1. The reader is referred to Table 4. The WLRR and forecasted earnings portfolios. portfolios of 1993 work to outperform the benchmark during the December 1996 -December 2022 period. Sharpe and Information Ratios often rise with higher tracking errors 6-8 %, as opposed to 4 %, more of an index-enhanced level;Bloch;We report similar results for FactSet MSCI-Japan (approximately230) stocks during the 1995-2022 for the Factor backtests reported in Table 4. The ICs, Sharpe Ratios, and IRs, support REG9, REG8, and REG10 in modeling Japanese stocks,1959
2. analyses have been re-validated and, in some cases, enhanced in the 30 years since its publication. The composite model and robust regression model ICs continues to be statistically significant in the US and Japan equities. The regression modeling addressed in Guerard;Suzuki Guerard;Ziemba (1991), Ziemba and Schwartz,1992
3. Value and momentum everywhere;C Asness;Journal of Finance,2013
4. Comparing asset pricing models;F Barillas;Journal of Finance,2018