Looking recently at my portfolio performance, I've noticed that most of my alpha comes from small and micro caps.
To be exact, that part of my portfolio did 2x-3x times better than the rest. That being said most choices were from domains where I have a bit more expertise and most required much more effort for research.
I'm not very experienced on how to screen for these companies as the universe is much larger. What do you guys use to screen for small and micro cap? Or do you just go by industry by industry?