@article {Asli21, author = {Ascioglu Asli and Mcdermott John B}, title = {U.S. Small-Cap Indexes: An Empirical Analysis of Factor Exposure and Return }, volume = {5}, number = {3}, pages = {21--32}, year = {2014}, doi = {10.3905/jii.2014.5.3.021}, publisher = {Institutional Investor Journals Umbrella}, abstract = {We investigate the differences in risk and return in the most well-known U.S. small-cap indexes and find significant differences in returns, both absolute and risk-adjusted, and in factor exposures. The Russell 2000 underperforms the S\&P 600, MSCI 1750, and the CRSP U.S. Small in the period 2001{\textendash}2102. All of the indexes studied had positive market, size, and value exposure. We do, however, find differences in exposure to profitability and momentum factors. The Russell 2000 has positive momentum exposure whereas the other indexes do not have significant momentum. This difference is likely due to the annual versus quarterly reconstitution of the Russell. Also, the S\&P 600 Index has significant positive exposure to profitability whereas the other indexes have significant negative exposure. This difference is likely attributed to the profitability screens employed by S\&P in determining index constituents.TOPICS: Mutual funds/passive investing/indexing, analysis of individual factors/risk premia, performance measurement}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/5/3/21}, eprint = {https://jii.pm-research.com/content/5/3/21.full.pdf}, journal = {The Journal of Beta Investment Strategies} }