Microcaps or miss performance!
Kill your bias!
Hey, just saw that paper.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4016481
It is about how to weight your portfolio. I back tested it for micro caps and small caps, not much success, so I stay with my equal weighted portfolios.
BUT:
The above shows, that if you exclude micro caps (on the 3 or 5 factor model of Fama and French) your performance ge…
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