Does Complexity Imply Value? AAII Value Strategies from 1963 to 2013

26 Pages Posted: 18 Oct 2014  

Wesley R. Gray

Alpha Architect; Drexel University - LeBow College of Business

Jack Vogel

Alpha Architect; Villanova University

Yang Xu

Alpha Architect

Date Written: October 16, 2014

Abstract

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

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

Wesley R. Gray (Contact Author)

Alpha Architect ( email )

213 Foxcroft Road
Broomall, PA 19008
United States
7732304727 (Phone)

HOME PAGE: http://www.alphaarchitect.com

Drexel University - LeBow College of Business ( email )

3141 Chestnut St
Philadelphia, PA 19104
United States

HOME PAGE: http://www.lebow.drexel.edu/corporate-services/corporate-and-executive-education/executive-faculty

Jack Vogel

Alpha Architect ( email )

213 Foxcroft Road
Broomall, PA 19008
United States
215-882-9983 (Phone)

HOME PAGE: http://alphaarchitect.com/

Villanova University ( email )

Villanova, PA 19085
United States

Yang Xu

Alpha Architect ( email )

213 Foxcroft Road
Broomall, PA 19008
United States

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