TY - JOUR T1 - Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes JF - The Journal of Portfolio Management SP - 102 LP - 110 DO - 10.3905/jpm.2007.690611 VL - 33 IS - 4 AU - Lorne N. Switzer AU - Haibo Fan Y1 - 2007/07/31 UR - https://pm-research.com/content/33/4/102.abstract N2 - Empirical tests of different asset combinations show that the composition of a benchmark portfolio determines whether a replicable G–7 small-cap portfolio can expand the original efficient frontier. Interaction among all assets in a portfolio is key to the effectiveness of a small-cap index in efficient portfolios, and constraints do not always reduce diversification benefits of the small-cap assets. Only a few small-cap portfolios of G-7 countries appear to behave as separate asset classes with portfolio performance-enhancing characteristics when an investor benchmarks these portfolios against the U.S. equity market or an international large-cap portfolio.TOPICS: Risk management, statistical methods ER -