Investment (CMA)
✗ deadInvestment· Price data
Conservative-minus-aggressive investment: firms that invest conservatively outperform aggressive investors. Related to the q-factor model (Hou, Xue & Zhang 2015). The premium is theoretically motivated by the investment-value relationship in production-based asset pricing models.
IS Sharpe (1963–2014)
0.685
+3.9% p.a.
OOS Sharpe (2015–2026)
-0.157
-1.2% p.a.
Sharpe decay
+122.9%
(IS − OOS) / |IS|
IS vol
5.7%
annualized
Cumulative return (last 40 years, monthly)
+142%1986-012026-04
Publication details
PaperFama & French (2015); Titman, Wei & Xie (2004)
JournalJournal of Finance
Publication year2015
More Investment anomalies
Asset growth+0.61Growth in book equity+0.55Inventory Growth+0.48change in ppe and inv/assets+0.44Change in long-term investment+0.36change in net operating assets+0.35
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