I have a huge problem with factor advocates, or anyone, saying a) that you have to be prepared to commit for decades to some strategy, while b) changing the strategy a couple of times a decade.
First, "Quality" is
not one of the five Fama-French factors, which are "market," "size," "value," "profitability," and "investment."
Second, the constant changes in the story tell us is that financial researchers
do not know when they have enough data to make actionable predictions.
This is accompanied by rhetorical maneuvers that walk back claims in subtle ways. And, of course, to be fair, it is not exactly the same people making the initial claims as the people saying later "we never said that."
As Robin Wigglesworth's book,
Trillions, confirms, Dimensional Fund Advisors was founded on the size factor. The pure, unadorned size factor and nothing else, and a fund, DFSCX, now known as the DFA US Micro Cap Fund, to allow investors to reap the supposed benefits.
The size factor has been walked back progressively--it's important, just not quite as big as Banz thought; it's important, just not as strong as some others; it's important, but only in raw return, not risk-adjusted return; it's not important even in raw return, but we can "resurrect" it as a flavor enhancer for other factors.
And yet people still constantly post asking how to add small-caps (not small-cap
value, just small-caps) to an S&P 500 fund.
Forty years after launch, despite a great start for the first three years,* DFSCX hasn't made a penny more than an S&P 500 index fund,
and instead of saying "fund companies and advisors misapplied research and misled you," they say "O, the size factor?
That old thing? Nobody ever really advocated that. Quit looking over
there, look at this shiny new factor, hot off the press,
this one
is the real thing, commit to sticking to it for forty years, and see how that goes.
*I intentionally created my own chart to make sure I was crediting DFSCX with those first three good years, which PortfolioVisualizer doesn't include.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.