In historical testing, valuation-indifferent indexing produces statistically significant and economically large outperformance relative to traditional capitalization-weighted indexes. This result has been found for both U.S. and global equity data, as well as U.S. corporate bonds and emerging...

The concept of Clairvoyant Value, introduced by the authors in the Spring 2009 issue of this journal, facilitates exploration of how the market prices future growth expectations across securities and over time. The authors find both concurrent and predictive links between the intertemporal...

The authors compare the price of a stock at a given point in time with its ex post realized value, which is defined by the discounted net present value of subsequent actual cash distributions. This measure is called the Clairvoyant Value, that is, the value that a clairvoyant investor with...

In historical testing, valuation-indifferent weighting applied to U.S. and global equities has produced statistically significant and economically large outperformance when compared with traditional capitalization-weighted benchmarks. In this article, the authors apply valuation-indifferent...

By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characteristics have earned high returns, whereas...

The world has been severely challenged by the Coronavirus Disease (COVID-19) outbreak since the early 2020s. Worldwide, there have been more than 66 million cases of infection and over 3,880,450 deaths caused by this highly contagious disease. All sections of the population including those who...

Stock characteristics have two sources of predictive power. First, a characteristic might be valuable in identifying high or low expected returns across industries. Second, a characteristic might be useful in identifying individual stock expected returns within an industry. Past studies...