As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

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TagmoreClock
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As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by TagmoreClock » Wed Mar 18, 2020 3:22 pm

As of today (Mar 18, 2020) (For the year, i.e. from close of Dec 31, 2019)
MDY= -39.86%,
IWM= -40.62%
SPY= -26.48%

Small caps and mid caps seems to be getting more beating than big caps. What is your experience/analysis/opinion on this? Is it consistent with 1987, 2008? If yes, how long did it took to normalize again?

Thanks.
Last edited by TagmoreClock on Wed Mar 18, 2020 3:23 pm, edited 1 time in total.

mrwalken
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by mrwalken » Wed Mar 18, 2020 3:23 pm

If SPY goes to -50%, expect small caps to go to -80%. Bankruptcies.

atdharris
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by atdharris » Wed Mar 18, 2020 3:27 pm

A silver lining - at least I dumped my small cap fund for TLH purposes and just bought VTI. Still down a lot but it could be worse.

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1789
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by 1789 » Wed Mar 18, 2020 3:29 pm

TagmoreClock wrote:
Wed Mar 18, 2020 3:22 pm
As of today (Mar 18, 2020) (For the year, i.e. from close of Dec 31, 2019)
MDY= -39.86%,
IWM= -40.62%
SPY= -26.48%

Small caps and mid caps seems to be getting more beating than big caps. What is your experience/analysis/opinion on this? Is it consistent with 1987, 2008? If yes, how long did it took to normalize again?

Thanks.
Do you have numbers since from Feb 19th for checking max drawdown?
"My conscience wants vegetarianism to win over the world. And my subconscious is yearning for a piece of juicy meat. But what do i want?" (Andrei Tarkovsky)

rascott
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by rascott » Wed Mar 18, 2020 3:30 pm

mrwalken wrote:
Wed Mar 18, 2020 3:23 pm
If SPY goes to -50%, expect small caps to go to -80%. Bankruptcies.
SPY drawdown in 2009 was 50%, small caps was 52%

In that market, small caps dropped faster and earlier.... then large caps caught up.

Every bear market is different.
Last edited by rascott on Wed Mar 18, 2020 3:32 pm, edited 1 time in total.

MotoTrojan
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by MotoTrojan » Wed Mar 18, 2020 3:31 pm

mrwalken wrote:
Wed Mar 18, 2020 3:23 pm
If SPY goes to -50%, expect small caps to go to -80%. Bankruptcies.
This seems drastic, no? The delta between them in 2008 was far less, and that was after a period of significant small-cap outperformance (especially value). Right now we have had a couple years of large-cap outperformance, so smalls already started with lower valuations.

-60% seems like a more reasonable spread, but -80% is extreme.

Curious to hear your justification for why this situation would be more prone to bankruptcies than 2008.

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Random Musings
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by Random Musings » Wed Mar 18, 2020 3:39 pm

Roughly, I think TSM is down around 26% and TISM 33-34%. I think TBM is now under water for the year, but BND is a little worse.

So, the classic 60/40 (using 75% VTI on the equity side) is down around 17%. A 40/60 would be down around 12%.

I believe Vanguard uses 60/40 on their TR equity U.S./Int'l blends so the above returns would be a little lower with that allocation.

RM
Last edited by Random Musings on Wed Mar 18, 2020 3:45 pm, edited 1 time in total.
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Topic Author
TagmoreClock
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Joined: Sun Nov 20, 2016 10:06 pm

Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by TagmoreClock » Wed Mar 18, 2020 3:45 pm

1789 wrote:
Wed Mar 18, 2020 3:29 pm
TagmoreClock wrote:
Wed Mar 18, 2020 3:22 pm
As of today (Mar 18, 2020) (For the year, i.e. from close of Dec 31, 2019)
MDY= -39.86%,
IWM= -40.62%
SPY= -26.48%

Small caps and mid caps seems to be getting more beating than big caps. What is your experience/analysis/opinion on this? Is it consistent with 1987, 2008? If yes, how long did it took to normalize again?

Thanks.
Do you have numbers since from Feb 19th for checking max drawdown?
From Feb 19th close. I noticed, MDY close was higher on 20th. The values below are from Feb 19th close.
MDY= -40.98%
IWM = -41.17%
SPY = -29.77%

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1789
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by 1789 » Wed Mar 18, 2020 3:47 pm

TagmoreClock wrote:
Wed Mar 18, 2020 3:45 pm
1789 wrote:
Wed Mar 18, 2020 3:29 pm
TagmoreClock wrote:
Wed Mar 18, 2020 3:22 pm
As of today (Mar 18, 2020) (For the year, i.e. from close of Dec 31, 2019)
MDY= -39.86%,
IWM= -40.62%
SPY= -26.48%

Small caps and mid caps seems to be getting more beating than big caps. What is your experience/analysis/opinion on this? Is it consistent with 1987, 2008? If yes, how long did it took to normalize again?

