Elroy Dimson

You have these checkerboard charts, which are popular in the hedge fund world, but we also look at them year by year, seeing for each year what the best middling and lowest performance was.

for different factors, and we also do this decade by decade because we've got some data which goes back quite a long way, some of it a bit further back than the Fama and French material which Dimension Talks so kindly make available to researchers as a whole.

The small firm effect was the premier anomaly.

It ceased to be.

Value became a premier anomaly in stock market performance.

But that's kind of gone away.

Jumping around the last handful of years, value sort of got left behind quite a lot.

The one that was most striking is momentum.

What's striking about momentum is there's a big contrast between momentum investing and size and value investing.

Besides investing, you buy small caps and you hope that they will outperform.

And at the end of the year, you can reformulate your strategy.

And if you are really lucky, your strategy will have been messed up because some of those small companies won't be small any longer.

But basically, you're fairly doomed.

You buy small companies and they'll stay fairly small.

Buy value companies and they'll stay fairly value-ish.

But you can't do that from momentum because from momentum, you're buying stocks which have trended up, avoiding or shorting stocks which have trended down.

There's actually no reason why one which has trended up over time should keep doing that so the galaxy would explode.

I mean, that can't happen.

It's a high-cost strategy.

Size and value matter.