The good folks over at AQR have a nice piece (again, as usual) on the value factor, with a key graph of the value spread shown below by market.
Ours version is just the ratio of medians by tercile on factors, for the local (ASX 200) market, but point is the same.
Spread is back, and very wide. This does mean making sure one’s portfolio isn’t too horribly underweight the Value factor, lest it snap back again.
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