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Given below is the time-series average returns and standard deviations to the size premiums across six regions/countries based on sample size of 373 months. Your
Given below is the time-series average returns and standard deviations to the size premiums across six regions/countries based on sample size of 373 months. Your task is to consider the reward to risk ratios calculated as premium divided by standard deviation. Over the sample period and regions/countries considered, do you think that size matters in investment strategy? Provide explanation for your answer.
Size Premium Across Region | |||||||
Global | Developed | Emerging | Europe | Japan | Asia-Pacific Excluding Japan | North America | |
Average monthly return | 0.597343276 | 0.019613318 | 0.081430186 | 0.060903206 | 0.059413948 | -0.209093935 | 0.060166855 |
SD.S | 4.264251269 | 1.969621951 | 2.218465022 | 2.166158911 | 3.06082972 | 2.906969947 | 3.048114042 |
SD.P | 4.258405822 | 1.966921988 | 2.215423944 | 2.163189535 | 3.056633927 | 2.902985066 | 3.04393568 |
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