The rally in small caps is likely far from over even with the big gains so far

Traders work on the floor of the New York Stock Exchange.

Small caps are up more than 20% since the start of November, and they should still lead the broad market higher into 2021.

"If you look at the Russell 2000, it's up 90% from the March 18 low. We now have two-thirds of the Russell 2000 trading 10% or more above their 200-day moving average," said Jefferies equity strategist Steven DeSanctis. "The last time we saw that was September, 2009. Here, we had the big downturn like we did in '08/'09. We had January, February, March and now we're exploding to the upside."

The Russell 2000 was lower Wednesday, off 0.8% to 1,902.

More In Investing trends

CNBC ProSpace stocks jump as investors gear up for Ark Invest's next big play
CNBC ProForget Big Tech — look at these 'real world' assets instead, strategist says