RT Journal Article
SR Electronic
T1 Practical Applications of Optimizing Value
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.2016.4.1.158
VO 4
IS 1
A1 Ran Leshem
A1 Lisa R. Goldberg
A1 Alan Cummings
A1 Barbara J. Mack
YR 2016
UL https://pm-research.com/content/4/1/1.13.abstract
AB Optimizing Value Ran Leshem Lisa R Goldberg Alan Cummings Value investing is a central concept in finance, and its popularity has grown dramatically since Benjamin Graham and David Dodd first introduced it in their seminal work, Security Analysis , in 1934. In value investing, two of the most commonly cited measures of portfolio return are the book-to-price ratio (B/P) and the earnings-to-price ratio (E/P). Ran Leshem , Lisa Goldberg and Alan Cummings of Aperio Group evaluate the performance of strategies based on B/P and E/P in their article, Optimizing Value . They explain why B/P became the academic standard in the 1990s and discuss the wisdom of blending B/P and E/P metrics into optimized strategy formats. The team also looks at factor-based optimization and sector-neutral strategies that may help to achieve better performance.