In an asset allocation portfolio, do value stocks outperform growth stocks?  Do small-cap stocks outperform large-cap stocks?  The answer to both questions is yes, for most periods.

The two graphs are based on data contained in the Backtesting Portfolio Spreadsheet prepared by a member of the Bogleheads Forum. The spreadsheet provides returns for various asset class combinations for periods between 1972-2010.  The charts compare returns for six asset classes over five different time periods ending December 31, 2010.

For each period except the most recent 5-year period, large-cap value stocks outperformed large-cap growth stocks.  Similar results can be seen for small-cap stocks.

The two graphs also show that small-cap stocks outperformed large-cap stocks of the same type (i.e., value, blend, or growth) for all of the periods except one.

Data sources:

LCV = US Large Value: Fama and French 1972-1978 Russell 1000 Value Index 1979-1992 Vanguard Value Index Fund 1993-2010

LCB = US Large Blend: S&P 500: Standard & Poors 1972-1976 Vanguard 500 Index Fund 1977-2010

LCG = US Large Growth: Fama and French 1972-1978 Russell 1000 Growth Index 1979-1992 Vanguard Growth Index Fund 1993-2010

SCV = US Small Value: Ibbotson 1972-1978 Russell 2000 Value Index 1979-1998 Vanguard Small Cap Value Index Fund 1999-2010

SCB = US Small Blend: Ibbotson 1972-1978 Russell 2000 Index 1979-1991 Vanguard Small Cap Index Fund 1992-2010

SCG = US Small Growth: Ibbotson 1972–1978 Russell 2000 Growth Index 1979-1998 Vanguard Small Cap Growth Index Fund (VISGX) 1999-2010