26 Pages Posted: 18 Oct 2014
Date Written: October 16, 2014
We compare the performance of 13 value investing screens used by practitioners against a simple model based on buying stocks with the lowest enterprise multiple. Our sample of value investing screens underperform the simple lowest enterprise multiple strategy. The one exception is the Piotroski F-Score screen, which has similar performance relative to the enterprise multiple strategy. Overall, the evidence suggests that simple value investing models can perform just as well as, if not better than, more complex value investing models.
Keywords: AAII, value investing, anomalies
JEL Classification: G10, G12, G14
Suggested Citation: Suggested Citation
Gray, Wesley R. and Vogel, Jack and Xu, Yang, Does Complexity Imply Value? AAII Value Strategies from 1963 to 2013 (October 16, 2014). Available at SSRN: https://ssrn.com/abstract=2511090 or http://dx.doi.org/10.2139/ssrn.2511090