inside and outside equity. There are two distinct groups among the strategies that we examined. The returns of strategies within a group move together, while the returns of strategies belonging to different groups do not. Also, two groups have very different exposures to conventional equity risk factors. We interpret one of two groups as being related to the forward bias, and the other as being related to the contrarian profits. To illustrate the usefulness of this grouping, we considered two applications. In the first application, an effective way to achieve value diversification requires selecting value strategies from both groups. In the second application, an effective way of carrying out value timing requires excluding one group from the analysis