Small/Mid Cap Factors: a PM’s Guide: Summer comebacks: Quality, Value, Buybacks

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Small/Mid Cap Factors: a PM’s Guide: Summer comebacks: Quality, Value, Buybacks

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Small/Mid Cap Factors: a PM’s Guide

Summer comebacks: Quality, Value,

Buybacks

Small Cap

1H leaders: Risk/Low Quality in small, Momentum in mid 15 July 2026

Risk was the best-performing small cap factor group in the 1H (leading the equal- Small Cap Research

weighted index by 2ppt and a Q1-Q5 spread of 5ppt). Meanwhile, the worst performers United States

were GARP (which lagged the index by 11ppt with a Q1-Q5 spread of -11ppt) and

Quality (which lagged the index by 10ppt and underperformed Low Quality by 16ppt). Jill Carey Hall, CFA

Both Growth and Value factors underperformed the index by 6ppt in the 1H. While Risk Equity & Quant Strategist

factors also outperformed within mid caps (leading the equal-wtd. index by 9ppt and a BofAS+1 646 855 3327

Q1-Q5 spread of 14ppt), the best performing group was Momentum (leading the equal- jill.carey@bofa.com

wtd. index by 9ppt and a Q1-Q5 spread of 17ppt). Unlike in small caps, Value led the Trey Brown

index in mid while Growth underperformed (+0.9ppt vs. -0.4ppt). EquityBofAS & Quant Strategist

+1 646 855 2689

June/July reversals: Quality/Value comebacks in small harold.brown2@bofa.com

Last month we highlighted the extreme outperformance of Low vs. High Quality over the

last 12 months through May, where after similar 3 standard deviation events historically, Exhibit 1: High quality outperforming

High Quality consistently led over the next 3/6/12 months. And since then, High Quality vs. low quality within small caps since

factors beat Low Quality factors by an avg. of 4ppt in June (with ROIC seeing the June after extreme underperformance

biggest spread of 5ppt, its largest since Mar.