Goldman Sachs har analyseret forholdet mellem value- og vækstaktier. Under pandemien har der været megen diskussion, om investorerne bør satse på den ene eller den anden kategori, og mange har skiftet mellem de to grupper, når der var udsigt til, at enten value eller vækst ville stige mest. Goldman taler om investeringsstil. Men det kan være en farlig kurs, for det er svært at ramme rigtigt, når der sker i skifte i markedsudviklingen mellem de to stilarter. Der kan være gevinst at hente ved at hoppe på bølgen ved et stil-skifte, men rammer man forkert, er tabs-risikoen langt større. Det er mere held end noget andet, om investorerne rammer et bølgeskifte. Derfor anbefaler Goldman, at investorer har både value- og vækstaktier i porteføljen fremfor at jonglere frem og tilbage mellem de to stilarter.
Adding Style To Your Portfolio
Shifting macro conditions have ushered a new paradigm for equity style dominance. While it’s clear that today’s pro-cyclical attributes tend to favor value equities over growth in theory, short-term style volatility has made implementing this view quite challenging in practice.
Successfully implementing style rotations in portfolios ultimately rests on both 1) how accurately investors can time episodic style reversals, and 2) how investors are compensated for making the right call.
Since the March 2020 market bottom, style returns have been unusually at odds. In the past, value equities have posted positive returns even on days where growth led the charge, suggesting that outperformance of one style often did not come at the expense of the other. The current environment has revised this growth/value relationship, as seen in exhibit 1.
The weekly return correlation has fallen from a decade-long level of 0.93 to 0.49. Returns have not only decoupled over the last 18 months, but they have also moved frequently in opposite directions. Consequently, the return gap has widened two-fold compared to the prior decade. Putting these observations together, we see that recent style rotations have become more powerful, more common, with results increasingly barbelled.
EXHIBIT 1: INVESTMENT REALITY OF STYLE REVERSALS
Source: Bloomberg and Goldman Sachs Asset Management. As of August 27, 2021. Correlations are calculated based on return differentials between Russell 1000 Growth and Russell 1000 Value indices.
In our view, timing style reversals in this investment landscape can be either extremely rewarding or extremely punitive for portfolios, with potential outcomes varying widely (exhibit 2). In the best case scenario, an investor successfully identifying the most rewarding weeks to rotate in-and-out of equity styles would still need to accurately time a minimum of 22% of style reversals to beat market returns.
On the flipside, in the worst case scenario, an unlucky investor missing out on rotating styles during the most rewarding market performing weeks would ultimately need to accurately time 80% of style reversals in order to match market performance. At such wide variance, we think compensation for timing style reversals look random at best.
EXHIBIT 2: POTENTIAL OUTCOMES FROM STYLE TIMING
Source: Bloomberg and Goldman Sachs Asset Management. As of August 27, 2021. Cumulative return reflects weekly return since week ending March 27, 2020 through week ending August 27, 2021. Best case scenario assumes that mistiming of style rotations occurred during weeks where the style return differentials are the smallest, while worst case scenario assumes that mistiming occurred during the weeks where differentials are the greatest.
Additionally, while the wide return differentials between styles are tempting to exploit, we believe the delta in returns will likely normalize over time. Therefore, we continue to advocate for a more efficient deployment of active risk at the security rather than style level.
With the S&P 500 index return already doubled since the pandemic bottom, we believe the hurdle to outperforming US equities may be higher than ever. As such, we continue to have the most conviction allocating to both styles. As evident by the last 18 months, we have seen that growth- and value-style equities can each have their own moments in the sun.
