Size
Size — Banz 1981
Size
Quick facts
| Factor ID | Size |
| Display name | Size |
| Family | Predictor |
| Category | Size |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Banz 1981 |
| Source tables | daily_basic |
| Required fields | mkt_cap_cmp |
| PIT required | no |
| Coverage | 2010-01-07 – 2026-05-15 · 685,065 rows · 100.0% of panel |
Formula
ln(total_mv * 10000)
Natural log of total market capitalization in RMB.
China adaptation
Use Tushare total_mv multiplied by 10000 to convert ten-thousand RMB to RMB.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 196 |
| Monthly mean | 2.2848% |
| Monthly std | 5.7037% |
| Annualized Sharpe | 1.39 |
| t-stat (simple) | 5.61 |
| Hit rate (months > 0) | 65.3% |
| Last 12M compounded | 6.07% |
| Cumulative wealth (start = 1) | 62.215 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +4.20% | 61.116 | 5134 |
| 2025-06 | +2.54% | 62.669 | 5146 |
| 2025-07 | -5.61% | 59.151 | 5149 |
| 2025-08 | -1.64% | 58.180 | 5150 |
| 2025-09 | +5.68% | 61.486 | 5158 |
| 2025-10 | +6.38% | 65.412 | 5163 |
| 2025-11 | -5.83% | 61.596 | 5168 |
| 2025-12 | +1.51% | 62.525 | 5182 |
| 2026-01 | +2.10% | 63.837 | 5183 |
| 2026-02 | +1.32% | 64.677 | 5187 |
| 2026-03 | -2.57% | 63.012 | 5192 |
| 2026-04 | -1.27% | 62.215 | 5185 |
Known data issues
Use ex-shell China size variant in later CH3 replication.
Notes
China size results can be affected by shell value and listing rules.
See also: Size family, Factor library, Factor returns.