I’ve been reading Fama-French and have been trying to get my head around the SCV premium. Presuming the premium does actually exist, what’s the best way to capture it?
The two issues I’m running into are allocation percent and ETF choice for allocation.
—————————————————————
What’s the “ideal” allocation, assuming no behavioral risk and a sufficient 40 year horizon? At some point you run into utility issues even at that horizon due to the volatility with concentration - 100% allocation would seemingly be obviously silly, but if there is a true premium how much is too much?
—————————————————————
What’s the best way to capture this factor? I haven’t been able to find ETFs that accurately track SCV without high expense ratios, and I’m generally wary of actively managed funds due to the risk of simple poor selection by the fund managers. This is seemingly unavoidable seeking this factor tilt, but how do you recommend capturing it?