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The good news is money managers can now turn to a whole new world of alternative data, says Shen, a finance PhD who joined BlackRock through its 2009 acquisition of Barclays Global Investors.
“Once you get that data, you should look for alpha opportunity associated with that rather than put that data over a price number,” he said. “Once you put the price number in, it potentially destroys the effectiveness of that new data source.”
Shen’s systematic group hasn’t conducted research on the U.S. value factor for years now. In their view, price is fickle. It naturally dominates all valuation formulas. And that means such ratios become the product of historical returns rather than predictors of future moves.
To build portfolios, the group taps into social media to gauge employee sentiment, parses online job postings to see which firms are hiring and uses machine-learning algorithms to figure out how the myriad variables in their models interact with one another.
Value traditionalists counter that their rules-based strategy is built for the long haul and will ultimately bounce back after a decade of underperformance. Even among those harboring doubts, the consensus has been to fix it -- for instance by including intangible assets in book value -- rather than to abandon it entirely.
The good news is money managers can now turn to a whole new world of alternative data, says Shen, a finance PhD who joined BlackRock through its 2009 acquisition of Barclays Global Investors.
“Once you get that data, you should look for alpha opportunity associated with that rather than put that data over a price number,” he said. “Once you put the price number in, it potentially destroys the effectiveness of that new data source.”
Shen’s systematic group hasn’t conducted research on the U.S. value factor for years now. In their view, price is fickle. It naturally dominates all valuation formulas. And that means such ratios become the product of historical returns rather than predictors of future moves.
To build portfolios, the group taps into social media to gauge employee sentiment, parses online job postings to see which firms are hiring and uses machine-learning algorithms to figure out how the myriad variables in their models interact with one another.
Value traditionalists counter that their rules-based strategy is built for the long haul and will ultimately bounce back after a decade of underperformance. Even among those harboring doubts, the consensus has been to fix it -- for instance by including intangible assets in book value -- rather than to abandon it entirely.
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