Objective research to aid investing decisions
Menu
Value Allocations for September 2019 (Final)
Cash TLT LQD SPY
Momentum Allocations for September 2019 (Final)
1st ETF 2nd ETF 3rd ETF

Doubling Down on Size

Posted in Equity Premium, Size Effect

"Is There Really an Size Effect?" summarizes research challenging the materiality of the equity size effect. Is there a counter? In their June 2018 paper entitled "It Has Been Very Easy to Beat the S&P500 in 2000-2018. Several Examples", Pablo Fernandez and Pablo Acin double down on the size effect via a combination of market capitalization thresholds and equal weighting. Specifically, they compare values of a $100 initial investment at the beginning of January 2000, held through April 2018, in:

  • The market capitalization-weighted (MW) S&P 500.
  • The equally weighted (EW) 20, 40, 60 and 80 of the smallest stocks in the S&P 1500, reformed either every 12 months or every 24 months.

All portfolios are dividend-reinvested. Their objective is to provide investors with facts to aid portfolio analysis and selection of investment criteria. Using returns for the specified stocks over the selected sample period, they find that:

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Research Categories
Recent Research
Popular Posts