smallcases Investment Performance: A Returns-Based Factor Analysis

18 Pages Posted: 1 Feb 2023

Date Written: February 1, 2023


We examine the performance of 36 smallcases between December 2019 and December 2022, comparing their performance against market-based and strategy indices, and four- and six-factor models. The results show evidence of targeted factor exposures for a few smallcases, but for most smallcases, the high idiosyncratic risk of concentrated portfolios overwhelms any potential factor exposure. In general, smallcases in our sample are exposed to the Small Size factor, which will possibly constrain the capacity. Realised returns are likely to be lower due to fees, slippage, transaction costs, and taxes. Despite excluding these costs, there is no evidence of alpha in our sample controlling for common academic factors. The findings provide preliminary information for investors and investment professionals who want to better understand the factor exposures of smallcases.

Keywords: Factors, smallcases, Investment Strategy, Indian Equity

JEL Classification: G00, G11, C15

Suggested Citation

Raju, Rajan, smallcases Investment Performance: A Returns-Based Factor Analysis (February 1, 2023). Available at SSRN: or

Rajan Raju (Contact Author)

Invespar Pte Ltd ( email )


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