Scientific Beta

Enterprising Investor forum, CFA Institute: "In work previously published in The Journal of Beta Investment Strategies, Scientific Beta researchers Mikheil Esakia, Felix Goltz, Ben Luyten, and Marcel Sibbe conducted several tests to determine whether the size factor does indeed improve the Sharpe ratio of a multi-factor investor. The results presented in the chart below illustrate that it clearly does and are consistent with findings from other researchers."

Enterprising Investor forum, CFA Institute 01/03/2023

Article by Joseph Simonian, PhD, senior investment strategist at Scientific Beta

"(...) The size factor is among those equity risk factors that have provided a premium over the longer term. Recently, however, some researchers have expressed doubt about its utility based on a comparison of its performance with other well-known factors. For example, Ron Alquist, Ronen Israel, and Tobias Moskowitz as well as Noah Beck, Jason Hsu, Vitali Kalesnik, and Helge Kostka have argued that there is neither strong empirical evidence nor robust theoretical support for a persistent size premium. But there are reasons why most investors should question the relevance of these conclusions. (...) In work previously published in The Journal of Beta Investment Strategies, Scientific Beta researchers Mikheil Esakia, Felix Goltz, Ben Luyten, and Marcel Sibbe conducted several tests to determine whether the size factor does indeed improve the Sharpe ratio of a multi-factor investor. The results presented in the chart below illustrate that it clearly does and are consistent with findings from other researchers. (...)"