Market Cap Score
One of the most famous discoveries of modern finance is that, over the long run, portfolios of small-cap companies tend to outperform portfolios of large-cap companies.
There are competing ideas amongst academics about why this performance advantage exists - liquidity risks, bias against investing in unknown companies, lack of coverage by institutional investors, etc. - but the fact remains that small company outperformance persists across geographies and over time.
The Market Cap Score ranks companies by their market capitalization, with the lowest market capitalization stocks receiving the highest scores (since they are the highest performing historically), and the highest market capitalization stocks receiving the lowest scores.
For more information, see The cross section of expected stock returns by Fama and French (1992), Common risk factors in the returns on stocks and bonds by Fama and French (1993), and On Persistence in Mutual Fund Performance by Carhart (1997).
For additional information, please see our Market Cap Score Support Page