{"id":2047061,"date":"2016-04-24T13:00:47","date_gmt":"2016-04-24T07:30:47","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2047061"},"modified":"2016-07-16T14:13:29","modified_gmt":"2016-07-16T08:43:29","slug":"market-cap-deciles-part-iii","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2016\/04\/24\/market-cap-deciles-part-iii\/","title":{"rendered":"Market-Cap Deciles, Part III"},"content":{"rendered":"

Part I<\/a>, Part II<\/a> of the series.<\/i><\/p>\n

111% vs. 11%<\/h3>\n

A portfolio of ~150, equal-weight, small-cap stocks, rebalanced monthly, gave a return of 111% from 2015 through now.<\/p>\n

\"decile.9.2016-04-24\"<\/p>\n

While a similar portfolio of mega-cap stocks gave a return of 11% during the same time frame.<\/p>\n

\"decile.0.2016-04-24\"<\/p>\n

Variance<\/h3>\n

Returns from the small-cap portfolio are accompanied by larger volatility.<\/p>\n

\"decile.distribution.9.2016-04-24\" <\/p>\n

\"decile.distribution.0.2016-04-24\"<\/p>\n

Accessibility<\/h3>\n

Is the alpha accessible? Given the meager volumes in the small-cap space, narrow circuit breakers and intra-day volatility of prices, small-cap alpha is hard to access. The impact cost of trading 150 small-cap stocks every month would be pretty high for large positions.<\/p>\n

However, a portfolio with an exposure of Rs. 10,000 – Rs. 50,000 per stock is doable. So, theoretically, you can size the portfolio between Rs. 15,00,000 – Rs. 75,00,000 to access this alpha.<\/p>\n

Appendix<\/h3>\n

Cumulative wealth charts for each decile (both cap- and equal-weighted): (a)<\/a><\/p>\n

Box plots of cumulative returns of stocks in each decile: (b)<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"

Part I, Part II of the series. 111% vs. 11% A portfolio of ~150, equal-weight, small-cap stocks, rebalanced monthly, gave a return of 111% from 2015 through now. While a similar portfolio of mega-cap stocks gave a return of 11% during the same time frame. Variance Returns from the small-cap portfolio are accompanied by larger … <\/p>\n","protected":false},"author":2,"featured_media":2036941,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[3731,2761],"class_list":["post-2047061","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","category-your-money","tag-decile","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2047061","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2047061"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2047061\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2036941"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2047061"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2047061"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2047061"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}