Scientific Beta

ETF Stream: "Index provider Scientific Beta rallied to the defence of size this week following claims the factor was not just dead but never existed in the first place. These claims were made by Cliff Asness and his team at AQR Capital Management who found the original research around the factor did not take into account the liquidity premium investors pay for owning small-cap stocks. However, Scientific Beta has said the findings have “little relevance to investors” as Asness fails to take into account the way size fits into a multi-factor portfolio."

ETF Stream 15/10/2020

"(...) Index provider Scientific Beta rallied to the defence of size this week following claims the factor was not just dead but never existed in the first place. These claims were made by Cliff Asness and his team at AQR Capital Management who found the original research around the factor did not take into account the liquidity premium investors pay for owning small-cap stocks. Once this was taken account, according to Asness, one could explain why size has almost consistently underperformed over the past four decades. However, Scientific Beta has said the findings have “little relevance to investors” as Asness fails to take into account the way size fits into a multi-factor portfolio. The index provider, which runs a range of multi-factor portfolios incorporating size, said the factor is a strong diversifier of other traditional factors and therefore adds value from a risk management perspective. (...)"