RT Journal Article
SR Electronic
T1 Does Active Management Work for Small-Cap Stocks?
JF Special Issues
FD Institutional Investor Journals
SP 17
OP 20
VO 2003
IS 1
A1 David M. Blitzer
A1 Srikant Dash
YR 2003
UL https://pm-research.com/content/2003/1/17.abstract
AB 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.