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A Tale of Two Benchmarks: Five Years Later

  Author: Phillip Brzenk, Aye Soe
 March, 2015
  Price: 0.00

Abstract:

Five years ago, S&P Dow Jones Indices published a research paper (Soe and Dash 2010) that examined the return differential between two of the leading U.S. small-cap benchmarks, the S&P SmallCap 600® and the Russell 2000®. The original paper attributed the main source of return differential to the inclusion of a profitability factor, leading to the S&P SmallCap 600 consistently outperforming the Russell 2000 on both an absolute and risk-adjusted basis. This paper aims to revisit this topic to see if the results have continued to hold true. In addition, it extends the original research by examining the effect that benchmark selection can have on performance measurement

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