Market-Neutral Strategies in Mid-Cap Portfolio Management: A Data-Driven Approach to Long-Short Equity
A 2024 paper by Kothari and co-authors on the size premium in equities, on a 2013–2023 sample: the abstract mentions a Sharpe ratio, excess returns and profits and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“This research builds upon the long-short equity approach (e.g., Michaud, 2018; Dimitriu, Alexander, 2002) customized for mid-cap equities, providing steady risk-adjusted returns yielding a significant Sharpe ratio of 2.132 in test data.”
AssetEquities
StrategySize premiumportfolio optimization
Sample window2013–2023
ClaimSharpe ratioexcess return
Also stated: Long-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodSize premium by year
FamilySize premium22Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 980
AssetEquities18
AuthorsKothari et al.1
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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