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Re:Offline Algorithms in Low-Frequency Trading by smabie on Saturday January 30, 2021 @09:12PM (#25975108)
Sorry, I'm using risk premia incorrectly (quant equities isn't actually my thing).

What I mean is that I don't believe smb truly delivers superior risk adjusted returns. For example, I believe the betting against beta factor (BAB) does, while smb does not.

Re:Offline Algorithms in Low-Frequency Trading by kgwgk on Saturday January 30, 2021 @09:21PM (#25975149)
We agree then, the size factor has not been really outperforming since it was introduced in the nineties. Maybe the drivers of the outperformace were things like transaction costs and lack of information which are less of an issue in recent times.

For what it’s worth, the value factor is not doing well recently either...

Re:Offline Algorithms in Low-Frequency Trading by smabie on Sunday January 31, 2021 @02:05AM (#25976773)
you sound like a quant. are you l? if so, always like to network/talk/make connections

hmu