I have not seen this (excluding top ranks)? Maybe the fastest growth companies are too volatile? Any insights?
My thought is sometimes the "best" companies along a dimension, in this case Growth, get too much notice and get bid up reducing immediate future returns. Sometimes this becomes blatant enough that a human will notice. This notice tends to happen when there are limited valuation or momentum factors in the screen. In this case trimming the bottom 15% based on the "Core: Value RS.
How do I notice this? My style is multiple small screens collected together. In setting the number of stocks to hold from a screen I run with different holding sizes and look at the return versus size curve. When I see an inverted parabola this means the smaller holding sizes are less rewarding than larger holding sizes. So I take the first few (higher ranked) holdings out and sometimes get better results, not always.
Cheers,
Rich
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