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The Mid Cap Effect

In this webinar, we show how Barra models capture the risk and return characteristics of mid cap stocks using the Non-Linear Size factor. This factor describes the return difference between mid cap stocks and the overall market, net of the other factors. We show that since the global financial crisis of 2008, the impressive performance of global mid caps was attributed to, in large part, their exposure to Non-Linear Size. Monitoring the exposure to this factor provides investors with a view of the strength of the Mid Cap Effect in their portfolios. Barra Portfolio Manager implementation are also demonstrated during the webinar.

  • What Makes Mid Caps Unique
  • Understanding Size Returns
  • Modelling the Mid Cap Effect


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