Historic Performance by Market Size
From the Ibbotson data, here’s the historic market performance by each market cap decline, or 10% slice. As you can see, micro-caps (the smallest decline) have done the best while the largest decile, the mega-caps, has done the worst.
I’ve always been a bit skeptical of the idea of a small-cap premium. For one, you can see that outside the very big and very small, the other deciles are pretty much grouped together. That’s after nine decades. Also, the small-cap premium is highly volatile. In fact, Decline 10 had a run of 55 years when it lagged Decile One.
Here’s the annualized total return over the last 90 years.
Eddy Elfenbein is a Washington, DC-based speaker, portfolio manager and editor of the blog Crossing Wall Street. His 