Using Factors To Weather Storms

Today we’ll take a look at how the size and value premiums performed in 12 recessions, identified as such by the National Bureau of Economic Research, occurring in the post-World War II era. During that period, the average length of a recession was 11 months.

Size Premium

  • While the size premium from 1926 through 2013 was 3.1 percent, during the 12 recessions since 1945, the average size premium was close to zero, at just 0.5 percent (total return).
  • The size premium was positive in seven of the 12 recessions.
  • The largest size premium occurred during the most recent recession, which began in December 2007 and ended in June 2009, when the premium was 12.1 percent.
  • The most negative size premium occurred in the recession that began in December 1969 and ended in November 1970. During that period, the size premium was negative 16.4 percent.

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