Several studies report relatively weak performance for the Size factor when looking at a short time period, or when considering the factor in isolation. Given these results, a common conclusion is that the Size factor should be omitted from an investor’s menu of factors. This webinar analyses the cost of removing the Size factor and assesses its relevance. Rather than asking which factor has the highest stand-alone performance, we look at the marginal impact of the Size factor when including it in the menu along with other factors.
Overview
Several studies report relatively weak performance for the Size factor when looking at a short time period, or when considering the factor in isolation. Given these results, a common conclusion is that the Size factor should be omitted from an investor’s menu of factors.
However, an analysis of the most recent state-of-the-art asset-pricing models shows that all these models agree on the inclusion of the Size factor.
At this webinar, we analyse the cost of removing the Size factor and assess the relevance of the Size factor. Rather than asking which factor has the highest stand-alone performance, we look at the marginal impact of the Size factor when including it in the menu along with other factors.
Topics covered include:
Host
Felix Goltz is Research Director at Scientific Beta and a member of the EDHEC Scientific Beta research chair. He carries out research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks. He obtained a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC Business School.