As many of you know, I don't think much of the rigid investing style boxes that Morningstar has done so much to promote. They probably cost investors hundreds of basis points per year in returns (and therefore cost the market considerable sums as a result of inefficiencies). They also cost the government millions in enforcement, to make sure that when someone says, "Large-Cap Value" they mean "Large-Cap Value," even though nobody can agree on what "Large" and "Value" mean.
So imagine my surprise when I saw this in the very first reading of the CFA Level II Statistical Methods section:
Style Analysis Correlations ...For the 20 years ending in 2002, the correlation between the monthly returns to the Russell 2000 Growth Index and the Russell 2000 Value Index was 0.8526. ...Because the returns to the two indexes are highly correlated, we can say that very little difference exists between the two return series, and therefore, we may not be able to justify distinguishing between small-cap growth and small-cap value as different investment styles.
Heh.