%0 Journal Article %A Lorne N. Switzer %A Haibo Fan %T Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes %D 2007 %R 10.3905/jpm.2007.690611 %J The Journal of Portfolio Management %P 102-110 %V 33 %N 4 %X 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.TOPICS: Risk management, statistical methods %U https://jpm.pm-research.com/content/iijpormgmt/33/4/102.full.pdf