A positive SMB coefficient in a Fama-French regression is often interpreted as signaling a portfolio weighted toward small-cap stocks. We present a portfolio with known very large size, which has a positive SMB coefficient for all periods. We emphasize that this is associated with the...

Return-based classification identifies a portfolio's style signature in the time series of its returns. Detection is based on a regression of portfolio returns on returns of factor mimicking indices. The method is easy to apply and does not require information about portfolio composition....