You cannot buy an idea. You buy a rulebook.
Value is one idea. Every fund that sells it has to turn it into a rule, and the rule is where they part company. Two flagship value indexes, built on the same market and the same idea.
| Two value indexes . same market | Weight |
|---|
| Held by both, as a share of weight | 75 to 80 pct |
| Can be unique to just one of them | over 30 pct |
| Rulebooks behind the same word | 2 |
| The textbook value factor . how stale is the price it reads | Months |
|---|
| Age of the price at portfolio formation | 6 |
| Age of that same price by the next rebalance | 18 |
| Extra return per year from reading a current price instead | 305 to 378 bps |
The standard version of the value factor decides what is cheap using a price from last December. Asness and Frazzini changed that one input, nothing else, and found 3.05 to 3.78 pct a year that the standard version never saw, measured against a model that already contained standard value. Same idea. Same factor. One detail.