There was this "market cap size effect" that has been observed in small cap stocks that they tended to outperform those with larger market cap.

Originally this concept was a challenge to standard asset pricing models suggesting that small cap stocks provide higher average returns than large cap stock, even after adjusting for risks.

However recent research and analysis on the phenomenon, seem to indicate that this size effect may not be as robust or or consistent as it was thought.

This size effect when analyzed over more extended periods of time and with more accurate data, is not as strong as other market anomalies like value, momentum or quality investing.

It also seems that this effect was heavily influenced by a January seasonal effect, meaning that much of this outperformance of small stocks occurred in January.

Also this effect is not observed outside of equity markets. This is a red flag for the robustness of the effect.