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Size Factor Update

I wanted to quickly follow up on our recent discussion of the Size factor, as it appears to have hit an inflection point early last week.

  • In my previous email, normalized factor return for Size was -2.65 standard deviations below the historical mean and falling. It bottomed out at -2.66SD on March 26, and has since rebounded to -2.27 SD below the mean on April 3.
  • As a reminder: 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.

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


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