In the Part 1 of this article, we introduced the research design of our study. Here, let’s look at the results.
Results
Exhibit 1 shows the annualized performance of the stock- and industry-level versions of each factor. While the stock-level value factor earned a respectable 2.36% annualized return over the 50-year sample period, the industry-level value factor posted a small negative return. This suggests that industry tilts did not contribute significantly to the performance of the broad value strategy. Despite the gap between the two value factor returns, they were highly correlated. (The correlation coefficient was 0.78.)
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