My friend has backtested a deep value investing strategy and got a Sharpe ratio more than 1. So it isn't true that it was higher risk with small caps, even though I don't believe using Sharpe Ratio as a good way to measure risk taking. Even equating volatility to risk is debatable. But that's for the academics and practitioners to fight it out.
http://treeofprosperity.blogspot.com/2014/06/ba...
My friend has backtested a deep value investing strategy and got a Sharpe ratio more than 1. So it isn't true that it was higher risk with small caps, even though I don't believe using Sharpe Ratio as a good way to measure risk taking. Even equating volatility to risk is debatable. But that's for the academics and practitioners to fight it out.
http://treeofprosperity.blogspot.com/2014/06/ba...