Cliff Asness on Quant Value Investing
Masters in Business
The Small Cap Effect Is Not a Bad Idea
The so-called small cap effect, it often gets conflated with that. We don't think it's supported, at least if you only adjust for beta, just to make everyone's head hurt. Small cap against the market is not a bargain. If you adjust for profitability, they tend to be fairly un-profit.
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