Abstract
It is commonly believed that active funds perform better than indices in the small-cap market because of that market's relative inefficiency. In this article, we show that two issues—measurement techniques and benchmark selection—significantly affect any evaluation of active-management performance in small-caps. Specifically, we argue that correcting for survivorship bias, using asset-weighted fund returns, and substituting the S&P SmallCap 600 for the Russell 2000 as a benchmark paints a far less rosy picture of active management in small-caps than is commonly believed.
- © 2003 Pageant Media Ltd
Don’t have access? Register today to begin unrestricted access to our database of research.