Yesterday, I introduced a few of the information analysis I carried out on the small-cap value premium for the US market.
Immediately, right here is the info behind the premium over in Europe.
We compute the rolling cumulative returns of the Dimensional Small Worth index over the MSCI Europe index to find out the premium of small plus worth over a big mix in Europe.
The info in Europe solely begins round 1981, which implies we now have 42 years of knowledge. There may be fewer information over the US however however, we will see if there exist a premium constantly.
I like to have a look at Europe for 2 causes. One, it isn’t the US, and we will see the efficiency of a area that’s possible much less fashionable than the US. Secondly, Europe is so hated. If small + worth are model elements, they need to be pervasive and chronic in Europe as nicely.
5-Years Rolling Return from Jun 1981 to Jan 2023
There are 445 five-year intervals we will extract return information.
I gives you the twenty fifth percentile five-year cumulative return as a result of the twenty fifth percentile is a pessimistic/unfortunate investor return. The fiftieth percentile is the median.
- Dimensional Europe Small Cap Worth Index: 34.1%
- MSCI Europe Index: 12.4%
Share of intervals the place returns had been unfavorable (there are 445 intervals):
- Dimensional Europe Small Cap Worth Index: 7.4%
- MSCI Europe Index: 11.9%
Right here is the worth + small premium over giant + mix
The median premium of small-cap worth over MSCI Europe is 12.8%.
Someway, you discover that the premium are skewed by two intervals the place the premiums are very excessive, which brings up the typical. The unfavorable premiums within the Nineteen Eighties and Nineties is large. On this present interval, there’s a premium however it is rather small.
Ten-Years Rolling Return from Jun 1981 to Jan 2023
There are 385 five-year intervals we will extract return information.
The twenty fifth percentile ten-year cumulative return:
- Dimensional Europe Small Cap Worth Index: 130%
- MSCI Europe Index: 64%
Share of intervals the place returns had been unfavorable (there are 385 intervals):
- Dimensional Europe Small Cap Worth Index: 0%
- MSCI Europe Index: 0.8%
Right here is the worth + small premium over giant + mix
The median premium of small-cap worth over MSCI Europe is 88.6%.
The variety of intervals the place returns are unfavorable is near zero.
Fifteen-Years Rolling Return from Jun 1981 to Jan 2023
There are 325 five-year intervals we will extract return information.
The twenty fifth percentile fifteen-year cumulative return:
- Dimensional Europe Small Cap Worth Index: 341%
- MSCI Europe Index: 101%
Share of intervals the place returns had been unfavorable (there are 325 intervals):
- Dimensional Europe Small Cap Worth Index: 0%
- MSCI Europe Index: 0%
Right here is the worth + small premium over giant + mix
The median premium of small-cap worth over MSCI Europe is 243%.
Twenty-Years Rolling Return from Jun 1981 to Jan 2023
There are 265 five-year intervals we will extract return information.
The twenty fifth percentile twenty-year cumulative return:
- Dimensional Europe Small Cap Worth Index: 646%
- MSCI Europe Index: 214%
Share of intervals the place returns had been unfavorable (there are 265 intervals):
- Dimensional Europe Small Cap Worth Index: 0%
- MSCI Europe Index: 0%
Right here is the worth + small premium over giant + mix
The median premium of small-cap worth over MSCI Europe is 512%.
I do have a couple of different data-driven Index ETF articles. These are appropriate if you’re involved in establishing a low-cost, well-diversified, passive portfolio.
You’ll be able to verify them out right here:
- IWDA vs VWRA – Are Significant Performance Differences Between the Two Low-Cost ETFs?
- The Beauty of High Yield Bond Funds – What the Data Tells Us
- Searching for Higher Yield in Emerging Market Bonds
- The performance of investing in stocks that can Grow their Dividends for 7/10 years
- Should We Add MSCI World Small-Cap ETF (WSML) to Our Passive Portfolio?
- Review of the LionGlobal Infinity Global – A MSCI World Unit Trust Available for CPF OA Investment
- 222 Years of 60/40 Portfolio Shows Us Balanced Portfolio Corrections are Pretty Mild
- Actively managed funds versus Passive Peers Over the Longer Run – Data
- International Stocks vs the USA before 2010 – Data
- S&P 500 Index vs MSCI World Index Performance Differences Over One and Ten Year Periods – Data
Listed here are some dietary supplements to sharpen your edge on low-cost, passive ETF investing:
Those that want to arrange their portfolio to seize higher returns consider that sure elements equivalent to worth, measurement, high quality, momentum and low volatility would do nicely over time and are keen to reap these elements via ETFs and funds over time, listed below are some articles to get you began on issue investing passively:
- Introduction to factor investing / Smart Beta investing.
- IFSW – The iShares MSCI World Multi-factor ETF
- IWMO – The iShares MSCI World Momentum ETF
- Investing in companies with strong economic moats through MOAT and GOAT.
- Robeco’s research into 151 years of Low Volatility Factor – Market returns with lower volatility that did well in different market regimes
- JPGL vs IFSW vs Dimensional Global Core vs SWDA – 22 years of 5-year and 10-year Rolling Returns Performance Comparison
- 98 Years of Data Shows the US Small Cap Value Premium over S&P 500
If you wish to commerce these shares I discussed, you’ll be able to open an account with Interactive Brokers. Interactive Brokers is the main low-cost and environment friendly dealer I take advantage of and belief to speculate & commerce my holdings in Singapore, the US, London Inventory Trade and Hong Kong Inventory Trade. They let you commerce shares, ETFs, choices, futures, foreign exchange, bonds and funds worldwide from a single built-in account.
You’ll be able to learn extra about my ideas about Interactive Brokers in this Interactive Brokers Deep Dive Series, beginning with the way to create & fund your Interactive Brokers account simply.
Kyith is the Proprietor and Sole Author behind Funding Moats. Readers tune in to Funding Moats to study and construct stronger, firmer wealth foundations, the way to have a Passive funding technique, know extra about investing in REITs and the nuts and bolts of Lively Investing.
Readers additionally comply with Kyith to learn to plan nicely for Monetary Safety and Monetary Independence.
Kyith labored as an IT operations engineer from 2004 to 2019. At present, he works as a Senior Options Specialist in Payment-only Wealth Advisory agency Providend.
You’ll be able to view Kyith’s current portfolio here, which makes use of his Free Google Stock Portfolio Tracker.
His funding dealer of selection is Interactive Brokers, which permits him to spend money on securities from completely different exchanges everywhere in the world, at very low fee charges, with out custodian charges, close to spot forex charges.
You’ll be able to learn extra about Kyith here.
