Size factor

Stocks with a lower market value (mid and small caps) typically realize higher returns than those with a higher market value or capitalization (large caps). The size factor measures this difference in return between small cap companies relative to large cap companies. Suppose you would take the correlation of the S&P500 returns and the size factor returns. What would you expect to find?

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Possible Answers

I would expect a positive correlation between the size factor and the S&P500 returns.
press1
I would expect a negative correlation between the size factor and the S&P500 returns.
press2
I would expect to find no correlation between the size factor and the S&P500 returns.
press3