@article {Switzer102, author = {Lorne N. Switzer and Haibo Fan}, title = {Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes}, volume = {33}, number = {4}, pages = {102--110}, year = {2007}, doi = {10.3905/jpm.2007.690611}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Empirical tests of different asset combinations show that the composition of a benchmark portfolio determines whether a replicable G{\textendash}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}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/33/4/102}, eprint = {https://jpm.pm-research.com/content/33/4/102.full.pdf}, journal = {The Journal of Portfolio Management} }