RT Journal Article SR Electronic T1 Small-Cap Allocations: Timing the Entry JF The Journal of Portfolio Management FD Institutional Investor Journals SP jpm.2020.1.169 DO 10.3905/jpm.2020.1.169 A1 Eric Sorensen A1 Sebastian Lancetti YR 2020 UL https://pm-research.com/content/early/2020/07/09/jpm.2020.1.169.abstract AB This article examines the behavior of the small-capitalization stock return cycle. The authors compare the period 1980–2020 with a study for the period 1960–1995. They find that in earlier period small-cap stocks earned a return premium when the economy was rising, long-term rates were rising, the US dollar was rising, and market volatility was falling. During the last decade, a strong move in large-cap stocks dwarfed the small-cap premium. The authors conjecture that a change in the character of economic growth, rising long-term rates, and oversold small-cap conditions may reverse this.TOPICS: Portfolio theory, portfolio construction, wealth managementKey Findings• The small-cap premium appears to have waned in the last 20 years.• The premium is, however, still related to economic cycles.• Economic conditions and valuations now favor a small-stock premium.