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Dimensional White Paper: Performance of Small Cap Stocks
Historically, small cap stocks have had higher average returns than large cap stocks. However, this size premium has not appeared across all segments of small caps. In this article, we look at the available sample period in the US (back to the 1920s), various sub-periods of the data, the returns of different segments of the small cap universe, and the returns of small cap stocks in markets outside the US to better understand the returns of small relative to large cap stocks.
Historically, small cap stocks have had higher average returns than large cap stocks. However, this size premium has not appeared across all segments of small caps. In this article, we look at the available sample period in the US (back to the 1920s), various sub-periods of the data, the returns of different segments of the small cap universe, and the returns of small cap stocks in markets outside the US to better understand the returns of small relative to large cap stocks.
Learning Outcomes
New knowledge in regards to the historical performance of small stocks in the US and how to target higher expected returns in portfolios when targeting the small cap universe.
This paper allows the Advisor to expand on their knowledge of the historical performance of small caps and a sensible way of structuring an allocation to small cap stocks – taking into consideration stock migration, diversification and costs.
The reader will advance their knowledge in regards to targeting higher expected returns in the small cap universe, in a systematic and integrated way.
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