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Size factor

Stocks with a lower market value (mid and small caps) realize higher returns than those with a higher market value or capitalization (large caps).

In academic circles the discussion focuses on whether the better expected performance of companies with a lower market value is only compensation for the higher degree of risk.

Another point of discussion concerns the transaction costs that accompany a strategy based on this factor. These costs are higher for equities with a lower market value due to the reduced liquidity.

Robeco implicitely uses the Size factor by including mid and small cap stocks in its investable universe.

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Restoring the battered Value factor in equities
Restoring the battered Value factor in equities
The recent dreadful performance of the academic Value equity factor has been a blow for many investors.
20-10-2020 | Visie
There is more to factor investing than just Fama-French
There is more to factor investing than just Fama-French
The period of 2010-2019 was a lost decade for the five Fama-French factors, leading many to question whether Value was dead and whether Size had ever worked at all.
09-10-2020 | Video
Settling the Size matter in equities
Settling the Size matter in equities
The equity Size premium has failed to materialize since its discovery, almost forty years ago.
23-09-2020 | Research
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