Large-cap versus small-cap, a downside risk comparison

Ronny Suarez

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we estimated for the period 1990 - 2015, Sortino Ratio and Return Level using a Generalized Pareto Distribution to evaluate downside risk of large-cap companies, approach through S&P 500 Index, and small-cap companies, approach through Russell 2000 Index. Small-cap depicted higher downside risk than large-cap.

Keywords: large-cap; S&P 500; small-cap; Russell 2000; return level; sortino ratio; downsiderisk (search for similar items in EconPapers)
JEL-codes: C0 G0 (search for similar items in EconPapers)
Date: 2016-04-06
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:70547

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