05. Size
M4 L2A 16 Fama French Size Factor V2
Theoretical Portfolios
If we had a hypothesis that a particular attribute affects returns, we could try to quantify that using a theoretical portfolio. It's common to use a dollar neutral theoretical portfolio, which means we'd have an equal dollar amount long as short. We'd go long on assets that have more of a particular trait that may improve returns, and go short on assets that have less of that trait. This is a way to create a "measurement" of how that attribute influences returns.