"Smart Beta", Value and other Factors/Premia

[winjitsu]

Hey, have you guys seen some of the recent discussion (I actually think the research is old) about skewness in the market and how most stocks underperformed T-bills and the overall market return premium is attributable to a small number of huge baggers? 

 

Here's a placeholder blurb from Bloomberg about it:

 

https://www.bloomberg.com/news/articles/2017-04-09/lopsided-stocks-and-the-math-explaining-active-manager-futility

 

I will find a link to some posts/papers, but man that makes it hard to envision any strategy beating the cap weighted total market over the long term.  Kind of depressing.

 

Saw this and raise some questions in my mind as well. I have most of my 401k invested in small-cap indexes, but this would just mean my small cap index sells winners way too early.

[CorpRaider]

Yeah, should maybe consider doing the bogle thing and replicating VTI.

 

 

Here's one place I had recently come across a discussion of the issue of skewness in stock returns.  It's not the focus but there is a fairly robust discussion of the issue in this post:

 

http://www.philosophicaleconomics.com/2017/04/diversification-adaptation-and-stock-market-valuation/

 

Not endorsing the conclusion or overall premise but I just recalled reading this as part of the post and then saw the bloomberg article.