Search found 2737 matches

by Robert T
Thu Oct 08, 2020 6:18 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value Fans: "Morningstar's Take on the Third Quarter"
Replies: 25
Views: 1994

Re: Small Cap Value Fans: "Morningstar's Take on the Third Quarter"

. Vanguard's 10-year annualized return outlook https://americas.vanguard.com/institutional/articles/research-commentary/markets-economy/market-perspectives.htm U.S. equities 3.9%-5.9% (17.9% median volatility) Global equities ex-U.S. (unhedged) 7.4%-9.4% (18.6%) U.S. value 5.0%-7.0% (19.9%) U.S. gro...
by Robert T
Thu Oct 08, 2020 10:00 am
Forum: Investing - Theory, News & General
Topic: ChooseFI Facebook event tonight: MONEY TALKS with Rick Ferri, Paul Merriman, and Larry Swedroe
Replies: 18
Views: 2076

Re: ChooseFI Facebook event tonight: MONEY TALKS with Rick Ferri, Paul Merriman, and Larry Swedroe

.
Good discussion
Good to hear from Larry again, miss him on this forum
Good point about taxes Rick

Pick an allocation you can stick with.
.
by Robert T
Tue Oct 06, 2020 7:56 am
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 121
Views: 9952

Re: AQR still singing the same song

. FWIW AQR's US mutual funds seem to account for a small share of AQR's total AUM - about 12% if my calculations are correct Two funds: AQR (US) Large Cap Defensive and AQR Managed Futures Strategy account for over half (53%) of their US mutual fund AUM. Four funds - the above two plus AQR (US) Larg...
by Robert T
Mon Oct 05, 2020 11:53 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness will be our next "Bogleheads on Investing" podcast guest
Replies: 61
Views: 4132

Re: Cliff Asness will be our next "Bogleheads on Investing" podcast guest

. Early years: What investment strategies did he work on/implement at Goldman Sachs? (which were highly successful re: Global Alpha Fund). Was it different or the same as he is doing now? Factors: AQR uses a number of factors in its funds: Value, momentum, quality, and more recently carry and trend....
by Robert T
Thu Oct 01, 2020 8:07 pm
Forum: Investing - Theory, News & General
Topic: Looking at the Dodge & Cox family performance relative to its own benchmarks
Replies: 18
Views: 1631

Re: Looking at the Dodge & Cox family performance relative to its own benchmarks

. Interesting analysis and comparisons no factors, no tilts, ... That's not accurate/not true - Dodge & Cox are long-term value investors. They explicitly tilt to value: https://www.dodgeandcox.com/insights_podcasts.asp [see webcast on The Case for Active Value Investing] Their equity funds have pos...
by Robert T
Wed Sep 30, 2020 7:16 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

. Bogle Jr. vs. Bogle Sr. October 1999 – August 2020: Annualized return / Sharpe Ratio 10.22 / 0.49 = Bogle Small Cap Growth [BOGIX] = fund managed by Bogle Jr. ..7.32 / 0.43 = Vanguard Total Stock Market [VTSMX] https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&...
by Robert T
Wed Sep 30, 2020 4:49 am
Forum: US Chapters
Topic: Where did HEDGEFUNDIE go?
Replies: 81
Views: 8190

Re: Where did HEDGEFUNDIE go?

.
Hedgefundie had some interesting ideas and insights.

But if you tilt your posts towards arrogance and a combative style and tone of posting (from any side of a discussion) it seems to eventually end with blow-ups.
.
by Robert T
Mon Sep 28, 2020 12:20 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

One could always take lower risk, more certainty of market returns, or even below market returns from lower risk stocks than market (I don't think growth stocks are low risk, they have high uncertainty too of different kind, but min vol/low vol/dividend growth can be). Especially given high quality...
by Robert T
Sat Sep 26, 2020 12:02 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Much love to you all but I am gonna take a break from Bogleheads to clear my mind and focus on setting up healthy goals for the increased expected return of my factor-tilted portfolio :twisted:. Hopefully whenever the tide turns for SCV this thread can get back to the fun times of cheering it on an...
by Robert T
Sat Sep 26, 2020 1:57 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

