Research and publications

The Seasons of the True Size Anomaly

This paper employs a robust portfolio sorting procedure to factor size characteristics into returns. The US size anomaly

Author(s):

Boris Fays, Georges Hübner, Marie Lambert

Summary:

This paper employs a robust portfolio sorting procedure to factor size characteristics into returns. The US size anomaly boils then down to a pure seasonal effect, fully supporting the “tax-loss-selling” hypothesis. We build a long-short calendar trading strategy, easily reproducible by an asset manager, being long the Smallminus-Big (SMB) portfolio in January (or in Q1), staying in cash in Q2 and Q3, and shorting SMB in Q4. The strategy achieves a mean yearly return close to 11% from 1963 to 2019. It does not decay over time, remains steady across all subperiods, and resists to the detection of false discoveries.

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Type :	EDHEC Publication
Date :	14/07/2020

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