Size Effect
Size Effect
Size Effect
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• The Test:<br />
Portfolio strategies based<br />
on market capitalization<br />
No matter how you slice it, small caps win out.<br />
– Collected NYSE & AMEX stock prices from 1963-1980.<br />
1980.<br />
• Daily returns<br />
• Common shares<br />
– Ranked all stocks by market value and divided into 10<br />
equally-weighted portfolios.<br />
– Active vs. Passive portfolio strategy.<br />
• Active – annual portfolio rebalancing<br />
• Passive – hold till 1980 without rebalancing<br />
• Placed any proceeds after delisting in an S&P 500 Index fund
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