. Earnings-per-share levels are lower, earnings volatility is higher, and debt levels are higher and more expensive on average for smaller companies – and even more so for small cap value companies. If you combine 10 of these companies and take the average – average earnings are still lower, aggrega...
by Robert T
Fri Sep 25, 2020 1:09 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Robert T: Are correlations between expected and realized returns equal for all assets? or is there evidence that lower risk assets have better probability of realizing the expected results than higher risk assets. If so, wouldn't it be better to accept lower but reliable returns than higher and unr...
by Robert T
Fri Sep 25, 2020 7:43 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

If I heard it correctly Ben Felix said in his last podcast that value is more likely to outperform during a recession. Is this accurate? From my earlier analysis using the "NBER recession" definition (which is the standard). Since start of 1928: SV underperformed Market in 60% of cases (9 of 15) Ho...
by Robert T
Fri Sep 25, 2020 7:35 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Surprised these are so high, in particular the US large cap. Expected portfolio returns are lower now that they were 18 years ago. And realized returns over the past 18 years were also higher than expected. AQR, Buckingham, Research Affiliate, and Blackrock seem to have similar expected US market r...
by Robert T
Thu Sep 24, 2020 6:22 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

. We make decisions based on information we have at the time. If I went back 18 years to the start again, I would make the same decisions. Potential opportunity costs are assessed ex-ante (at the time of the decision) based on expected return difference and expected downside risks. They are not asse...
by Robert T
Thu Sep 24, 2020 6:52 am
Forum: Personal Consumer Issues
Topic: What is the single best piece of exercise equipment you bought for your home?
Replies: 245
Views: 15367

Re: What is the single best piece of exercise equipment you bought for your home?

CoAndy wrote: Sat Jun 27, 2020 7:36 am For me, hands down it would be the Assault Bike.
+1
by Robert T
Wed Sep 23, 2020 2:42 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

The latter story is, of course, much harder to swallow. The part you cut off is also important IMO. Correlations of small cap and value stocks with the market tend to 1 in market crashes. This leads to the sometimes observed higher Sharpe ratio but increased negative skewness (downside risk) in por...
by Robert T
Tue Sep 22, 2020 7:00 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

But what is that assumption of lower diversification based off of? Small rate movement? Lower yields? A change in how convexity behaves? Near zero federal funds rate. Worth a read. https://www.gmo.com/americas/research-library/2q-2020-gmo-quarterly-letter/ From the article: The inimitable charm of ...
by Robert T
Tue Sep 22, 2020 4:15 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

There are two camps here, the camp that thinks tilting gets you more expected return but with commiserate risk, and those that think it diversifies risk (increases risk-adjusted return). The 1st camp would remove tilts until they are 100% market cap before adding bonds. The 2nd cap would leave thei...
by Robert T
Sun Sep 20, 2020 1:30 pm
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 121
Views: 9952

Re: AQR still singing the same song

Cliff Asness agreed to be my November guest on the Bogleheads on Investing podcast. Bogleheads will be able to ask him intelligent questions that would benefit the community. I will post more next month. Rick Ferri Thanks Rick. While they are in my head - here are a few questions that would be inte...
by Robert T
Sun Sep 20, 2020 10:02 am
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 121
Views: 9952

Re: AQR still singing the same song

Thanks Robert T. This is actually close to how I allocate. Like Ketawa, my entire allocation is in AQR funds apart from 401k restrictions (the rest is with Vanguard). It blows my mind how people breathlessly badmouth AQR on here. I mean, what's the point? If you think you can better deploy your mon...
by Robert T
Sun Sep 20, 2020 2:43 am
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 121
Views: 9952

