RT Journal Article
SR Electronic
T1 Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 102
OP 110
DO 10.3905/jpm.2007.690611
VO 33
IS 4
A1 Lorne N. Switzer
A1 Haibo Fan
YR 2007
UL https://pm-research.com/content/33/4/102.abstract
AB 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