What to Make of 10-Year Small-Cap and Value Results
Ken French’s recently updated global factor data shows the global size and value premiums were basically flat for the past 10 years (the value premium was actually about –1 percent per year over this span). This long-term historical result has...
How Much Are You Paying for Your Size and Value Tilt?
It’s becoming clear that the price for overall U.S. equity market exposure is close to zero. Many market-cap weighted index funds and exchange-traded funds from Vanguard and others are charging expense ratios of five basis points (bps) or less. An...
Comparing DFA Small Value to Vanguard Small Value
Over the past few months, the difference in historical performance between DFA Small Value (ticker: DFSVX) and Vanguard Small Value (VISVX) has narrowed. For example, for the 10-year period ending December 2014, the compound annual return of DFSVX was 7.9...
Deflation and Stock and Bond Returns
Overview: With expected inflation rates very low, there will be significant attention on the possibility of deflation causing the stock market to fall. This blog examines the relationship between the rate of inflation and stock and bond returns. Generally, the...
Additional Thoughts on the Rising Glidepath Approach
Watch the video on Multifactor World.
An Analytical Evaluation of Rising Glidepath Claims
Last year, a piece by Michael Kitces and Wade Pfau made the claim that mechanically increasing the equity allocation during retirement — which they term a “rising glidepath” — could reduce the likelihood that a retiree outlives his or her...
Resurrecting the Size Premium
There have been a number of articles over the past few years claiming to refute the existence of a small-cap (or size) premium, which is the historical difference in returns between small-cap stocks and large-cap stocks. While the critiques have...
Are Some Bond Fund Prices Stale?
I have long been skeptical of how fair bond fund prices are — or more accurately said, the potential ability for knowledgeable investors to “game” bond fund prices — in fixed income asset classes where liquidity isn’t great. Two asset...
Protecting Against Inflation: Evaluating Inflation Hedge Misconceptions and Strategies
The financial media are full of conjecture about which strategies might effectively hedge inflation risk or not. Here we explore which asset classes, if any, have been effective at protecting against inflation risk. First, it is helpful to address some...
Perspective on High-Frequency Trading
I have received a number of questions since “60 Minutes” ran a piece on high-frequency trading (HFT)on March 30 (lest we forget, this is the same “60 Minutes” that ran a piece in 2010 that predicted the municipal market would implode...
