4 ms·
A lot of ff research is not very rigorous and highly suspect imo. it's more likely imo that smb is a risk premia than some sort of alpha factor
by smabie 6y ago
A lot of ff research is not very rigorous and highly suspect imo. it's more likely imo that smb is a risk premia than some sort of alpha factor
- kgwgk 6y agoThe factors in the Fama-French model are risk premia, I cannot make any sense of what you say. See for example https://www.msci.com/documents/1296102/1336482/Foundations_of_Factor_Investing.pdf https://www.msci.com/documents/1296102/1336482/Foundations_o...
- smabie 6y agoSorry, 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.
- kgwgk 6y agoWe 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...
- smabie 6y agoyou sound like a quant. are you l? if so, always like to network/talk/make connections hmu
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