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A Classic Factor Model Improves

There has been a great deal of focus by the academic community in recent years on fine-tuning the various factor models used to explain the differences in returns of diversified portfolios.

Marie Lambert, Boris Fays and Georges Hubner contribute to the literature with their 2015 paper, “Size and Value Matter, But Not the Way You Thought.” In their study, the authors examined the construction methodology behind the Fama-French size and value factors.

Read the rest of the article on ETF.com.

 

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