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.
This 2013 paper by MSCI Barra lays out the rationale for factor based investing.
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