Skip to main content

Main menu

  • Latest
  • Issues
    • Published Ahead of Print (PAP)
    • Current Issue
    • Latest Articles
    • Archive
  • About
    • Journal Information
    • Editorial Board
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Agents
    • Authors
    • Institutions
  • Events
  • Videos
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Trading
    • The Journal of Wealth Management
    • Practical Applications
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook

User menu

  • Register
  • Subscribe
  • My alerts
  • Log in

Search

  • Advanced search
The Journal of Portfolio Management
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Trading
    • The Journal of Wealth Management
    • Practical Applications
  • Register
  • Subscribe
  • My alerts
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

Advanced Search

  • Latest
  • Issues
    • Published Ahead of Print (PAP)
    • Current Issue
    • Latest Articles
    • Archive
  • About
    • Journal Information
    • Editorial Board
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Agents
    • Authors
    • Institutions
  • Events
  • Videos
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook
Primary Article

Alternative Small-Cap Stock Benchmarks

Frank K. Reilly and David J. Wright
The Journal of Portfolio Management Spring 2002, 28 (3) 82-95; DOI: https://doi.org/10.3905/jpm.2002.319846
Frank K. Reilly
The Bernard J. Hank professor of finance at the Mendoza College of Business of the University of Notre Dame in Notre Dame (IN 46556). reilly.1@nd.edu
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
David J. Wright
Professor of finance at the College of Business and Technology at the University of Wisconsin-Parkside in Kenosha (WI 53141). wright@uwp.edu
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

This article requires a subscription to view the full text. If you have a subscription you may use the login form below to view the article. Access to this article can also be purchased.

Abstract

With continuing interest in the small–cap stock anomaly and in the size–related style of investing, several financial services firms have created size–related stock indexes intended to measure the risk–return results for these stocks. The authors compare the alternative benchmarks, and provide updated risk–return results for the small–cap sector. They note some differences among the small–cap stock benchmarks, but mainly show there are strong similarities among them. The updated risk–adjusted performance results indicate that small–cap stocks lag other asset classes, and there are major differences in interest rate sensitivity. Finally, there have been significant changes in the correlations and risk measures over time; notable are weaker trends in the correlations with large–cap stocks and in the systematic risk (beta) of the small–cap stocks.

  • © 2002 Pageant Media Ltd

Log in using your username and password

Forgot your user name or password?

Purchase access

You may purchase access to this article. This will require you to create an account if you don't already have one.
PreviousNext
Back to top

In this issue

The Journal of Portfolio Management
Vol. 28, Issue 3
Spring 2002
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Alternative Small-Cap Stock Benchmarks
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
Citation Tools
Alternative Small-Cap Stock Benchmarks
Frank K. Reilly, David J. Wright
The Journal of Portfolio Management Apr 2002, 28 (3) 82-95; DOI: 10.3905/jpm.2002.319846

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Alternative Small-Cap Stock Benchmarks
Frank K. Reilly, David J. Wright
The Journal of Portfolio Management Apr 2002, 28 (3) 82-95; DOI: 10.3905/jpm.2002.319846
Permalink:
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Cited By...

  • U.S. Small-Cap Indexes: An Empirical Analysis of Factor Exposure and Return
  • The Small Firm Effect: A Financial Mirage?
  • Scopus (7)
  • Google Scholar

More in this TOC Section

  • An Assessment of Terrorism-Related Investing Strategies
  • Do Risk Factors Eat Alphas?
  • On the Fundamental Law of Active Portfolio Management
Show more Primary Article

Similar Articles

II Journals
1120 Avenue of the Americas
New York, NY 10036

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook

ABOUT US

  • Home
  • About IIJ
  • Nobel Laureates
  • Events
  • Awards
  • Careers

OUR OFFERINGS

  • IIJ Investment Guides
  • Permissions and Reprints
  • Digital Archives

GET INVOLVED

  • Advertise or sponsor
  • Publish your work
  • Subscribe
  • Agents

CUSTOMER SERVICE

  • Contact Us
  • FAQ's
  • Feedback
  • Publishing Schedule 2017/2018
  • Code of Ethics
  • Subscribe Now
  • Log In

© 2018 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies