The size factor has lost money pretty consistently. It is also a very suspicious factor generally because there are very obvious non-risk factor explanations (i

The size factor has lost money pretty consistently. It is also a very suspicious factor generally because there are very obvious non-risk factor explanations (i.e. liquidity). Just generally, FF do very irrational things with their models (i.e. not including momentum)...they are credible but the way they do things is obviously not quite correct (Fama spent decades saying this kind of thing was totally impossible). Market cap weighting is fine, if you actually end up with something reasonable...which you don't anymore. I wouldn't really recommend equal weighting either...so...