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Quants Show They’re Still Human With 3,168 Versions of Value

  • New research finds ‘no consensus on what value actually is’
  • Best factor method beats worst by 463 percentage points

Quants like boasting that sophisticated models power their trading strategies, not humans. But the models, it turns out, can be as varied as humanity.

Take value, a pillar of factor investing that can be distilled as “buy low, sell high.” Brainchild of Nobel laureate Eugene Fama and Ken French, it’s a simple enough concept. The trouble comes when you need to decide what’s low and high.