In the answer it is said that the portfolio is no longer has a small cap tilt , but size factor as given by ‘small – big’ a negative coefficient means large cap tilt and positive coefficient means small cap tilt . Previous ly the portfolio has a negative coefficient regarding size so it has large cap bias and now the portfolio has positive coefficient Regarding size so it has small cap bias is not it ?
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I am asking the question regarding this example
I think here size coefficient has been assumed differently from the usual SMB (small minus big) we generally do. Reading the explanation of the answer, answer has taken negative coefficient as having small cap bias and so on.
Note : Question has not specified size coefficient as being SMB specifically.