Cliff Asness: Reeling In Small Cap Alpha – Quibble Fight!Guest Post
Cliff Asness: Reeling In Small Cap Alpha - Quibble Fight! by AQR
In their recent white paper Reeling in Small Cap Alpha, Kalesnik and Beck make the correct, if well-known, observation that the prominent factors in modern systematic investing (e.g., value, momentum, quality) are more effective with small cap stocks than within large-cap. Furthermore, they show, as is also well-known, that the size effect itself is a . . .
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