Does Cap-Size Matter? A study of ten Swedish Small and Large-Cap Funds

Abstract

This study aims to examine and compare the performance of five small-cap funds and five large-cap funds during a ten-year time period and two sub-periods. The used performance measures to evaluate the funds are Jensen’s alpha, Sharpe and Treynor ratio. The investigation indicates that the selected small-cap funds outperform the large caps in every single time period, based on the risk-adjusted return. Remarkable is that the large-cap funds performed best during the period of crisis compared to the pre-crisis and full-time period. However, the small-cap funds seem to be a superior investment despite the economic downturn.