This is a summary of links featured on Quantocracy on Friday, 12/22/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Stock Misplacement in Sized-Based Indices [Alpha Architect]There has been much discussion of the small-cap premium recently. Has its popularity cannibalized its utility? Are large firms preventing a level playing field? Will the small-cap premium exist going forward? This article does not address these concerns directly, but it does identify and analyze another potential issue that could diminish the utility of small cap exposures. In particular, I