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Size
Negative log market cap (shares × price). Smaller companies rank higher.
As of 2026-06-02 · 83 names held · backtest spans 220 months
Trailing returns
1W
—
SPY —
1M
—
SPY —
3M
-0.28%
SPY +0.14%
6M
+8.12%
SPY +1.09%
YTD
+6.99%
SPY +0.73%
1Y
+17.39%
SPY +16.90%
5Y
+40.72%
SPY +75.15%
10Y
+260.58%
SPY +283.46%
20Y
—
SPY —
Cumulative return vs SPY
Performance stats
| Metric | Factor | SPY |
|---|---|---|
Annualized return (1 + total) ^ (252/4589) − 1 | +16.44% | +10.81% |
Annualized volatility daily-return stdev × √252 | +24.72% | +19.88% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.66 | 0.54 |
Max drawdown worst peak-to-trough on the cumulative series | -52.28% | — |
Information ratio ann excess return ÷ tracking error (vs SPY) | 0.52 | — |
Monthly hit rate share of months where factor return > SPY | 59% (130/220) | — |
How it's computed
What. Market cap = latest known shares_outstanding_diluted (PIT with the 60-day filing lag) × latest closing price. We rank stocks by *−log(market cap)* so the smallest names land in the top quintile.
Why it has worked. The small-firm effect, documented since Banz (1981). Possible drivers include illiquidity premia, information asymmetry (fewer analysts, more mispricing), and survivorship in the tail. The size effect is the original Fama-French "SMB" factor.
Caveats. Within the S&P 500 the size effect is muted — every constituent is by definition large-cap. The factor here ranks "small" vs "very large" within the index, not actual small-caps vs large-caps. Academic small-cap premium is largely a micro-cap phenomenon and has been weak since 2000 even in broader universes.
Current sector mix
| Sector | Names | % of screen | |
|---|---|---|---|
| Consumer Discretionary | 14 | 16.9% | |
| Health Care | 14 | 16.9% | |
| Industrials | 14 | 16.9% | |
| Real Estate | 10 | 12.0% | |
| Information Technology | 8 | 9.6% | |
| Financials | 6 | 7.2% | |
| Consumer Staples | 5 | 6.0% | |
| Communication Services | 4 | 4.8% | |
| Materials | 4 | 4.8% | |
| Energy | 2 | 2.4% | |
| Utilities | 2 | 2.4% |
Current top quintile (83 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| MCD | McDonald's | Consumer Discretionary | -1219.5% | 1.78 |
| SATS | EchoStar | Communication Services | -1738.8% | 1.78 |
| BKNG | Booking Holdings | Consumer Discretionary | -2241.8% | 1.78 |
| EPAM | EPAM Systems | Information Technology | -2247.5% | 1.78 |
| CAG | Conagra Brands | Consumer Staples | -2254.1% | 1.78 |
| CPB | Campbell's Company (The) | Consumer Staples | -2256.0% | 1.76 |
| POOL | Pool Corporation | Consumer Discretionary | -2262.3% | 1.71 |
| MOS | Mosaic Company (The) | Materials | -2273.0% | 1.61 |
| TECH | Bio-Techne | Health Care | -2277.5% | 1.58 |
| AOS | A. O. Smith | Industrials | -2280.2% | 1.55 |
| BLDR | Builders FirstSource | Industrials | -2284.7% | 1.51 |
| TPL | Texas Pacific Land Corporation | Energy | -2286.7% | 1.50 |
| CRL | Charles River Laboratories | Health Care | -2288.0% | 1.49 |
| ARE | Alexandria Real Estate Equities | Real Estate | -2291.8% | 1.45 |
| NCLH | Norwegian Cruise Line Holdings | Consumer Discretionary | -2291.9% | 1.45 |
| UHS | Universal Health Services | Health Care | -2292.9% | 1.44 |
| HSIC | Henry Schein | Health Care | -2294.3% | 1.43 |
| BAX | Baxter International | Health Care | -2298.5% | 1.40 |
| FDS | FactSet | Financials | -2298.7% | 1.39 |
| BXP | BXP, Inc. | Real Estate | -2299.5% | 1.39 |
| JKHY | Jack Henry & Associates | Financials | -2301.8% | 1.37 |
| PODD | Insulet Corporation | Health Care | -2303.2% | 1.35 |
| TTD | Trade Desk (The) | Communication Services | -2306.5% | 1.33 |
