Appendix A
Table V: Strategy I,quarterlyand yearly performance overview[1]
Table V, Panel A shows the absolute percentage quartileportfolio returnsforstrategy I (bargain)based on value investors’ portfolio holdings. Portfolio reformation occurs yearly in the beginning of April during the period of 1996-2008. In addition, returns in year two and year three (assuming no reformationafter year one), the annualized three year return and the compounded three year return are indicated. Yearly data refers to a time frame between the beginning of April and the end of March the following year. Data in this table is annualized over the whole period 1996-2008 instead of averaged as before thereby giving further useful information.
Table V, Panel B shows the compounded quartileportfolio returnsforstrategy I (bargain)based on value investors’ portfolio holdings. Portfolioreformation occurs yearly in the beginning of April during the period of 1996-2008. In addition, returns in year two and year three(assuming no reformationafter year one) are indicated. Yearly data refers to a time frame between the beginning of April and the end of March the following year. Data in this table is annualized over the whole period 1996-2008 instead of averaged as before thereby giving further useful information.
Table V, Panel C shows monthly compoundedquartileportfolio returns for year one by strategy I (bargain)based on value investors’ portfolio holdings. Portfolioreformation occurs yearly in the beginning of April during the period of 1996-2008.
Table V, Panel Dshows yearly absolute quartileportfolio returnsforstrategy I (bargain)based on value investors’ portfolio holdings. Portfolioreformation occurs yearly in the beginning of April during the period of 1996-2008. In addition, returns in year two and year three(assuming no reformationafter year one), the annualized three year return and the compounded three year return are indicated. Data in this table is annualized over the whole period 1996-2008 instead of averaged as before thereby giving further useful information.
Table VI: Strategy II,quarterlyand yearly performance overview[2]
Table VI, Panel A shows the absolute percentage quartileportfolio returnsforstrategy II (consensus broadest-held)based on value investors’ portfolio holdings. Portfolio reformation occurs yearly in the beginning of April during the period of 1996-2008. In addition, returns in year two and year three (assuming no reformationafter year one), the annualized three year return and the compounded three year return are indicated. Yearly data refers to a time frame between the beginning of April and the end of March the following year. Data in this table is annualized over the whole period 1996-2008 instead of averaged as before thereby giving further useful information.
Table VI, Panel B shows the compounded quartileportfolio returnsforstrategy II (consensus broadest-held)based on value investors’ portfolio holdings. Portfolioreformation occurs yearly in the beginning of April during the period of 1996-2008. In addition, returns in year two and year three(assuming no reformationafter year one) are indicated. Yearly data refers to a time frame between the beginning of April and the end of March the following year. Data in this table is annualized over the whole period 1996-2008 instead of averaged as beforethereby giving further useful information.
Table VI, Panel Cshows yearly absolute quartileportfolio returnsforstrategy II (consensus broadest-held)based on value investors’ portfolio holdings. Portfolioreformation occurs yearly in the beginning of April during the period of 1996-2008. In addition, returns in year two and year three(assuming no reformationafter year one), the annualized three year return and the compounded three year return are indicated. Data in this table is annualized over the whole period 1996-2008 instead of averaged as before thereby giving further useful information.
Table VII: Strategy III,quarterlyand yearly performance overview[3]
Table VII, Panel A shows the absolutepercentage quartileportfolio returnsforstrategy III (consensus most-weighted)based on value investors’ portfolio holdings. Portfolioreformation occurs yearly in the beginning of April during the period of 1996-2008. In addition, returns in year two and year three (assuming no reformationafter year one), the annualized three year return and the compounded three year return are indicated. Yearly data refers to a time frame between the beginning of April and the end of March the following year. Data in this table is annualized over the whole period 1996-2008 instead of averaged as before thereby giving further useful information.
Table VII, Panel B shows the compounded quartileportfolio returnsforstrategy III (consensus most-weighted)based on value investors’ portfolio holdings. Portfolioreformation occurs yearly in the beginning of April during the period of 1996-2008. In addition, returns in year two and year three(assuming no reformationafter year one) are indicated. Yearly data refers to a time frame between the beginning of April and the end of March the following year. Data in this table is annualized over the whole period 1996-2008 instead of averaged as before thereby giving further useful information.
