Why value investing will roar back in the 2020s

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(1) Source: Eugene F. Fama & Kenneth R. French. June 1992: “The Cross-Section of Expected Stock Returns”, available from https://doi.org/10.1111/j.1540-6261.1992.tb04398.x. February 1993: “Common risk factors in the returns on stocks and bonds”, available from https://doi.org/10.1016/0304-405X(93)90023-5.

(2) Source: Martin Currie Australia, MSCI, IRESS, Kenneth R. French Data Library; as of 31 October 2022. Returns are based on Fama/French Research Portfolios: Value data is based on the average return on the Fama/French small & big high book-to-market portfolios, and the growth data is based on the average return on the small & big low book-to-market portfolios. Monthly return series from July 1926 through October 2022. Available from: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#Research.

(3) For Australian data, as Kenneth R. French Data Library series ends in Dec 2021, the MSCI Australia Value/Growth and S&P/ASX All Ordinaries Accumulation indices are used to fill the gap to October 2022.

(4) Source: Martin Currie Australia, FactSet; as of 15 December 2022.

(5) Source: Martin Currie Australia, Morningstar Direct; as of 31 October 2022. Based on AUM of Morningstar Australia OE Funds & ETFs Australia Fund Equity category. Value: Australia Large Value & Mid/Small Value and World Large Value; and Growth: Australia Large Growth & Mid/Small Growth and World Large Growth.

(6) Source: Martin Currie Australia, FactSet; as of 15 December 2022.


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