Size factor
Stocks with a lower market value (mid and small caps) typically realize higher returns than those with a higher market value or capitalization (large caps). The size factor measures this difference in return between small cap companies relative to large cap companies. Suppose you would take the correlation of the S&P500 returns and the size factor returns. What would you expect to find?
This exercise is part of the course
Introduction to Portfolio Analysis in Python
Hands-on interactive exercise
Turn theory into action with one of our interactive exercises
