Size Investing Research

///Size Investing Research

The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market

By |2018-06-04T10:20:01+00:00June 4th, 2018|Academic Research Insight, Basilico, Factor Investing, Research Insights, Size Investing Research|

Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance A version of this paper can be found here Want to [...]

Factor Investors Beware: Positive SMB May Not Mean You Own Small-Caps

By |2017-11-10T10:25:36+00:00November 10th, 2017|Factor Investing, Research Insights, Size Investing Research|

Regression analysis is used all the time to assess how a portfolio "loads" on certain factors. The most common factor loadings examined are the market, size, value, and momentum factors. This can be an informative [...]

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Chinese Market Anomalies – The Factor Killer?

By |2017-08-18T17:08:10+00:00May 12th, 2017|Active and Passive Investing, Momentum Investing Research, Size Investing Research, Value Investing Research|

The Oracle of Omaha just commented on the Chinese stock market in this year's Berkshire's annual meeting: ...Markets have a casino characteristic that has a lot of appeal to people, particularly when they see people [...]

Will ETFs Destroy Factor Investing? Nope.

By |2018-04-05T10:33:09+00:00February 17th, 2017|Factor Investing, Guest Posts, Low Volatility Investing, Momentum Investing Research, Research Insights, Size Investing Research, Value Investing Research|

One of the popular investing truisms is the following (inspired by Bill Sharpe): For somebody to beat the market (win) someone else has to lag the market (lose). This becomes an even more daunting (efficient [...]

Factor Investing is More Art, and Less Science

By |2018-05-02T09:02:25+00:00February 3rd, 2017|Factor Investing, Key Research, Momentum Investing Research, Research Insights, Size Investing Research, Value Investing Research|

Albert Einstein is reported to have said the following: The more I learn, the more I realize how much I don’t know. I can relate. Having studied finance for a long time (PhD, professor, books, [...]

An interesting look at the size anomaly

By |2018-05-31T13:31:59+00:00November 4th, 2015|Size Investing Research, Uncategorized|

Many of you are probably aware of the paper from AQR entitled, "Size Matters: If you control for your junk." We loved the title so much we considered it one of our Top 5 Geeky, [...]

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