09 agosto 2020

Análise Fundamentalista está morta !

 Value Investing é um fracasso há 30 anos, segundo o professor de de contabilidade   Baruch Lev da NYU:


It is widely believed that the long-standing and highly popular value investing strategy—investing in low-valued stocks and selling short high-valued equities—lost its edge in the past 10-12 years. The reasons for this putative failure of value investing elude investors and academics, making it a challenge to assess the likelihood of the return of value investing to its days of glory. Based on extensive data analysis we show that value investing has generally been unprofitable for almost 30 years, barring a brief resurrection following the dotcom bust. We identify two major reasons for the failure of value investing: (1) accounting deficiencies causing systematic misidentification of value, and particularly of glamour (growth) stocks, and (2) fundamental economic developments which slowed down significantly the reshuffling of value and glamour stocks (mean reversion) which drove the erstwhile gains from the value strategy. We end up by identifying the type of companies (stocks) that may still generate gains from value investing.

Lev, Baruch Itamar and Srivastava, Anup, Explaining the Recent Failure of Value Investing (October 25, 2019). NYU Stern School of Business, Available at


In our widely debated paper (“Explaining the Recent Failure of Value Investing”), we have established empirically the following:

  • The failure of value investing isn’t a recent phenomenon. In fact, this highly touted and widely used investment technology stopped performing in the late 1980s.
  • Value investing had a five-to six-year resurgence in the early 2000s, mainly due to Nasdaq’s collapse, and then returned to its long-term underperformance.
  • An important reason for the failure of value investing is the use of highly deficient accounting data ― book values and earnings, in particular ― in selecting “value” and “growth” stocks.
  • Beyond such mismeasurements, the main reasons for the failure of value investing are long-term, structural economic changes, causing a significant slowdown of the mean reversion of both value and growth stocks.

For the unfamiliar: Value investing is a popular investment scheme of buying low-valued stocks (e.g., low market-to-book or price-to-earnings stocks), and selling short highly valued stocks. The natural rebound of the former (“value” stocks) and the price drop of the latter (“growth” stocks) — namely, mean reversion ― generated the gains from value investing in the 1970s and 1980s.

But despite the clear and damning empirical evidence and the protracted underperformance of most value funds, there are still die-hards claiming that value investing will return to its former glory. In particular, some assert now that value investing is a safeguard in time of crisis. We decided to examine this claim on two recent crises: the financial crisis (December 2007 through June 2009, both inclusive), and the COVID crisis (2020 year, until July 27, 2020). Our data, presented below, will continue to disappoint value believers.

Saiba o que é Value Investing: Estratégia de Warren Buffett

fonte: aqui

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