| AES | AES Corporation | Utilities | -2307.3% | 1.32 |
| DPZ | Domino's | Consumer Discretionary | -2307.5% | 1.32 |
| WYNN | Wynn Resorts | Consumer Discretionary | -2310.7% | 1.29 |
| CLX | Clorox | Consumer Staples | -2312.4% | 1.28 |
| ALLE | Allegion | Industrials | -2314.2% | 1.26 |
| CPT | Camden Property Trust | Real Estate | -2316.7% | 1.24 |
| HII | Huntington Ingalls Industries | Industrials | -2317.2% | 1.24 |
| RVTY | Revvity | Health Care | -2317.4% | 1.23 |
| PNR | Pentair | Industrials | -2318.8% | 1.22 |
| PSKY | Paramount Skydance Corporation | Communication Services | -2319.4% | 1.22 |
| COO | Cooper Companies (The) | Health Care | -2320.0% | 1.21 |
| HAS | Hasbro | Consumer Discretionary | -2320.2% | 1.21 |
| PNW | Pinnacle West Capital | Utilities | -2321.2% | 1.20 |
| ALGN | Align Technology | Health Care | -2321.4% | 1.20 |
| UDR | UDR, Inc. | Real Estate | -2322.5% | 1.19 |
| AVY | Avery Dennison | Materials | -2322.9% | 1.19 |
| SWKS | Skyworks Solutions | Information Technology | -2323.1% | 1.18 |
| GDDY | GoDaddy | Information Technology | -2323.4% | 1.18 |
| IVZ | Invesco | Financials | -2325.2% | 1.17 |
| IT | Gartner | Information Technology | -2327.2% | 1.15 |
| HRL | Hormel Foods | Consumer Staples | -2327.7% | 1.15 |
| ZBRA | Zebra Technologies | Information Technology | -2329.0% | 1.13 |
| MGM | MGM Resorts | Consumer Discretionary | -2330.2% | 1.12 |
| EG | Everest Group | Financials | -2331.0% | 1.12 |
| SOLV | Solventum | Health Care | -2331.9% | 1.11 |
| DOC | Healthpeak Properties | Real Estate | -2332.7% | 1.10 |
| APA | APA Corporation | Energy | -2332.9% | 1.10 |
| TYL | Tyler Technologies | Information Technology | -2334.4% | 1.09 |
| GPC | Genuine Parts Company | Consumer Discretionary | -2335.2% | 1.08 |
| DVA | DaVita | Health Care | -2335.2% | 1.08 |
| TRMB | Trimble Inc. | Information Technology | -2335.4% | 1.08 |
| CSGP | CoStar Group | Real Estate | -2337.2% | 1.06 |
| MAS | Masco | Industrials | -2339.2% | 1.05 |
| OMC | Omnicom Group | Communication Services | -2340.8% | 1.03 |
| BALL | Ball Corporation | Materials | -2340.9% | 1.03 |
| J | Jacobs Solutions | Industrials | -2342.3% | 1.02 |
| LULU | Lululemon Athletica | Consumer Discretionary | -2343.1% | 1.01 |
| BBY | Best Buy | Consumer Discretionary | -2346.0% | 0.99 |
| IEX | IDEX Corporation | Industrials | -2349.3% | 0.96 |
| TSCO | Tractor Supply | Consumer Discretionary | -2349.4% | 0.96 |
| APTV | Aptiv | Consumer Discretionary | -2349.9% | 0.95 |
| BEN | Franklin Resources | Financials | -2350.2% | 0.95 |
| HST | Host Hotels & Resorts | Real Estate | -2351.5% | 0.94 |
| DECK | Deckers Brands | Consumer Discretionary | -2351.8% | 0.94 |
| TXT | Textron | Industrials | -2351.9% | 0.94 |
| NDSN | Nordson Corporation | Industrials | -2351.9% | 0.94 |
| LDOS | Leidos | Industrials | -2352.6% | 0.93 |
| ZBH | Zimmer Biomet | Health Care | -2353.6% | 0.92 |
| GNRC | Generac | Industrials | -2354.6% | 0.91 |
| PTC | PTC Inc. | Information Technology | -2356.8% | 0.90 |
| WY | Weyerhaeuser | Real Estate | -2359.2% | 0.88 |
| INVH | Invitation Homes | Real Estate | -2359.7% | 0.87 |
| GIS | General Mills | Consumer Staples | -2360.1% | 0.87 |
| GPN | Global Payments | Financials | -2360.1% | 0.87 |
| MRNA | Moderna | Health Care | -2360.2% | 0.87 |
| ESS | Essex Property Trust | Real Estate | -2360.7% | 0.86 |
| LII | Lennox International | Industrials | -2362.3% | 0.85 |
| BR | Broadridge Financial Solutions | Industrials | -2362.9% | 0.84 |
| VTRS | Viatris | Health Care | -2362.9% | 0.84 |
| CF | CF Industries | Materials | -2363.0% | 0.84 |