Reconstructing ancestral characters on a phylogeny is an arduous task because the observed states at the tips of the tree correspond to a single realization of the underlying evolutionary process. Recently, it was proposed that ancestral traits can be indirectly estimated with the help of molecular data, based on the fact that life history traits influence substitution rates. Here we challenge these new approaches in the Cetartiodactyla, a clade of large mammals which, according to paleontology, derive from small ancestors. Analysing transcriptome data in 41 species, of which 22 were newly sequenced, we provide a dated phylogeny of the Cetartiodactyla and report a significant effect of body mass on the overall substitution rate, the synonymous vs. non-synonymous substitution rate and the dynamics of GC-content. Our molecular comparative analysis points toward relatively small Cetartiodactyla ancestors, in agreement with the fossil record, even though our data set almost exclusively consists of large species. This analysis demonstrates the potential of phylogenomic methods for ancestral trait reconstruction and gives credit to recent suggestions that the ancestor to placental mammals was a relatively large and long-lived animal.