WSJ: Most market anomalies academics have identified don’t exist

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grok87
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Re: WSJ: Most market anomalies academics have identified don’t exist

Post by grok87 » Sun May 14, 2017 7:27 pm

Small cap value fans may want to check out the performance during the great depression.
"...people always live for ever when there is any annuity to be paid them"- Jane Austen

Random Walker
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Re: WSJ: Most market anomalies academics have identified don’t exist

Post by Random Walker » Sun May 14, 2017 7:33 pm

I didn't look up SV in depression, but I'll assume it's disasterous. One explanation for the value premium is doing especially badly in bad times.

Dave

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tadamsmar
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Re: WSJ: Most market anomalies academics have identified don’t exist

Post by tadamsmar » Sun May 14, 2017 9:25 pm

grabiner wrote:While I like small-cap value (and overweight it myself), this chart overestimates the advantage of small-cap value, because it has only half of the Internet bubble. Growth stocks outperformed value stocks in 1997-1999, then underperformed when the market fell in 2000-2002. (Still, Vanguard Small-Cap Value Index, which has been around since 1998 and thus did miss both halves of the bubble, is also well ahead of the S&P 500.)


Nevertheless, that is within the parameters that I specified, when I asked about how one could have captured the doubling

According to the WSJ article, the 3-factor model dates from 2003. Value outperformed the market for a while after that and then fell back till around 2000. So, whether you start in 2000 or 1993, the WSJ chart indicates that Value approximately doubled Growth.

grok87
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Joined: Tue Feb 27, 2007 9:00 pm

Re: WSJ: Most market anomalies academics have identified don’t exist

Post by grok87 » Sun May 14, 2017 10:15 pm

Random Walker wrote:I didn't look up SV in depression, but I'll assume it's disasterous. One explanation for the value premium is doing especially badly in bad times.

Dave

agree.

i think tilting to small value is fine as long as one knows the risk one is running.
"...people always live for ever when there is any annuity to be paid them"- Jane Austen

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