@article {Allen10, author = {Gregory C. Allen}, title = {The Active Management Premium in Small-Cap U.S. Equities}, volume = {31}, number = {3}, pages = {10--17}, year = {2005}, doi = {10.3905/jpm.2005.500348}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Active managers of small{\textendash}cap U.S. equity portfolios have consistently and significantly outperformed the Russell 2000 over the past 20 years, while active managers of large{\textendash}cap U.S. equity portfolios have barely kept pace with the Russell 1000. Is small{\textendash}cap a less efficient market, and a more productive place to spend active risk capital? A robust database of over 780 institutional small{\textendash}cap managers allows examination of the historical behavior of the small{\textendash}cap premium over the last 20 years. After taking into account survivorship bias, instant history bias, and a mild large{\textendash}cap growth bias in the universe, we see the small{\textendash}cap active management premium seems to have been significant and consistent over the period.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/31/3/10}, eprint = {https://jpm.pm-research.com/content/31/3/10.full.pdf}, journal = {The Journal of Portfolio Management} }