@article {Fong105, author = {Wai Mun Fong}, title = {Value without HML}, volume = {26}, number = {4}, pages = {105--121}, year = {2017}, doi = {10.3905/joi.2017.26.4.105}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Investor interest in value stocks (stocks with high book-to-market ratios) is tempered by the greater economic and financial distress risk of value stocks compared with growth stocks. The author proposes an investment strategy that has no significant high-minus-low (HML) exposure, but nonetheless is able to deliver value-like returns. The strategy is constructed by intersecting stocks with high gross profitability ({\textquotedblleft}good growth stocks{\textquotedblright}) and low betas ({\textquotedblleft}good value stocks{\textquotedblright}). He shows that this blended portfolio has much higher Sharpe ratios than conventional value stocks, making it a compelling investment for long-term investors. In the short term, the profitable, low-beta strategy is shown to have substantially lower maximum drawdown and lower downside risk in recessionary periods.TOPICS: Security analysis and valuation, analysis of individual factors/risk premia}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/26/4/105}, eprint = {https://joi.pm-research.com/content/26/4/105.full.pdf}, journal = {The Journal of Investing} }