@quantfinancetogo: ➡️ Part 26 of Quantitative Finance From Scratch: the size factor. A company's size on the stock market is its market value, the share price times the number of shares. The classic size portfolio buys the smallest stocks, sells the largest and rebalances once a year. In our simulation (500 simulated stocks, 50 years, assumed numbers) the size portfolio earns 3.0 % a year with a t statistic of 2.21 while the built-in premium is switched on. From an assumed publication year on, the premium is switched off. That drop is an assumption built into the model, not a result of it. After that point the portfolio earns -0.2 % a year (t -0.11). It is a model, so it shows how the method works, not what real markets will pay. The chart in the hook is a schematic, not real data. In real markets, the size effect became much weaker after it was published in the early eighties, and researchers still debate whether a small premium remains. Education only, not financial advice. #quantfinance #sizefactor #factorinvesting #python #finance

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Saturday 17 October 2026 17:41:55 GMT