Risk and Premium – A Tale of Value

GMO
Door september 9, 2019 18:26

Risk and Premium –  A Tale of Value

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Introduction

Whatever price multiple of which you are a fan, whichever sectors you exclude, however you neutralize your exposures, whether you equal-weight or cap-weight, one thing remains true: cheap stocks have had an unhappy decade.1 In some cases – as with sectorneutral value – they have only disappointed relative to previous outperformance. In others, such as the traditional Fama-French “HML” factor, mild disappointment would be a welcome change of pace. This is made clear in Exhibit 1, which depicts the total return of HML (currently 34% below its peak) and the length of each of its drawdowns (the most recent one has passed the 10-year mark).

GMO
Door september 9, 2019 18:26

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