Ibland hamnar vi ju i communityn i samtal kring vad som är bäst, i det här fallet kring småbolag och värde. I denna studien från 2 maj 2025 ställer sig författaren frågan:
Vad är bäst?
- Alt A) En fond som kombinerar småbolag och värde (en SCV-fond)?
- Alt B) Två fonder, en small-cap och en value?
Ping @Andre_Granstrom och @zino.
Relaterade trådar:
- Om man ändå ska övervikta mot något - varför inte övervikta mot "value"? Stöds av forskning och är oälskat på historisk nivå
- Övervikta mot Small Cap Value (SCV) | SCV vs SP500 - Nr 18 av janbolmeson
Abstract
This article focuses narrowly on a very concrete question that investors and advisors may consider often. Given a goal of enhancing a portfolio’s long-term return by tilting it toward the size and value factors, and given an existing core exposure to the broad stock market, is it better to add one (small/value) satellite or two (one small-cap and one value) satellites? The results here suggest that, all things considered, adding one small/value satellite is the better option.
Några av mina guldkorn
“ The virtues of building a simple, broadly-diversified, low-cost portfolio are many, which may explain why both John Bogle and Warren Buffett have repeatedly recommended such an pproach to all investors, small and large, individual and institutional. Importantly, what may have been a pipe dream many years ago has become feasible for all investors; that is, a two-fund portfolio with exposure to the two major asset classes, stocks and bonds, each broadly and globally diversified, currently is trivial to build and costs just a few basis points. For many and varied investors, such a strategy is very hard to beat.” (s. 3)
“Adding one small/value satellite is the better option. Relative to the two-fund strategy, the one-fund strategy delivers a higher return, generally results in a higher risk-adjusted return, and provides a higher aggregate exposure to the two factors targeted.” (s. 1)
“Simplicity is a desirable portfolio trait. Adding one small/value satellite would make the portfolio, and managing the portfolio over time, a bit simpler than adding two satellites.” (s. 1)
“Funds that focus on small-cap stocks, value stocks, and small/value stocks have the longest history. Therefore, consider an investor that has decided to enhance a portfolio’s long-term return by tilting it toward the two traditional factors, size and value.” (s. 1)
“Long-only portfolios of small-caps and value stocks have gone, and may in the future go, through very long periods of underperformance. Although long-short portfolios […] are statistically significant, they do not necessarily imply the outperformance of the long-only portfolios typically implemented in practice.” (s. 3)
“The small/value strategy delivers a higher return than all the two-satellite strategies, with the outperformance ranging between 23 and 54 basis points per year. This outperformance comes with slightly higher volatility but still results in a slightly higher Sharpe ratio.” (s. 6)
“The one-satellite strategy results in higher terminal wealth between 5% and 13% with respect to the two-satellite strategies. That said, in this case, the difference in Sharpe ratios […] is not statistically significant.” (s. 6)
“The small/value satellite yields a larger exposure to the size and value factors than does any of the five two-satellite strategies considered, thus reinforcing the likely explanation for the outperformance of the one-satellite strategy.” (s. 7)
“Investors that, having a core exposure to the stock market, aim to enhance the long-term return of their portfolio would be better served by adding one small/value fund rather than two separate funds for the size and value factors.” (s. 9)
Här är studien:
