An interesting look at the size anomaly
Many of you are probably aware of the paper from AQR entitled, “Size Matters: When you control for your junk.”
We loved the title so much we considered it one of our Top 5 Geeky, Yet Funny, Economic Paper Titles.
Of course, great papers often go unread beyond the abstract because they are a bit dense. A solution to this is to get access to the presentation version of the paper. Typically, a powerpoint deck can convey the information is a more efficient manner than reading through the 50 pages of academic jargon.
Luckily, the Jacobs Levy Equity Management Center hosted an event recently and the AQR crew presented their paper.
Here is a link and here is the bottom line:
The evidence is pretty clear that the size anomaly is alive and well. We alluded to this conclusion a while ago–even without considering quality.
Note: This site provides no information on our value investing ETFs or our momentum investing ETFs. Please refer to this site.
Join thousands of other readers and subscribe to our blog.
Please remember that past performance is not an indicator of future results. Please read our full disclaimer. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. This material has been provided to you solely for information and educational purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and Alpha Architect to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission from Alpha Architect.
Definitions of common statistics used in our analysis are available here (towards the bottom)