WSJ: Most market anomalies academics have identified don’t exist
Re: WSJ: Most market anomalies academics have identified don’t exist
Small cap value fans may want to check out the performance during the great depression.
RIP Mr. Bogle.
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Re: WSJ: Most market anomalies academics have identified don’t exist
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
Dave
Re: WSJ: Most market anomalies academics have identified don’t exist
Nevertheless, that is within the parameters that I specified, when I asked about how one could have captured the doublinggrabiner 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.)
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.
Re: WSJ: Most market anomalies academics have identified don’t exist
agree.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
i think tilting to small value is fine as long as one knows the risk one is running.
RIP Mr. Bogle.