Monolith Research
In plain terms
Cheaper stocks (by fundamentals) have tended to outperform expensive ones over the long run — the value premium. This builds it from a cross-sectional ranking.
How it works
Fundamentals are turned into a value score — long the cheap against the expensive — with size and sector controls.
What it’s tested against
Out-of-sample on a point-in-time panel (no look-ahead in the fundamentals), costs stressed, factors controlled.
Data
CRSP / Compustat point-in-time fundamentals.
Researched — the value factor on a survivorship-correct panel.