I occasionally share here some empirical findings on systematic investing that I stumble upon while playing with data. Nothing definitive, just patterns I find interesting enough to write about.
Restricting Value to low-beta stocks improves Sharpe ratios in 8 of 9 universes. The effect is strongest in US Small Caps, where Low Beta Value nearly doubles the CAGR of High Beta Value.
What happens when the market starts rewarding cash burn? After more than a decade of profitability dominance in small caps, 2025 has delivered an unexpected twist.
Disagreement erodes the profitability premium. This analysis explores how analyst information can improve the signal quality of the profitability factor.