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 itβs worth, the value factor is not doing well recently either...
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.