Hi David, I had a look at the median market caps of the Growth and Leverage factors since 2000. There was not a significant difference in market caps between fast and slow growing companies, i.e. small companies weren't growing faster than large caps. However, large companies were indeed more levered, which would support the argument for higher returns on equity for lare caps.

Somewhat conflicting is that higher leverage should reflect in larger drawdowns during market downturns, but large caps outperformed small caps during the GFC, which poses new questions.