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Primary Article

Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes

Lorne N. Switzer and Haibo Fan
The Journal of Portfolio Management Summer 2007, 33 (4) 102-110; DOI: https://doi.org/10.3905/jpm.2007.690611
Lorne N. Switzer
Van Berkom endowed chair of small cap equities in the John Molson School of Business at Concordia University in Montreal, P.Q., Canada.
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  • For correspondence: switz@jmsb.concordia.ca
Haibo Fan
Research associate in the John Molson School of Business at Concordia University in Montreal, P.Q., Canada
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Abstract

Empirical tests of different asset combinations show that the composition of a benchmark portfolio determines whether a replicable G–7 small-cap portfolio can expand the original efficient frontier. Interaction among all assets in a portfolio is key to the effectiveness of a small-cap index in efficient portfolios, and constraints do not always reduce diversification benefits of the small-cap assets. Only a few small-cap portfolios of G-7 countries appear to behave as separate asset classes with portfolio performance-enhancing characteristics when an investor benchmarks these portfolios against the U.S. equity market or an international large-cap portfolio.

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The Journal of Portfolio Management
Vol. 33, Issue 4
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Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes
Lorne N. Switzer, Haibo Fan
The Journal of Portfolio Management Jul 2007, 33 (4) 102-110; DOI: 10.3905/jpm.2007.690611

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Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes
Lorne N. Switzer, Haibo Fan
The Journal of Portfolio Management Jul 2007, 33 (4) 102-110; DOI: 10.3905/jpm.2007.690611
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