Unfortunately we have but one time-series for the U.S. market so any time we link to something like the article at hand I feel compelled to add one of those "Past performance is not a guarantee of future results, your mileage may vary, close cover before striking, do your own due diligence, consult an expert or Deity, good luck" type of disclaimers.
From Institutional Investor, October 11:
If you think growth or value stocks are the way to go, you’d better think again.
When a recession hits, it’s probably not a good idea to pin your hopes on growth or value.
According to the latest report from Investment Metrics, a Confluence company, growth and value factors have little impact on investment returns during periods of low consumer confidence, with value stocks losing an average of 1 basis point and growth stocks gaining an average of 1 basis point. The numbers are so close to zero that Alex Lustig, author of the report, concluded that neither factor offered any premiums during these periods. Meanwhile, the volatility factor lost 37 basis points, suggesting that highly volatile stocks have consistently underperformed during recessionary periods.
Quality and large-cap stocks, on the other hand, have outperformed their respective benchmarks when consumer confidence has plunged into recessionary territory. According to the report, companies with stronger balance sheets, more stable earnings, and higher margins — characteristics generally captured by the quality factor — beat the market by 21 basis points during recessions. IM’s size factor — which it defines as a measure of how much large-cap companies outperform smaller ones — also outran the benchmark by an average of 32 basis points. According to the report, these two factors outperformed due to their defensive nature.
Some quality and size sub-factors, such as return-on-equity, return-on-invested-capital, and sales-to-earnings ratio, have also generated significant alpha during periods of low consumer confidence, according to the report. Sub-factors are more detailed measurements of broader investing factors such as value, growth, and quality....
....MUCH MORE
Someday it will all grind to a halt, driven into stasis by entropy and the deadweight of debt.
But tonight, we dance!
