Originally Posted by Midpack
Thought this was might be of interest too...
This second one was surprising to me as it related to small caps. The four indexing methods' small cap size maximum ranges from #700 to #1000.
I would have guessed lower. (Guessed being the key work. I haven't researched indexes in much detail.)
But the bigger surprise was that each of the indices titled "small cap" cuts off at a minimum size that excludes a pretty large percentage of the universe of exchange-listed stocks.
Any ideas on why this is? How does it relate to the style box? To past studies showing somewhat higher historical returns (and more volatility) for small caps?
There's a significant difference between a minimum size cut at #1500 vs. #3000, at least in a numerical sense. But is it relevant for investing strategy or small cap fund selection?