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A negative beta investment whose expected return is less than the risk-free rate represents insurance against some macroeconomic risk that adversely affects the rest of the portfolio, therefore, making such a position aligned with the interests of risk-averse investors. Gold is a standard example of a negative beta investment because it acts as a hedge ...


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In principal, nothing stops you from doing both, constructing equally weighted and value weighted portfolios and see how the results differ :) In principal, I'd advice to use value weighted portfolios though. As you say, size can have a significant influence on the cross section of stocks. Look at the RFS paper from Lu Zhang et al. (2018) which tests many ...


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