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Chipper6
Factor Inversions -- A 50 Year Backtest

Here is an interesting article on factor inversions (i.e. large growth vs small value) over the past 50 years or so by Dan Rasmussen & Nick Schmitz.

Random takeaways
* Small value (SV) beat large growth (LG) in about 50% of the months.
* When LG beat SV, it was by 44% a year excess return, but when SV beat LG it was by 62% a year.
* SV beat LG over the last 50 years overall, while LG has been trouncing SV over the past 3 years.
* As you can see when studying the following chart, SV shines after periods when LG trounced SV.



Nov 27, 2020 8:47:59 AM       
Edit 1 times, last edit by Chipper6 at Nov 27, 2020 8:49:31 AM
piard2
Re: Factor Inversions -- A 50 Year Backtest

Thanks for sharing

Nov 27, 2020 11:45:37 AM