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Position Trader's avatar

That is a very compelling reason to look at the micro caps that are also fundamentally sound. Some outliers lurk there.

The NASDAQ Playbook's avatar

Small cap outperformance since 1999 holds in cumulative returns, but rolling 10y Sharpe tells a different story. Most of that 600 percent gap comes from 2003 to 2006 and 2020 to 2021 windows. Mean reversion is real, but timing the regime shift is where the alpha actually lives.

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