Long-Only Value Investing: Does Size Matter?

Alpha Architect

Jack Vogel

Research

29 Pages

Alpha Architect studies how firm size affects the value premium when investors hold long only portfolios rather than academic long short factors. The research finds that large cap and small cap value portfolios can deliver similar returns, which challenges the idea that value must focus on smaller stocks to be effective.

Date Published: April 2022

Key Takeaways

Practical lens: The paper reframes value investing from theoretical long short factors to the long only portfolios investors actually own.
Size dimension: Large cap value baskets can behave similarly to small cap value on returns, while offering much greater liquidity.
Portfolio construction: Equal weighting and robust valuation metrics are emphasized as tools to capture value without relying on micro caps.
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