Factor Inversions -- A 50 Year Backtest

Manage
1

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.

2

Thanks for sharing