@article {Ge22, author = {Wei Ge}, title = {The Curious Case of the Mid-Cap Premium}, volume = {8}, number = {4}, pages = {22--30}, year = {2018}, doi = {10.3905/jii.2018.8.4.022}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Although many mutual fund families and exchanged-traded fund vendors offer mid-cap equity funds, research interest in mid-cap equities has been lacking. This phenomenon may be a result of behavioral patterns: Most equity analysts focus on the largest companies, and the popularity of the Fama{\textendash}French factors stimulates enthusiasm for small equities. The mid-cap equities, however, may benefit from this lack of interest with good prospective performance. This article examines three popular U.S. mid-cap equity indexes, the Russell Mid-Cap Index, the CRSP Mid-Cap Index, and the S\&P 400 Mid-Cap Index, analyzing their compositions, performance statistics, factor exposures, and potential roles in portfolios. The study confirms the existence of the mid-cap premium and finds that exposures to the size and profitability factors may explain this premium. The mid-cap premium may help investors improve portfolio performance without adding significant extra risk, yet investors must fully understand the specific mid-cap index they intend to use to avoid causing distortions to their portfolios.TOPICS: Mutual fund performance, factor-based models, performance measurement}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/8/4/22}, eprint = {https://jii.pm-research.com/content/8/4/22.full.pdf}, journal = {The Journal of Beta Investment Strategies} }