This anomaly has been persistent for three decades, and in the case of small caps, it has matched the total return. This simple anomaly can be used as an additional rule in tactical asset allocation.
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Specific disclaimer: This report includes charts that may reference price levels determined by technical and/or quantitative analysis. No charts will be updated if market conditions change the price levels or any analysis based on them. All charts in this report are for informational purposes only. See the disclaimer for more information.
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Charting and backtesting program: Amibroker; Data provider: Norgate Data
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