Research

Noax Research

Short research on systematic investing, by Ivan Blanco. Simple replications of published strategies in other samples and periods. One question, one or two charts, the method and what the results do not say.

• Noax Research No. 1 · 25 Oct 2026 · 4 min read

  Value pays in some sectors and not in others

  I sort US stocks by book-to-market inside each of 12 sectors, from 1966 to 2025. Value pays well inside financials, energy and utilities, and little or nothing inside tech, healthcare or retail. Sorting inside sectors keeps the premium of a standard value factor and cuts its volatility from 12% to 9%.

  Value/Series · Where does it live?