← all factors
Size
Negative log market cap (shares × price). Smaller companies rank higher.
As of 2026-08-31 · 90 names held · backtest spans 225 months
Trailing returns
1W
-1.68%
S&P 500 TR +0.45%
1M
+2.49%
S&P 500 TR +2.72%
3M
+9.55%
S&P 500 TR +1.41%
6M
+9.45%
S&P 500 TR +12.32%
YTD
+15.34%
S&P 500 TR +13.14%
1Y
+15.51%
S&P 500 TR +20.38%
5Y
+57.37%
S&P 500 TR +82.47%
10Y
+278.34%
S&P 500 TR +316.17%
SINCE
+1170.59%
S&P 500 TR +659.26%
from 2007-12-03
2007-12-03 to 2026-08-31 · 4715 sessions
Cumulative return vs S&P 500 TR
Performance stats
| Metric | Factor | S&P 500 TR |
|---|---|---|
Annualized return (1 + total) ^ (252/4715) − 1 | +14.55% | +11.44% |
Annualized volatility daily-return stdev × √252 | +26.22% | +19.85% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.56 | 0.58 |
Max drawdown worst peak-to-trough on the cumulative series | -59.19% | -53.96% |
Information ratio ann excess return ÷ tracking error (vs S&P 500 TR) | 0.33 | — |
Monthly hit rate share of months where factor return > S&P 500 TR | 56% (125/225) | — |
How it's computed
What. Market cap = latest known weighted_avg_shares_diluted (point-in-time by SEC filing date) × 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 | |
|---|---|---|---|
| Industrials | 20 | 22.2% | |
| Consumer Discretionary | 14 | 15.6% | |
| Health Care | 13 | 14.4% | |
| Real Estate | 12 | 13.3% | |
| Information Technology | 8 | 8.9% | |
| Financials | 6 | 6.7% | |
| Materials | 5 | 5.6% | |
| Utilities | 5 | 5.6% | |
| Consumer Staples | 4 | 4.4% | |
| Communication Services | 2 | 2.2% | |
| Energy | 1 | 1.1% |
Current top quintile (90 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| MCD | MCDONALDS CORP | Consumer Discretionary | -1214.5% | 1.69 |
| TTD | Trade Desk, Inc. | Information Technology | -2260.2% | 1.69 |
| BLDR | Builders FirstSource, Inc. | Consumer Discretionary | -2271.1% | 1.69 |
| NCLH | Norwegian Cruise Line Holdings Ltd. | Industrials | -2274.1% | 1.69 |
| MOS | MOSAIC CO | Materials | -2275.9% | 1.69 |
| AOS | SMITH A O CORP | Consumer Discretionary | -2282.2% | 1.64 |
| ARE | ALEXANDRIA REAL ESTATE EQUITIES, INC. | Real Estate | -2289.4% | 1.57 |
| WYNN | WYNN RESORTS LTD | Consumer Discretionary | -2297.2% | 1.50 |
| APTV | Aptiv PLC | Consumer Discretionary | -2298.2% | 1.50 |
| PNR | PENTAIR plc | Industrials | -2301.6% | 1.47 |
| FRT | FEDERAL REALTY INVESTMENT TRUST | Real Estate | -2303.1% | 1.45 |
| SWKS | SKYWORKS SOLUTIONS, INC. | Information Technology | -2303.5% | 1.45 |
| HSIC | HENRY SCHEIN INC | Consumer Discretionary | -2306.7% | 1.42 |
| PODD | INSULET CORP | Health Care | -2306.9% | 1.42 |
| UHS | UNIVERSAL HEALTH SERVICES INC | Health Care | -2307.5% | 1.42 |
| AES | AES CORP | Utilities | -2307.8% | 1.41 |
| MGM | MGM Resorts International | Consumer Discretionary | -2309.4% | 1.40 |
| GNRC | GENERAC HOLDINGS INC. | Industrials | -2311.9% | 1.38 |
| CPT | CAMDEN PROPERTY TRUST | Real Estate | -2313.0% | 1.37 |
| FDS | FACTSET RESEARCH SYSTEMS INC | Information Technology | -2315.2% | 1.35 |
| TECH | BIO-TECHNE Corp | Health Care | -2315.5% | 1.35 |
| DPZ | DOMINOS PIZZA INC | Consumer Staples | -2315.7% | 1.34 |
| ALGN | ALIGN TECHNOLOGY INC | Health Care | -2316.1% | 1.34 |
| HII | HUNTINGTON INGALLS INDUSTRIES, INC. | Industrials | -2316.1% | 1.34 |
| CLX | CLOROX CO /DE/ | Materials | -2319.9% | 1.31 |
| HRL | HORMEL FOODS CORP /DE/ | Consumer Staples | -2321.1% | 1.30 |
| PNW | PINNACLE WEST CAPITAL CORP | Utilities | -2321.5% | 1.29 |
| JKHY | JACK HENRY & ASSOCIATES INC | Financials | -2321.5% | 1.29 |
| DVA | DAVITA INC. | Health Care | -2321.8% | 1.29 |
| PSKY | Paramount Skydance Corp | Communication Services | -2322.4% | 1.29 |
| UDR | UDR, Inc. | Real Estate | -2322.5% | 1.28 |
