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Latest Valuentum Commentary

Sep 11, 2019
Economic Roundtable: “Value” Versus “Growth” Rotation
“This kind of trading activity could be setting the stage for a big quant fund blow up, if the kind of leverage it takes to move the markets to this magnitude was applied. All it may take is for the B/M “value” factor to continue to suffer in the coming 12-18 months--it’s possible we could see a few quant firms go belly up. My guess is that market participants are paying very close attention to this activity, and if they “smell blood,” things could get ugly.” – Brian Nelson, CFA
Jul 6, 2018
Indexing Moves Markets and Creates Inefficiencies
We think the example of Longfin Corp shows definitively that index investing moves markets and can create inefficiencies. In a prior paper, we introduced the concept of expectations “errors” as it relates to testing market efficiency, and in this paper, we strive to identify the foundational element that may help explain not only that inefficiencies exist because of index investing, but also the drivers behind such inefficiencies, illustrated as function of shares purchased by index trackers to achieve the respective index weight as a percentage of the number of shares in the company’s float. It may not be whether indexing moves markets or causes inefficiencies, but rather, how frequently and by how much.


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