Thanks.
Do you have numbers since from Feb 19th for checking max drawdown?
From Feb 19th close. I noticed, MDY close was higher on 20th. The values below are from Feb 19th close.
MDY= -40.98%
IWM = -41.17%
SPY = -29.77%
Thank you for providing this. It seems SPY is more or less halfway down comparing the last recession.
"My conscience wants vegetarianism to win over the world. And my subconscious is yearning for a piece of juicy meat. But what do i want?" (Andrei Tarkovsky)

fatFIRE
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by fatFIRE » Wed Mar 18, 2020 6:49 pm

I hold some of the GMO "high quality" asset class, which is approximated as VDADX, and that is doing better at -25% than most other asset classes -35% to -45%. Why?

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TagmoreClock
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by TagmoreClock » Wed Mar 25, 2020 11:29 am

Looks like MDY and IWM are recovering faster than SPY
At present (and day is not over yet)
MDY = -32.16%
IWM = -33.07%
SPY = -22.28%

All percentages calculated wrt close of 31 Dec 2019 and taking div in account (assuming div were re-invested 100%).

Elysium
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by Elysium » Wed Mar 25, 2020 11:45 am

Expect Mid and Small to get beaten up more in bear markets, and Small Value the most, happens during times of distress. As for recovery, this is all technical at this point, everything goes down then up based on sentiments, so the general trajectory will hold both on the down side and up.

What is likely to happen is when actual numbers show up in a quarter or two, we may find out that the smaller companies have taken a larger hit from all the economic disruptions and haven't benefited very much from the economic stimulus, it may take time for the economy recovery to help Mid/Small companies than it may take for Larger companies. When that happens expect Large caps to hold up better than Mid/Small Caps.

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nisiprius
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by nisiprius » Wed Mar 25, 2020 11:47 am

MDY = Month/day/year? IWM = Integrated Woz machine (hardware chip in the 1984 Macintosh)? SPY = Stock, James Stock?

MDY = SPDR S&P MIDCAP 400 ETF
IWM = iShares Russell 2000 ETF
SPY = SPDR S&P 500 ETF

As far as I know even the most enthusiastic advocates of tilting have always said that small-caps have had higher volatility than large-caps. The small-cap premium isn't a free lunch. The knock on them from skeptics has generally been that the premium is just return commensurate with risk, i.e. that they have not had higher risk-adjusted return.

(The original 1981 paper by Rolf Banz had said exactly that: "It is found that smaller firms have had higher risk adjusted returns, on average, than larger firms." But there were flaws in his data set, and the current state of the argument, is between some authorities who say "nope, no higher risk-adjusted return," and some who say "yep, some higher risk-adjusted return, much less than Banz thought, but, yes, some.")

Not only are small cap expected to fluctuate more than large-caps, but they are said to have "negative skewness." That means modest, frequent outperformance punctuated by rare, deep plunges. That's even supposed to be the reason for superior risk-adjusted return: the standard statistics only capture risk-as-standard-deviation. The claim by factor advocates is that investors have an irrational preference for positive skew--constant, mild underperformance punctuated by rare, big jackpots, that this preference leads them to undervalue small-caps, and the clever investor exploits this by buying small-caps.

Be that as it may, people who tilt toward small-caps (and, even more so, to small-cap value) should expect this kind of thing and allow for it in their judgement, and in their determination to stay the course.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

Valuethinker
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by Valuethinker » Wed Mar 25, 2020 3:19 pm

TagmoreClock wrote:
Wed Mar 18, 2020 3:22 pm
As of today (Mar 18, 2020) (For the year, i.e. from close of Dec 31, 2019)
MDY= -39.86%,
IWM= -40.62%
SPY= -26.48%

Small caps and mid caps seems to be getting more beating than big caps. What is your experience/analysis/opinion on this? Is it consistent with 1987, 2008? If yes, how long did it took to normalize again?

Thanks.
One word. Liquidity.

Multi asset investors such as hedge funds are getting caught by the soaring market volatility and the fall in asset prices.

That means they are being margin called - leveraged positions that need to be covered by cash (fall in value triggers reductions in allowed leverage, hence margin calls).

So they are selling in the most liquid markets: government securities & cash equities.

When those sales hit illiquid stocks, at the same time as there are few/ no buyers, you get disproportionate falls in prices. Doubtless investor redemptions from mutual funds (which tend to be pro cyclical, ie they sell things which have gone down recently, and buy things which have gone up) are not helping.

That does not mean that they will recover faster. If you look after 1987 crash, big caps recovered but small caps did not, if I recall correctly.

grog
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Re: As of today (Mar 18, 2020), MDY=-40%, IWM=-41%, SPY=-26.48%

Post by grog » Wed Mar 25, 2020 3:47 pm

Yeah, I noticed!

I've held IJH (also S&P 400 mid cap) for a couple years and recently did a TLH swap for VO (Vanguard CRSP mid cap). It has been a favorable swap since apparently the "mid cap" definition varies quite a bit and VO is a bit larger and so it hasn't dropped quite as much. The S&P 400 is in between the CRSP mid cap and small cap indexes and if anything is actually closer to the small cap.

I intend to switch back to IJH once the wash sale period lapses. Smaller stocks are more volatile. Some crashes you might get lucky and it might do the same or even better than large cap. But most of the time it will probably do worse. Downside protection isn't exactly one of the selling points.

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