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Large-cap versus small-cap, a downside risk comparison

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.

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