Value Premium Goes Missing

That value stocks (in particular, small value stocks) have provided higher returns for investors over time is both well-documented and well-known. So it’s no great surprise that—as director of research for The BAM Alliance, a community of more than 140 independent RIA firms—I’ve been getting a lot of questions about the recent disappearance of the value premium.

Figure 1 shows the returns of five value funds and five blend funds from the same major asset classes: small U.S. stocks, large U.S. stocks, small developed-markets equities, large developed-market equities and emerging markets. The funds are managed by Dimensional Fund Advisors (DFA) and the data covers the 10-year period from 2005 through 2014. (Full disclosure: My firm, Buckingham, recommends DFA funds in constructing client portfolios.)

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