This is a summary of links featured on Quantocracy on Wednesday, 05/05/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Resurrecting the Value Premium [Alpha Architect]The dramatic underperformance of value stocks as defined by the HmL (the return on high book-to-market stocks minus the return on low book-to-market stocks) since 2017 has led many to question the existence of the value premium. The recent drawdown has been by far the largest ever experienced. From January 2017 through August 2020, the Fama-French small value research index produced a total return