Inversiones con un valor alto de alfa en acciones de pequeña capitalización: Revitalizando las estrategias de valor profundo mediante una mejor evaluación de los fundamentos y del momentum.

The small-cap value investing landscape in 2025 presents a paradox: while these stocks have underperformed large-cap peers amid the dominance of the "Magnificent Seven," they now trade at historically low valuations, creating a compelling setup for long-term outperformance. According to a report by Morningstar, small-cap stocks have lagged in 2025 due to sector imbalances and volatility, yet their valuation discounts suggest untapped potential. This article explores how investors can revitalize deep-value strategies by integrating rigorous fundamental analysis with momentum screening, leveraging both academic insights and empirical evidence to generate high-alpha returns.

The Case for Small-Cap Value: Valuation Gaps and Durable Fundamentals

Small-cap stocks have historically outperformed large-cap counterparts due to their structural growth potential and mispricing in under-researched markets according to Mondrian research. However, recent years have seen a widening valuation gap, driven by accommodative monetary policies and structural shifts favoring tech giants as Gabelli analysis indicates. Despite this, small-cap companies have demonstrated superior combined free cash flow growth and dividend returns compared to large-cap peers according to Pzena's 2025 Q3 commentary.

For instance, Pzena's 2025 Q3 commentary highlights that small-cap stocks trade at a 40% discount to large-cap valuations, a level not seen since the 2008 financial crisis as detailed in their analysis. This divergence, while alarming in the short term, represents a fertile ground for value investors willing to adopt a patient, disciplined approach.

Combining Fundamentals and Momentum: A Dual-Pronged Approach

The integration of fundamental analysis and momentum screening offers a robust framework for identifying high-conviction small-cap opportunities. Fundamental metrics such as Return on Equity (ROE), earnings growth, and valuation indicators like the PEG ratio and EV/EBITDA help isolate companies with durable business models and attractive risk-reward profiles as PythonInvest notes. Meanwhile, momentum factors-such as price trends, moving averages, and channel breakouts-refine entry points by aligning with market sentiment and technical strength according to ScienceDirect research.

A 2023 study on U.S. and Asian markets underscores the importance of this duality: while developed markets like the U.S. exhibit positive momentum returns, emerging markets often show negative momentum due to structural inefficiencies as found in this study. This suggests that momentum strategies must be tailored to regional contexts. For small-cap investing, combining cash flow growth (a fundamental metric) with price momentum can mitigate volatility while capturing growth trends. For example, a 2025 empirical study in Australia found that portfolios blending value and momentum factors generated positive risk-adjusted abnormal returns, outperforming the market by 8% annually according to ResearchGate findings.

Empirical Evidence: Performance and Portfolio Construction

The effectiveness of combined strategies hinges on execution. Research from Wright Research indicates that momentum strategies underperformed in 2025 in markets like India due to macroeconomic noise and regime shifts as reported in their analysis. However, U.S. small-cap stocks showed signs of positive momentum as investors began to reprice their value according to Janus Henderson commentary. A key insight from Alpha Architect's analysis is that allocating to value and momentum separately, then combining them at the portfolio level, historically yielded higher returns than blending signals into a single screen as demonstrated in their research. This approach allows investors to balance the long-term durability of fundamentals with the short-term efficiency of momentum, reducing the risk of overfitting to either factor.

Challenges and Considerations

While the case for small-cap value investing is compelling, challenges persist. Sector imbalances-such as underrepresentation in high-growth industries-can skew returns as Morningstar reports. Additionally, momentum strategies in Asian markets highlight the risks of relying solely on technical indicators without accounting for local market structures according to ScienceDirect research. Active management is thus critical: small-cap stocks are inherently less liquid and more susceptible to mispricing, requiring granular due diligence and dynamic rebalancing as Gabelli analysis suggests.

Conclusion: A Path Forward for High-Alpha Returns

The 2025 small-cap landscape, though fraught with near-term headwinds, offers a unique opportunity for investors who adopt a hybrid approach. By combining rigorous fundamental analysis with momentum screening, investors can navigate volatility while capitalizing on valuation discounts. As Pzena notes, declining interest rates and resharing efforts are expected to bolster small-cap performance in the coming years according to Gabelli research. For those willing to embrace active management and regional specificity, the rewards of this strategy could be substantial.