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What is Joint Value and Profitability in Investing about?

This document discusses constructing market portfolios that tilt towards stocks ranking highly on both value and profitability metrics. The authors find that over 1940-2019, such "tilted market portfolios" generated substantially higher returns than a pure market portfolio, with only modest reductions in volatility. Even in recent decades where value strategies underperformed, tilted portfolios still outperformed market portfolios. Bootstrapped simulations over longer holding periods (1-30 years) show tilte

Author

Vincy

Language

EN