Re: AQR still singing the same song

. If I was to invest in AQR funds it would be along the lines of the following (for the equity portion): 25% = AQR Large Cap Multi-Style [QCELX] 25% = AQR Small Cap Multi-Style [QSMLX] 37% = AQR International Multi-Style [QICLX] 13% = AQR Emerging Multi-Style [QEELX] Approximate factor loads: 1.00 =...
by Robert T
Sat Sep 19, 2020 1:58 pm
Forum: Investing - Theory, News & General
Topic: So, you want to tilt to growth
Replies: 33
Views: 2803

Re: So, you want to tilt to growth

. According to Ken French's data: Book-to-market: July 2020 / December 1999 FF Small Value: 1.14 / 1.14 FF Large Growth: 0.12 / 0.15 Ratio FF-SV/FF-LG: 9.2 / 7.8 So on Book-to-market valuation metric, FF Small Value is the same as it was in December 1999, while FF large Growth is 15%+ more expensive...
by Robert T
Sat Sep 19, 2020 4:45 am
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 121
Views: 9952

Re: AQR still singing the same song

. I think Asness/AQR has been fairly consistent on value and momentum (initial focus), with quality added later. Re: Interaction of Value and Momentum Strategies and Value and Momentum Everywhere Its earliest long-only funds focused (and still focus) on value and momentum (International equity, glob...
by Robert T
Fri Sep 18, 2020 9:09 pm
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 121
Views: 9952

Re: AQR still singing the same song

. Here are some extras from a Q&A with Asness from Lasse Pedersen’s book Efficiently Inefficient (2015). My underlines. Well, the single biggest difference between real world and academia is— this sounds over scientific— time dilation. I’ll explain what I mean. This is not relativistic time dilation...
by Robert T
Fri Sep 18, 2020 3:35 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Multifactor fund VFMF has had a bad year
Replies: 93
Views: 4933

Re: VFMF has had a bad year (So has VFMFX)

Out of curiosity, I've edited Robert T's PV results to include (below) Vanguard's mutual fund version of VFMF, i.e. VFMFX. As others have already pointed out, these two funds are NOT direct subsets of the same overall fund like Vanguard index ETF/Mutual Fund pairs typically are. These funds however...
by Robert T
Fri Sep 18, 2020 9:38 am
Forum: Investing - Theory, News & General
Topic: Vanguard Multifactor fund VFMF has had a bad year
Replies: 93
Views: 4933

Re: VFMF has had a bad year

. So far VFMF looks okay (if wanting those types of tilts). Here are the factor loads since inception (using daily data to increase sample size): 0.02 = Annual alpha 0.98 = Market 0.45 = Size 0.47 = Value 0.18 = Momentum 0.19 = Profitability [quality] 97.7 = R^2 https://www.portfoliovisualizer.com/f...
by Robert T
Thu Sep 17, 2020 10:10 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

I'm curious about what the general mindset was like back then (~2003). Were people rushing into small/value strategies because of the 2000-2003 outperformance? Were people saying that large growth investing is dead? The 18% annualized return of the S&P500 from 1990 to 1999 doesn't fade that fast in...
by Robert T
Thu Sep 17, 2020 7:05 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Thanks Robert.... I'm sure you've shared it before.... but care sharing your actual fund holdings? My stock:bond allocation (75:25), US:EAFE:EM allocation (50:37:13), and 0.2/0.4 size/value load targets have been the same for the past 17+ years (since start of 2003). The funds used to achieve these...
by Robert T
Thu Sep 17, 2020 4:27 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

. Just did a quick check-in on sources of my portfolio return since start of 2003 to yesterday. +7.1% = "Global market portfolio": 55% world stock:45% bonds +0.8% = From stock:bond decision* +0.0% = From within bond decisions** +0.7% = From within stock decisions*** +8.6% = Total return * Higher sto...
by Robert T
Wed Sep 16, 2020 5:11 pm
Forum: Investing - Theory, News & General
Topic: Growth v. value in two Vanguard active international funds
Replies: 20
Views: 1158

