"Is there still room for the Size factor in the factor menu?" Webinar on November 24, 2020 скачать в хорошем качестве

"Is there still room for the Size factor in the factor menu?" Webinar on November 24, 2020

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: Do state-of-the-art asset pricing models still include the Size factor? Using the Size factor to diversify exposure to quality, momentum and low risk factors Using the Size factor to diversify macroeconomic risks in equity portfolios