Table VII, Panel Cshows yearly absolute quartileportfolio returnsforstrategy III (consensus most-weighted)based on value investors’ portfolio holdings. Portfolioreformation occurs yearly in the beginning of April during the period of 1996-2008. In addition, returns in year two and year three(assuming no reformationafter year one), the annualized three year return and the compounded three year return are indicated. Data in this table is annualized over the whole period 1996-2008 instead of averaged as before thereby giving further useful information.
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Appendix B
Table VIII:Yearlyaverage portfolio return differences versus S&P 500 and Russel 3000 Value
Table VIIIshows the yearly percentage portfolio return differences versus the S&P 500 and Russel 3000 Value market indexes by various buy-and-hold strategies (bargain, consensus broadest-held, consensus most-weighted)based on value investors’ portfolio holdings. Portfolio reformation occurs yearly in the beginning of April during the period of 1996-2008. Yearly data refers to a time frame between the beginning of April and the end of March the following year. In addition, years in which the market indexes declined are marked with “N”, up-market years are indicated with a “+”. The t-statistic for the test of the hypothesis that the differences in returns between each strategy and the market indexes are equal to zero, the corresponding p-value and the annual return differences are indicated in the bottom lines. The Tracking Error (TE) and Information Ration (IR) are indicated for convenience as further usefulportfolio information.
Graph III: Three year compounded return differences versus S&P 500 and Russel 3000 Value
Graph IIIshows the three year compoundedtotal portfolio return differences versus the S&P 500 and Russel 3000 Value indexesby various selection strategies (bargain, consensus broadest-held, consensus most-weighted) based on value investors’ portfolio holdings (assuming no reformation during the complete three year period).
Appendix C
Table IX: First, second, third yearaverage return differences versus S&P 500 forstrategies I-III
Table IX shows the buy-and-hold return in year one, year two and year three(assuming no reformationduring the complete three year period) compared to the S&P 500 market indexes by various buy-and-hold strategies (bargain, consensus broadest-held, consensus most-weighted) based on value investors’ portfolio holdings. Yearly data refers to a time frame between the beginning of April and the end of March the following year for the period between 1996-2008. In addition, years in which the market indexes declined are marked with “N”, up-market years are indicated with a “+”. The t-statistic for the test of the hypothesis that the differences in returns between each strategy and the market indexes are equal to zero, the corresponding p-value and the annual return differences are indicated in the bottom lines. The Tracking Error (TE) and Information Ratio (IR) are indicated for convenience as further usefulportfolio information.
Table X:First, second, third year average return differences vs.Russel 3000 Value forstrategies I-III
Table X shows the buy-and-hold return in year one, year two and year three (assuming no reformation during the complete three year period) compared to the Russel 3000 Value market indexes by various buy-and-hold strategies (bargain, consensus broadest-held, consensus most-weighted) based on value investors’ portfolio holdings. Yearly data refers to a time frame between the beginning of April and the end of March the following year for the period between 1996-2008. In addition, years in which the market indexes declined are marked with “N”, up-market years are indicated with a “+”. The t-statistic for the test of the hypothesis that the differences in returns between each strategy and the market indexes are equal to zero, the corresponding p-value and the annual return differences are indicated in the bottom lines. The Tracking Error (TE) and Information Ration (IR) are indicated for convenience as further usefulportfolio information.
Appendix D
Graph IV:First,second, third year average return differences versus S&P 500
Graph IV shows the buy-and-hold return in year one, year two and year three (assuming no reformation during the complete three year period) compared to the S&P 500 market index by various buy-and-hold strategies (bargain, consensus broadest-held, consensus most-weighted) based on value investors’ portfolio holdings.
GraphV:First, second, third year average return differences versusRussel 3000 Value
Graph V shows the buy-and-hold return in year one, year two and year three (assuming no reformation during the complete three year period) compared to the Russel 3000 Value market index by various buy-and-hold strategies (bargain, consensus broadest-held, consensus most-weighted) based on value investors’ portfolio holdings.
