Stats › Long run returns › Size premium
Size has the lowest Sharpe of the four classic factors, 0.26
Size has the lowest risk adjusted return of the four. Source: Barroso and Santa-Clara, Momentum Has Its Moments.
Small companies are on average less profitable and more leveraged than large ones. Their premium returned about three percent a year and scores worst of the four classic factors. The Russell 2000 has trailed the S&P 500 in every year from 2021 to 2025.
2.99%Small minus big
0.26Size Sharpe ratio
11.62% a yearRussell 2000, ten years
15.50% a yearS&P 500, ten years
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