Can you always expect higher returns from a basket of small-cap stocks? No. Since 2008, there has been much higher correlation between small caps and large caps, and the 30-year return was very similar: 9.70% and 9.85%. ETFs have made it easy to invest in small-caps and so the returns have become highly correlated with the market. https://www.portfoliovisualizer.com/asset-correlat...

But there have been periods of outperformance. Small caps outperformed from 2000 to 2016: 8.8% CAGR vs market's 5.4%. Big companies can make terrible decisions about accounting or risk management, and are subject to group think.
https://www.portfoliovisualizer.com/backtest-portf...

Market cap can be part of an investment decision. Overall, the company size effect might average out to zero, but there are situations when company size helps and times when it hurts.

Mechanical Investing FAQ

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