Factor Spotlight
Factor University

Size Factor is Extremely Oversold

Continuing with our Factor Spotlight series, I wanted to highlight Size as another factor currently sending a strong signal in our Factor Profile.

  • Size is defined as the natural logarithm of market cap for each company. A negative return for Size means that smaller stocks—those with negative exposure to the Size factor—fared better.
  • Over the past year, Size is down -0.43% on a cumulative basis, although it was up 2.32% as recently as Jan 29, 2018.
  • On a normalized basis, factor return for Size has fallen from +1.54 standard deviations above the mean on Feb 1. 2018 to -2.59 SD below the mean today, a level which we flag as "Extremely Oversold," and which surpasses the previous 12-month low of -2.51 SD on Oct 17, 2017.

Please let me know if you'd like to see the impact of the Size (and other factors) on your portfolio's performance and risk profile.


Related Insights
See All Insights

What Forces Are Impacting Your Performance? Find Out Now...

Schedule a Call