Value vs. Growth: The International Evidence

This 1997 paper by Eugene Fama and Ken French shows that value stocks have higher returns than growth stocks in markets around the world. For 1975-1995, the difference between the average returns on global portfolios of high and low book-to-market stocks is 7.60% per year, and value stocks outperform growth stocks in 12 of 13 major markets.

Forecasting stock returns: What signals matter, and what do they say now?

An October 2012 piece by Vanguard. Expanding on previous Vanguard research in using U.S. stock returns since 1926 to assess the predictive power of more than a dozen metrics that investors would know ahead of time. They find that many commonly cited signals have had weak and erratic correlations with actual subsequent returns, even at long investment horizons. The strongest of the examined indicators is price: earnings ratio, explaining about 40% of the time variation in net-of-inflation returns over the long-term.

The Hedge Fund Mirage

The Wall Street Journal reviews Simon Lack’s 2012 book, “The Hedge Fund Mirage.” In this book, Lack notes that “If all the money that’s ever been invested in hedge funds had been put in Treasury bills instead, the results would have been twice as good.” While hedge funds have proved to be serious moneymakers for those who manage them, investors themselves rarely reap the benefits. The book is a favorite at Atlas.

Performance Persistence

The annual SPIVA Persistence Scorecard, published by S&P Dow Jones Indices (July 2014), shows that very few funds can consistently stay at the top. Of 687 funds that were in the top quartile as of March 2012, only 3.78% managed to stay there by the end of March 2014.