Re: Growth v. value in two Vanguard active international funds

. Ah. Now that we are all choosing actively managed international value funds. Here are 2 more. Tweedy Browne Global Value (Graham and Dodsville) [TBGVX] First Eagle Overseas [SGOVX] https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2020&last...
by Robert T
Wed Sep 16, 2020 2:12 am
Forum: Investing - Theory, News & General
Topic: You are probably invested in Bitcoin now
Replies: 36
Views: 3038

Re: You are probably invested in Bitcoin now

Interesting. I remember MicroStrategy, from back in the day. They were at various points, a high flying company. I think they ended up going to court or big SEC problems, something like that. It was pretty news worthy at the time. They seemed like a "chameleon" of a company, that would quickly chan...
by Robert T
Tue Sep 15, 2020 7:12 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

It really did open my eyes up recently when I realized the differences between these are pretty subtle once you adjust for factor exposure. You cannot really answer this question without first deciding how much of a tilt you want. For example, DFA's DFSVX is one of the more potent factor loaders (I...
by Robert T
Mon Sep 14, 2020 5:55 am
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 121
Views: 9952

Re: AQR still singing the same song

. David Booth of DFA published this article in April 2001 http://www.prudentllc.com/sevg/PDFs/IndexEnhancedIndexFunds.pdf Here’s the article's all equity ‘balanced’ strategy performance since May 2001 https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=2001&firstMonth=5...
by Robert T
Sun Sep 13, 2020 12:41 pm
Forum: Investing - Theory, News & General
Topic: For Small Value Tilters, Are the Latest Pricing Models Important?
Replies: 11
Views: 885

Re: For Small Value Tilters, Are the Latest Pricing Models Important?

For someone who tilts to small and value (+/- momentum or profitability/quality) based on earlier models, do the later models add anything? Not much IMO. For example, here is the explanatory power changes in the model with additional factors added - using iShares S&P600 Value and DFA US Small Value...
by Robert T
Sat Sep 12, 2020 6:40 am
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 121
Views: 9952

Re: AQR still singing the same song

. Tracking error pain/periods of significant underperformance is not new to Asness. He almost went out of business in 1999, but did not capitulate on his approach. I don’t expect capitulation at all this time either. I remember this earlier article https://www.nytimes.com/2005/06/05/magazine/the-qua...
by Robert T
Fri Sep 11, 2020 9:03 am
Forum: Investing - Theory, News & General
Topic: Too much S&P 500 index concentration in FAAMGs?
Replies: 67
Views: 4112

Re: Too much S&P 500 index concentration in FAAMGs?

. https://static.wixstatic.com/media/542496_ff505c67f3e24f36935bba1a57cd5043~mv2.png/v1/fill/w_925,h_672,al_c,q_90,usm_0.66_1.00_0.01/542496_ff505c67f3e24f36935bba1a57cd5043~mv2.webp HHI = Herfindahl-Hirschman Index Bottom left shows share of the top 5 stocks S&P500 annualized returns by period of b...
by Robert T
Fri Sep 11, 2020 4:36 am
Forum: Investing - Theory, News & General
Topic: Too much S&P 500 index concentration in FAAMGs?
Replies: 67
Views: 4112

Re: Too much S&P 500 index concentration in FAAMGs?

. Apple, Amazon, Microsoft, and Google have momentum (top holdings of iShares USA Momentum, together with Tesla). Will this momentum be self-reinforcing? i.e. the increasing popularity of momentum investing (more momentum funds) bidding up the prices of these stocks which attracts further fund inflo...
by Robert T
Thu Sep 10, 2020 10:22 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Very interesting take on where the value premium actually comes from, why large-value stopped working in the early 80's and why small-value stopped working more recently; value is really just short volatility. Curious other value-heads thoughts on this. They are obviously selling a unique product t...
by Robert T
Thu Sep 10, 2020 5:13 am
Forum: Investing - Theory, News & General
Topic: International stock investing is industry diversification and style diversification
Replies: 92
Views: 7107

Re: International stock investing is industry diversification and style diversification

