Suarez, Ronny (2016): Large-cap versus small-cap, a downside risk comparison.
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Abstract
In this paper we estimated for the period 1990 - 2015, Sortino Ratio and Return Level using a Generalized Pareto Distribution to evaluate downside risk of large-cap companies, approach through S&P 500 Index, and small-cap companies, approach through Russell 2000 Index. Small-cap depicted higher downside risk than large-cap.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Large-cap versus small-cap, a downside risk comparison |
| Language: | English |
| Keywords: | large-cap, S&P 500, small-cap, Russell 2000, return level, sortino ratio, downsiderisk |
| Subjects: | C - Mathematical and Quantitative Methods > C0 - General G - Financial Economics > G0 - General |
| Item ID: | 70547 |
| Depositing User: | Mr Ronny Suarez |
| Date Deposited: | 08 Apr 2016 05:21 |
| Last Modified: | 26 Sep 2019 22:45 |
| References: | Davenport, J. & Meissner, F. (2014). Exploiting the Relative Outperformance of Small-Caps Stocks. AAII Journal, January, 2014. Hayers, A. (2015). How the S&P 500 and Russell 2000 Indexes Differ. Investopedia, January 22, 2015. Maverick, J. B. (2015). How do the risks of large cap stocks differ from the risks of small cap stocks. Investopedia, March 26, 2015. Rollinger, T. N. & Hoffman, S. T. (2013). Sortino: A ‘Sharper’ Ratio”. Red Rock Capital. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/70547 |
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