Tag Archives: A Tale of Two Benchmarks

Active Management Lags in Small-Cap Equity

Small caps have a reputation among many market participants as being an inefficient asset class that lends itself to active management.  But our S&P Indices Versus Active (SPIVA®) scorecards have repeatedly challenged this perception.  Exhibit 1 shows that in 13 of the last 17 calendar year periods, the majority of actively managed, small-cap U.S. equity Read more […]

Quality: A Driving Factor of Small-Cap Returns

Much has been written about the performance differential between the two leading small-cap indices, the S&P SmallCap 600® and Russell 2000.  Over a long-term investment horizon, the S&P SmallCap 600 has outperformed the Russell 2000 with less risk.  Part of the performance differential can be attributed to the June Russell rebalancing effect.  As winners from Read more […]

A Tale of Two Benchmarks: Benchmark Selection

This is the fourth post in a series of blog posts relating to the in-depth analysis of performance differential between the S&P SmallCap 600® and the Russell 2000. The previous posts demonstrate that the different historical risk/return profiles of the two U.S. small-cap benchmarks can be partially explained by the July reconstitution effect and the additional Read more […]

A Tale of Two Benchmarks: Factors

This is the third in a series of blog posts relating to the in depth analysis of performance differential between the S&P SmallCap 600 and the Russell 2000. As we noted in the previous post, the reconstitution effect seen in the Russell 2000 doesn’t fully explain the differences in returns between the S&P SmallCap 600 and Russell Read more […]

A Tale of Two Benchmarks: Reconstitution Effect

This is the second in a series of blog posts relating to the in depth analysis of performance differential between the S&P SmallCap 600 and the Russell 2000. Numerous studies have been conducted on Russell’s annual reconstitution process in June, particularly regarding the downward price pressure placed on the Russell 2000.  As winners from the Russell 2000 Read more […]