| GDDY | GoDaddy Inc. | Information Technology | -2329.9% | 1.22 |
| CSGP | COSTAR GROUP, INC. | Industrials | -2330.9% | 1.21 |
| BAX | BAXTER INTERNATIONAL INC | Health Care | -2331.8% | 1.20 |
| LII | LENNOX INTERNATIONAL INC | Industrials | -2331.8% | 1.20 |
| AVY | Avery Dennison Corp | Materials | -2331.9% | 1.20 |
| ALLE | Allegion plc | Industrials | -2332.2% | 1.20 |
| HAS | HASBRO, INC. | Consumer Discretionary | -2332.4% | 1.20 |
| COO | COOPER COMPANIES, INC. | Health Care | -2333.8% | 1.19 |
| GL | GLOBE LIFE INC. | Financials | -2334.6% | 1.18 |
| IT | GARTNER INC | Information Technology | -2335.2% | 1.17 |
| LULU | lululemon athletica inc. | Consumer Discretionary | -2335.4% | 1.17 |
| TXT | TEXTRON INC | Industrials | -2336.9% | 1.16 |
| CRL | CHARLES RIVER LABORATORIES INTERNATIONAL, INC. | Health Care | -2337.0% | 1.16 |
| AIZ | ASSURANT, INC. | Financials | -2337.3% | 1.16 |
| TRMB | TRIMBLE INC. | Health Care | -2337.6% | 1.15 |
| RVTY | REVVITY, INC. | Health Care | -2339.0% | 1.14 |
| DOC | HEALTHPEAK PROPERTIES, INC. | Real Estate | -2339.6% | 1.14 |
| MKC | MCCORMICK & CO INC | Consumer Staples | -2340.4% | 1.13 |
| SWK | STANLEY BLACK & DECKER, INC. | Industrials | -2341.0% | 1.12 |
| MAS | MASCO CORP /DE/ | Industrials | -2341.3% | 1.12 |
| IVZ | Invesco Ltd. | Financials | -2342.3% | 1.11 |
| EG | EVEREST GROUP, LTD. | Financials | -2342.5% | 1.11 |
| MAA | MID AMERICA APARTMENT COMMUNITIES INC. | Real Estate | -2343.4% | 1.10 |
| HST | HOST HOTELS & RESORTS, INC. | Real Estate | -2343.9% | 1.10 |
| APA | APA Corp | Energy | -2344.9% | 1.09 |
| KIM | KIMCO REALTY CORP | Real Estate | -2349.3% | 1.05 |
| SOLV | Solventum Corp | Health Care | -2349.5% | 1.05 |
| ALB | ALBEMARLE CORP | Materials | -2349.6% | 1.05 |
| TYL | TYLER TECHNOLOGIES INC | Information Technology | -2350.0% | 1.05 |
| AKAM | AKAMAI TECHNOLOGIES INC | Industrials | -2351.4% | 1.03 |
| BALL | BALL Corp | Industrials | -2354.7% | 1.00 |
| WY | WEYERHAEUSER CO | Real Estate | -2354.9% | 1.00 |
| BBY | BEST BUY CO INC | Consumer Discretionary | -2355.3% | 1.00 |
| IEX | IDEX CORP /DE/ | Industrials | -2355.7% | 1.00 |
| INVH | Invitation Homes Inc. | Real Estate | -2357.2% | 0.98 |
| ROL | ROLLINS INC | Industrials | -2357.8% | 0.98 |
| ZBRA | ZEBRA TECHNOLOGIES CORP | Industrials | -2358.4% | 0.97 |
| J | JACOBS SOLUTIONS INC. | Industrials | -2358.4% | 0.97 |
| LNT | ALLIANT ENERGY CORP | Utilities | -2359.1% | 0.97 |
| BEN | FRANKLIN RESOURCES INC | Financials | -2359.7% | 0.96 |
| LDOS | Leidos Holdings, Inc. | Information Technology | -2361.1% | 0.95 |
| NDSN | NORDSON CORP | Industrials | -2361.6% | 0.94 |
| CHRW | C. H. ROBINSON WORLDWIDE, INC. | Industrials | -2362.0% | 0.94 |
| ESS | ESSEX PROPERTY TRUST, INC. | Real Estate | -2362.7% | 0.94 |
| FTV | Fortive Corp | Industrials | -2363.6% | 0.93 |
| TSCO | TRACTOR SUPPLY CO /DE/ | Consumer Discretionary | -2363.7% | 0.93 |
| PTC | PTC INC. | Information Technology | -2363.9% | 0.92 |
| NVR | NVR INC | Consumer Discretionary | -2364.0% | 0.92 |
| GPC | GENUINE PARTS CO | Consumer Discretionary | -2365.3% | 0.91 |
| LUV | SOUTHWEST AIRLINES CO | Industrials | -2366.7% | 0.90 |
| EVRG | Evergy, Inc. | Utilities | -2367.2% | 0.90 |
| CHTR | CHARTER COMMUNICATIONS, INC. /MO/ | Communication Services | -2368.5% | 0.88 |
| VTRS | Viatris Inc | Health Care | -2368.9% | 0.88 |
| TSN | TYSON FOODS, INC. | Consumer Staples | -2369.5% | 0.88 |
| ZBH | ZIMMER BIOMET HOLDINGS, INC. | Health Care | -2369.8% | 0.87 |
| CDW | CDW Corp | Consumer Discretionary | -2370.0% | 0.87 |
| NI | NISOURCE INC. | Utilities | -2370.3% | 0.87 |
| CF | CF Industries Holdings, Inc. | Materials | -2372.3% | 0.85 |
| SBAC | SBA COMMUNICATIONS CORP | Real Estate | -2372.5% | 0.85 |