This is plainly evident in the poor performance of the Russell 2000 Small-cap Index.
It seems intuitive that the geometric average market cap should define 100 percent of small-cap index returns.
Yet since the beginning of May, the Russell 2000, a popular small-cap index, has risen more than 10%.
Their large-cap value index returned 54% over the decade, while their small-cap value index returned 140% and emerging markets returned 140%.
Funds like the iShares China 25 Index Fund (FXI) and Guggenheim China Small Cap Index ETF (HAO) are better bets here.
But the small-cap index immediately reversed course from its new record peak of 859.08, and closed the week below the 850 level.
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That means it beat out everyone in the Russell 1000 large-cap index.
The Russell 2000 small-cap index declined 15% over the last 12 months and is down 11.5% since the start of the year.
The Russell 2000 index of small cap stocks returned a (-4.2%), compared with a 1.5% return for the Russell 1000 large cap index.
Following the stock market's bubble burst in 2000, value stocks outpaced growth stocks (the market-cap index holds both) over the subsequent five years.
The small-cap index remains above the 700 mark, which is the site of its 60-month moving average (equivalent to a five-year moving average).
The Russell 2000 small-cap index is down 3.56% year to date, despite a strong fourth quarter in which the index has recovered 16% so far.
Meanwhile, small-capitalization stocks have run up 36% since early October, pushing the Russell 2000 small-cap index to within 4% of the all-time high that it hit last April.
One of the broadest China-based ETFs available to US investors is the Guggenheim China Small Cap ETF ( HAO), which tries to mirror the AlphaShares China Small Cap Index.
Those who sold too late into the bear market and then waited for clear signs that a rebound was underway have likely trailed the performance of the large-cap index.
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Now as the U.S. economy grinds slowly toward recovery in 2012, investors may turn to financial stocks that have disproportionally exposed to the U.S. environment: Those in the small cap index.
Since then, the large-cap index has risen approximately 86%.
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Last month the folks who run the benchmark Russell 2000 small-cap index did their annual reconstitution--replacing 377 of the 2, 000 companies that had outgrown or become too small to fit the index.
For more information on small-cap index fund investing, including a list of funds and ETFs that cover this style, read All About Index Funds and All About Asset Allocation.
According to the ETF Finder at ETF Channel, AUQ makes up 1.45% of the Latin America Small-Cap Index ETF ( AMEX: LATM )which is trading lower by about 2.6% on the day Monday.
According to the ETF Finder at ETF Channel, SSRI makes up 1.50% of the Latin America Small-Cap Index ETF ( AMEX: LATM )which is trading higher by about 1.5% on the day Friday.
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According to the ETF Finder at ETF Channel, SSRI makes up 1.29% of the Latin America Small-Cap Index ETF ( AMEX: LATM )which is trading lower by about 0.4% on the day Friday.
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According to the ETF Finder at ETF Channel, SSRI makes up 1.14% of the Latin America Small-Cap Index ETF ( AMEX: LATM )which is trading up by about 0.1% on the day Monday.
According to the ETF Finder at ETF Channel, SSRI makes up 1.37% of the Latin America Small-Cap Index ETF ( AMEX: LATM )which is trading lower by about 0.1% on the day Tuesday.
According to the ETF Finder at ETF Channel, SSRI makes up 1.31% of the Latin America Small-Cap Index ETF ( AMEX: LATM )which is trading higher by about 0.1% on the day Friday.
That may be higher than the turnover of 5% or so for a large-cap index fund, but the results are that the portfolio earned 2.5% per annum over the market over the almost 19 years Hulbert measured.
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Look more closely, however, and you will notice that the financial sector, the worst-performing sector in the Russell large-cap companies last year with a (-13%) return, was the fourth-top performer in the small cap index, where financials returned (-3%).
The Van Eck Market Vectors Latin America Small-Cap Index Exchange Traded Fund was listed on NYSE Arca this morning. (NYSE Arca: LATM) The ETF includes stocks from Brazil, Mexico, Chile and Argentina, among other places, with 42.8% of its weighting in Brazil.
Compare that to the iShares MSCI Emerging Markets Index exchange-traded fund (NYSE:EEM), which was up 13.68% in the last year and 5.35% in the last three months and the Vanguard Small Cap Index (NAESX), which is up 6.69% in the last year and down 7.53% in the last three months.
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