What I heard is that company size is not a factor in performance. It was Wes Grey of Alpha Archtitect who said this. I was always taught that small cap value did the best. If you strip out the 5 largest value stocks, large cap value and small cap value do the same. There was a very famous paper written in about 1991, that stated that 3 factors, size, value and equity account for stocks out performance. This was very surprising to me to hear.