The small-cap conundrum

"(...) Felix Goltz, research director at Scientific Beta, explains: “Size does not seem to deliver superior performance on a standalone basis. It offers a lower premium compared with other common ...

Cited As:

"(...) Felix Goltz, research director at Scientific Beta, explains: “Size does not seem to deliver superior performance on a standalone basis. It offers a lower premium compared with other common factors, including momentum, value and low volatility. However, if you add the size factor to a set of exposures to different factors, returns may be improved. The size factor carries information about returns that is not captured by the other factors. Our studies have concluded that it is costly not to include the size factor in multi-factor portfolios.” Goltz points out that the size factor generally behaves differently from other factors. It has low sensitivity to interest rate shocks and has low correlation to other factors. “That is why it is important to look beyond the standalone premium and focus on the diversification element of the size factor,” he says. (...)"

Type: Press article
Date: le 01/10/2019
Research Cluster : Finance
Source : IPE

See Also

EDHEC International BBA' sustainable forum
News
- 29-06-2022
On april, 7th our first sustainable forum was organised on both Nice and Lille campus....
EDHEC Augmented Law Institute and Sopra Steria sign a partnership to develop an agility index for legal departments
News
- 27-06-2022
Over the next 3 months, Sopra Steria's legal teams, who benefit from an advanced...
EDHEC ANNOUNCES THE CREATION OF A CENTRE FOR RESPONSIBLE ENTREPRENEURSHIP
News
- 27-06-2022
EDHEC Business School announced the creation of its Centre for Responsible...
The Economist ranks EDHEC Global MBA among Top 20 worldwide, #4 in Europe
News
- 22-06-2022
The EDHEC Global MBA ranks among the Top 20 best MBAs worldwide and #4 in Europe,...