Right Foot Green for Value
Pursuing return premiums is like playing a game of Twister—even when you win, you may experience moments of discomfort along the way.
Much has been made of value’s turnaround in 2021–2022. While the US value premium had one of its best two-year stretches in recorded history1, neither year was smooth sailing from start to finish. The Fama/French US HML Research Factor’s return was negative in 39 out of the 104 weeks, despite delivering annual returns of 13.2% for 2021 and 28.8% for 2022. This speaks to the importance of remaining disciplined in the face of disappointing short-term performance, because even a bumpy ride can lead to a better conclusion.
Past performance is not a guarantee of future results. Actual returns may be lower.
Source: Dimensional, using data from library of Ken French. Eugene Fama and Ken French are members of the Board of Directors of the general partner of, and provide consulting services to, Dimensional Fund Advisors LP.
Fama/French US HML Research Factor: Constructed from four size/book-to-market research portfolios. HML for July of year t to June t + 1 includes all NYSE, AMEX, and NASDAQ stocks for which we have market equity for December t − 1 and June of t, and (positive) book-to-market equity data for fiscal year ending in t − 1. HML (High minus Low) is the average return on two value research portfolios minus the average return on two growth research portfolios: 1/2 (Small Value + Big Value) − 1/2 (Small Growth + Big Growth). Exclusions: ADRs, investment companies, tracking stocks, non-US incorporated companies, closed-end funds, certificates, shares of beneficial interests, and negative book values.
FOOTNOTES
Disclosures
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