My conclusion from this chart, is continuation of the theme, that Concept A worked for many decades, up through some threshold in history... and thereafter, Concept B took over. Here, "Concept A" would be what you term (0,0) portfolios underperforming, while Concept B, is (0,0) outperforming... the threshold being around 1990.Here, for grins, is a chart, over rolling 120 month intervals, of the (0,0) portfolio in classic Fama-French terms, i.e., large growth, which benefits neither from size nor value--in my rendering, over-sized, over-priced stocks (from the Ken French data library, 2x3 portfolios).
In other words, in the pre-1990 world, we might not necessarily extol "factors" as the best thing ever, but at least there is good evidence, that large-cap-growth, cumulatively, isn't such a fantastic performer. Post-1990, the winning strategy seems to be, to bet on large-cap growth, eschewing everything else. Yes, there are fluctuations, but overall, the chart shows the large cap growth strategy to be the winner... now for 35 years.
35 years!!!
Statistics: Posted by unwitting_gulag — Tue Aug 13, 2024 12:25 pm — Replies 238 — Views 20440