Investment Management

Dimensions of Return


Investing Based on Dimensions of Higher Expected Return

When investing client money, Oak Harvest makes use of decades of Nobel Prize-winning financial research by such figures as Harry Markowitz, Eugene Fama, and Kenneth French. The work of these men, and others, identified specific dimensions of higher expected return across global markets.

This research, tested over decades and various market conditions, argues that there are 3 primary dimensions that drive expected outperformance in stock markets worldwide:

  • Size Dimension** — “Bigger isn’t Always Better”: Smaller market capitalization companies have higher expected returns than large companies
  • Value Dimension** — “Everyone Likes a Bargain”: Value-priced equities have higher expected returns than companies with high growth characteristics
  • Profitability Dimension** — “Show me the Money!”: Companies with high levels of profitability historically outperform companies making little to no money or having low margins.

By constructing client portfolios based along the dimensions of return, Oak Harvest believes we can put the odds in your favor over the course of your retirement.



**Information provided by Dimensional Fund Advisors, LP. In US dollars. US size premium: Dimensional US Small Cap Index minus S&P 500 Index. US relative price premium: Fama/French US Value Research Index minus Fama/French US Growth Research Index. US profitability premium: Dimensional US High Profitability Index minus Dimensional US Low Profitability Index. Dev. ex US size premium: Dimensional Intl. Small Cap Index minus MSCI World ex USA Index (gross div.). Dev. ex US relative price premium: Fama/French International Value Index minus Fama/French International Growth Index. Dev. ex US profitability premium: Dimensional International High Profitability Index minus Dimensional International Low Profitability Index. Emerging Markets size premium: Dimensional Emerging Markets Small Cap Index minus MSCI Emerging Markets Index (gross div.). Emerging Markets relative price premium: Fama/French Emerging Markets Value Index minus Fama/French Emerging Markets Growth Index. Emerging Markets profitability premium: Dimensional Emerging Markets High Profitability Index minus Dimensional Emerging Markets Low Profitability Index. Profitability is measured as operating income before depreciation and amortization minus interest expense scaled by book. S&P data copyright 2018 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved. MSCI data © MSCI 2018, all rights reserved.

Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is not a guarantee of future results. Index returns are not representative of actual portfolios and do not reflect costs and fees associated with an actual investment. Actual returns may be lower. Descriptions of Dimensional and Fama/French indices available on request. Eugene Fama and Ken French are members of the Board of Directors of the general partner of, and provide consulting services to, Dimensional Fund Advisors LP.

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