It's truly is a global market. Markets are not fully integrated i.e. global factors (market, size, and value) don't explain the performance of domestic stock returns as well as local factors. As per earlier work by Fama-French ("integrated pricing across regions does not get strong support in our t...
by Robert T
Wed Sep 09, 2020 8:45 am
Forum: Investing - Theory, News & General
Topic: International stock investing is industry diversification and style diversification
Replies: 92
Views: 7107

Re: International stock investing is industry diversification and style diversification

. International diversification has worked better with style concentration – specifically small cap value (more dependent on local conditions). 4/1998 – 8/2020: Annualized return (%) / SD [longest period available for DFEVX] 7.5 / 21.5 = DFA US Small Value [DFSVX] 7.7 / 18.1 = DFA International Smal...
by Robert T
Mon Sep 07, 2020 8:44 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Interesting to see you note the avoidance of negative alpha with RAFI indexes, I have dug around a lot for info on that phenomenon previously. I really wanted to use the approach on my US large cap holding but found the 25bp ER of FNDX just too steep a hurdle above low cost large-blend/value funds ...
by Robert T
Sun Sep 06, 2020 6:36 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Interesting to see you note the avoidance of negative alpha with RAFI indexes, I have dug around a lot for info on that phenomenon previously. I really wanted to use the approach on my US large cap holding but found the 25bp ER of FNDX just too steep a hurdle above low cost large-blend/value funds ...
by Robert T
Sun Sep 06, 2020 6:29 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Yes, I did sell my SCV earlier this year largely because I got fed up with its volatility to the downside. However SCV kept going down and down after I sold it which meant that its valuation got better and better from a long term perspective. A lot of future bad news was baked into current SCV pric...
by Robert T
Sun Sep 06, 2020 6:27 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Since all tilts have to add up to the market portfolio, for every person tilting to small value, there is someone else tilting towards large growth. What is puzzling to me is the composition of who is tilting towards what. Factor enthusiasts almost all seem to tilt towards small value. The people i...
by Robert T
Sun Sep 06, 2020 6:12 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Robert, This is my target portfolio: 20% VTI 29% VFMF 11% VIOV 15% FNDF 10% ISCF 9% FNDE 6% EMGF By me estimates, it would’ve achieved close to a 0.45 load of HmL, RmW and CmA, roughly split evenly (~0.15 each). It is close to momentum neutral and has a size tilt of about 0.3. The above portfolio i...
by Robert T
Sun Sep 06, 2020 6:06 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Robert, I seem to recall you have an old post outlining your target exposure and how you achieved it. Could you point me in that direction? From your “location” it seems you are targeting 0.2 size, 0.4 value, and is the 0.5 momentum? Seems like it would be difficult to get that much value and momen...
by Robert T
Sun Sep 06, 2020 5:18 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

Often the reasons given for why value companies deserves a higher expected return is that these companies are under duress and if the economy tanks, then they will do badly. But that story is not controlling for market beta. Controlling for market beta means there is a premium over and above what i...
by Robert T
Sun Sep 06, 2020 5:06 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

I cannot achieve anywhere near as much load if staying size-neutral. So I gave myself a max size load (0.3), and picked the portfolio from there. Would be interested to see where you came out on portfolio allocation (given your thoughtful approach), if willing to share. On size, agree it is difficu...
by Robert T
Sun Sep 06, 2020 5:02 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

I personally hold 75% TSM and 25% SCV Hmm. That’s the most surprising part given all the negative SV sentiments in your posts (perhaps just due diligence). I recall in an earlier post in this thread that you said you had sold your SV position (perhaps didn't end up going through with it). Investing...
by Robert T
Fri Sep 04, 2020 5:07 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 3108
Views: 227476

Re: Small Cap Value heads Rejoice !!!

. We also have the international evidence of SV, which has also performed relatively well in comparison to intl. (less tech dominant) large caps (as per portfolio visualizer link below). We also have historical data - the basis of Fama-French”s earlier work. So the small value ‘premium’ is not just ...