Omega Point Blog

Size Factor is Extremely Oversold

Omer Cedar

Size Factor is Extremely Oversold

March 23, 2018

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. 

Have a great weekend,