Stock Selection and Analysis

Small Caps, Big Returns, Big Alpha

Trump: A Game Changer For Small Cap Earnings?

Small cap stocks soared following the US Election, with the Russell 2000 index marking the best November in the history of the index. Below, we list FTSE Russell's quarterly analysis of small cap index performance, together with other papers which analyse the outlook for the smaller companies sector.

Do small caps have a period of enhanced earnings performance ahead? And how can investors best extract alpha from this sector of the market?

London Small Cap Stocks white papers

U.S. Small Cap Perspectives: The “Trump Bump?” (FTSE Russell, Feb 2017)
This is FTSE Russell’s latest market report on the U.S. small cap, as measured by the Russell 2000 Index. It gauges the U.S. economy’s health and provides insights on performance, sector and volatility analysis and more.

Start of Something Big: Demystifying the Source of Large Alpha in Small Caps (QMA)
In a world where alpha can seem scarce, active small-cap managers continue to outperform their benchmarks at an impressive clip. But why? This paper by QMA explores further.

Why U.S. Small Cap, Now? (Manulife Asset Management)
Small caps outperformed their larger brethren in four of the five years between 2009 and 2013. They unperformed in 2014-2015 then staged a strong post-U.S. election rally. Was the election a game changer for small cap fundamentals?

Small Cap Performance in a slow-growth economic environment (FTSE Russell, 2016)
This paper examines the performance of the U.S. small cap market in periods of slow economic growth. It discusses how investors who seek to access the size factor premium via ETFs can further enhance returns.

Size Matters, If You Control Your Junk (AQR, 2015)
The size premium faces challenges on many fronts. This paper by AQR Capital Management finds that these challenges are dismantled when controlling for the quality, or the inverse “junk”, of a firm.

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