Value Investing Studies

by Euclidean Technologies, LLC

This repo is a collection of data analysis studies that examine the performance and characteristics of value investing over long periods of time. Each directory is a study dedicated to a particular form of data analysis on value investing. The studies depend only on the code herein and publicly available stock market and economic data. We would like to thank Kenneth R. French and Robert Shiller for making this data available through their websites here and here, respectively. The equity investment return data is copyrighted by Kenneth R. French.

The studies in this repo are:

• Value and Inflation:
  • Characterizes the relationship of value stock performance with respect to inflation as measured by the consumer price index
• Value and Interest Rates:
  • Characterizes the relationship of value stock performance with respect to long-term interest rates
• Value is Hard:
  • Compares performance of a hypothetical value fund to S&P500 returns
• Value vs. Growth:
  • Analyzes the performance of value stocks vs. growth stocks over long time horizons

Installing and Executing the Studies

Cloning the Git Repository

To clone our repository, make sure you’re in a directory on your computer that you want to hold our files. Use the command

$ git clone https://github.com/euclidjda/value-investing-studies.git

to copy our repository “value-investing-studies” into your current directory.

Installing Necessary R Dependecies

Some R dependecies are required to run our scripts. Use the command

$ cd value-investing-studies

to navigate into your newly cloned directory. To install the necessary dependencies, use the command:

$ Rscript install_dependecies.R

After the script completes, you will have all the R dependecies required to run our scripts.

Executing the Code

Choose a chart from our README to reproduce.

Suppose we want to run the script “value-cpi-decade-chart.R”. To run this script, we find the directory the script is located in (in this case “value-and-inflation”) and use the command:

$ cd value-and-inflation

to navigate into the directory. Lastly, to run the script, use the command:

$ Rscript value-cpi-decade-chart.R

After doing so, this chart should pop up:

Contributors and Acknowledgement

This repository was developed and is maintained by Euclidean Technologies, LLC. Contributors include David Tran and John Alberg. We would like to thank Kenneth R. French and Robert Shiller for making the stock market and economic data used by this repo available through their websites here and here, respectively. The equity investment return data is copyrighted by Kenneth R. French.

In addition, some of the studies here were not originally conceived by Euclidean. In particular, William Bernstein first published a version of the value-and-inflation study in 2001. Star Capital published a version of the value-vs-growth analysis in 2016.

License

This is experimental software. It is provided under the MIT license, so you can do with it whatever you wish except hold the authors responsible if it does something you don't like.