Appendix E
Graph VI:Yearly return differences versus S&P 500 forstrategies I-III
Graph VIshows the yearlypercentage portfolio returndifferences by various buy-and-hold strategies (bargain, consensus broadest-held, consensus most-weighted)based on value investors’ portfolio holdings. In addition, years in which the market index (S&P 500) declined are marked with “N”, up-market years are indicated with a “+”. Yearly data refers to a time frame between April 1stand March 31st the following year. Portfolio reformation occurs yearly in during the period of 1996-2008.
Graph VII:Yearly return differences versus Russel 3000 Value for strategies I-III
Graph VIIshows the yearlypercentage portfolio returndifferences by various buy-and-hold strategies (bargain, consensus broadest-held, consensus most-weighted)based on value investors’ portfolio holdings. In addition, years in which the market index (Russel 3000 Value) declined are marked with “N”, up-market years are indicated with a “+”. Yearly data refers to a time frame between April 1st and March 31st the following year. Portfolio reformation occurs yearly in during the period of 1996-2008.
Appendix E
Graph VIII: Quarterly portfolio return difference versus S&P 500 forstrategy I
Graph VIII shows the quarterlypercentage portfolio returndifferences by strategy I (bargain)based on value investors’ portfolio holdings. In addition, quarters in which the market index (S&P 500) declined are marked with “N”, up-market years are indicated with a blank. Portfolio reformation occurs in the beginning of April yearly during the period of 1996-2008.
Graph IX: Quarterly portfolio return difference versus S&P 500 for strategy II
Graph IX shows the quarterlypercentage portfolio returndifferences by strategy II (consensus broadest-held)based on value investors’ portfolio holdings. In addition, quarters in which the market index (S&P 500) declined are marked with “N”, up-market years are indicated with a blank. Portfolio reformation occurs in the beginning of April yearly during the period of 1996-2008.
Graph XX: Quarterly portfolio return difference versus S&P 500 forstrategy III
Graph XX shows the quarterlypercentage portfolio returndifferences by strategy III (consensus most-weighted)based on value investors’ portfolio holdings. In addition, quarters in which the market index (S&P 500) declined are marked with “N”, up-market years are indicated with a blank. Portfolio reformation occurs in the beginning of April yearly during the period of 1996-2008.
Graph XXI: Quarterly portfolio return difference versus Russel 3000 Value forstrategy I
Graph XXI shows the quarterlypercentage portfolio returndifferences by strategy I (bargain)based on value investors’ portfolio holdings. In addition, quarters in which the market index (S&P 500) declined are marked with “N”, up-market years are indicated with a blank. Portfolio reformation occurs in the beginning of April yearly during the period of 1996-2008.
Graph XII: Quarterly portfolio return difference versus Russel 3000 Value forstrategy II
Graph XXII shows the quarterlypercentage portfolio returndifferences by strategy II (consensus broadest-held)based on value investors’ portfolio holdings. In addition, quarters in which the market index (Russel 3000 Value) declined are marked with “N”, up-market years are indicated with a blank. Portfolio reformation occurs in the beginning of April yearly during the period of 1996-2008.
Graph XXIII: Quarterly portfolio return difference versus Russel 3000 Value forstrategy III
Graph XXIII shows the quarterlypercentage portfolio returndifferences by strategy I (consensus most-weighted)based on value investors’ portfolio holdings. In addition, quarters in which the market index (Russel 3000 Value) declined are marked with “N”, up-market years are indicated with a blank. Portfolio reformation occurs in the beginning of April yearly during the period of 1996-2008.
Appendix F
List of value funds selected for this paper:
Available on request
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[1]q1-4 = quarter one to four, y1-3 = year one to three, m1-12 = month one to twelve, ann = annualized, comp3 = three years compounded
[2] q1-4 = quarter one to four, y1-3 = year one to three, ann = annualized, comp3 = three years compounded
[3] q1-4 = quarter one to four, y1-3 = year one to three, ann = annualized, comp3 = three years compounded