|
|
 | | From: | Travis Morien | | Subject: | Another good article on the value premium | | Date: | 15 Jan 2005 00:43:15 -0800 |
|
|
 | http://www.efficientfrontier.com/ef/105/tdj.htm
Travis
www.travismorien.com
|
|
| | From: | Travis Morien | | Subject: | Re: Another good article on the value premium | | Date: | 15 Jan 2005 05:32:06 -0800 |
|
|
| Interestingly, according to the Fama/French data in the DFA Returns
software, small cap growth hasn't done all that badly.
July 1926 - November 2004 annualised performance
Large value 12.1%pa
Large neutral 10.46%pa
Large growth 9.65%pa
Small value 15.07%pa
Small neutral 13.45%pa
Small growth 9.75%pa
July 1926 - December 1999
Large value 12.83%pa
Large neutral 10.79%pa
Large growth 10.77%pa
Small value 14.68%pa
Small neutral 13.29%pa
Small growth 10.64%pa
I don't think it is just the result of extreme performance in the last
few years, here are the January 2000 to November 2004 numbers:
Large value 1.86%pa
Large neutral 5.64%pa
Large growth -5.84%pa
Small value 21.19%pa
Small neutral 15.84%pa
Small growth -2.75%pa
I suspect there was something wrong with Bernstein's data at the time
of the previous article. The data in the DFA software is the same as
the Fama/French data.
Travis
www.travismorien.com
|
|
| | From: | B J Foster | | Subject: | Re: Another good article on the value premium | | Date: | Sun, 16 Jan 2005 08:09:41 +1100 |
|
|
|
Travis Morien wrote:
> http://www.efficientfrontier.com/ef/105/tdj.htm
> Travis
> www.travismorien.com
>
Mark Twain on Stock Brokers...
"I consider that a broker goes according to the instincts that are in
him, and means no harm, and fulfils his mission according to his lights,
and has a right to live, and be happy in a general way, and be protected
by the law to some extent, just the same as a better man.
I consider that brokers come into the world with souls - I am satisfied
they do; and if they wear them out in the course of a long career of
stock-jobbing, have they not a right to come in at the eleventh hour and
get themselves half-soled, like old boots, and be saved at last?
Certainly - the father of the tribe did that, and do we say anything
against Barabbas for it to-day? No! we concede his right to do it; we
admire his mature judgment in selling out of a worked-out mine of
iniquity and investing in righteousness, and no man denies, or even
doubts, the validity of the transaction.
Other people may think as they please, and I suppose I am entitled to
the same privilege; therefore, notwithstanding what others may believe,
I am of the opinion that a broker can be saved.
Mind, I do not say that a broker will be saved, or even that is uncommon
likely that such a thing will happen - I only say that Lazarus was
raised from the dead, the five thousand were fed with twelve loaves of
bread, the water was turned into wine, the Israelites crossed the Red
Sea dry-shod, and a broker can be saved.
True, the angel that accomplishes the task may require all eternity to
rest himself in, but has that got anything to do with the establishment
of the proposition? Does it invalidate it? does it detract from it? I
think not.
I am aware that this enthusiastic and may-be highly-colored vindication
of the brokers may lay me open to suspicion of bribery, but I care not;
I am a native of Washoe, and I will stand by anybody that stands by Washoe".
(Mark Twain, The Californian, 1864)
|
|
| | From: | Gregory Toomey | | Subject: | Re: Another good article on the value premium | | Date: | Sat, 15 Jan 2005 20:04:18 +1000 |
|
|
| Travis Morien wrote:
> http://www.efficientfrontier.com/ef/105/tdj.htm
> Travis
> www.travismorien.com
The weirdest thing of all is the link to the INEPT(?!) model/graph on
http://www.efficientfrontier.com/ef/499/inept.htm
"The returns of small growth stocks are ridiculously low—just 2.18 percent
per year since 1927 (versus 17.47 percent for small value, 10.06 percent
for large growth, and 13.99 percent for large value)...
In fact, the F/F model successfully predicts the returns of stock portfolios
of a given size and value status with one significant exception: small-cap
growth stocks..."
The returns of SmallCapGrowth vs LargeCapGrowth is the reverse of what I
would expect.
But at the same time some of the stock tip sheets seem to show very good
returns if you believe them
gtoomey
|
|
|
