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.