Large Cap Vs. Small Cap underperformance

CFA General
#1

I keep hearing how the past few quarters / year has been a “small cap rally” . Does anyone know how I can graph this ? I know yahoo finance I can graph markets together, and for a base approximation i.e for the canadian market I can graph TSX60 vs. the TSX but there is obvious overlap here. Anyone else know how I can graph this or if they know where I can obtain a graph like this to show that this has been a small cap rally. OR Even better, a “low quality” rally right after the crash, which stocks which were on the brink of extinction were the biggest gainers while the storng blue chips didnt rally as much/ I also need a Bonds graph. Specifically DEX Universe Vs. a 50/50 Dex vs. Mid universe graph. Any help will be greatly appreciated guys, have a big presentation thursday thanks

#2

Russell 1 vs 2??

#3

or dow industrial or S&P500 versus Russell 2000

#4

Use the Canadian Equivilent of Russel 1000 Vs 2000 for Size (preferable the monthly returns of 2000-1000 to show the size premium) Inside those two you can show Russel 1000 Value- Russel 1000 Growth and 2000 Value - 2000 Growth to show your “low quality/Value” premium Something like the CRSP data would be better (where the market is divided into deciles) but I’m not sure what options you have in Canada. Find your best equivilents of the Russel data

#5

just do a small cap index v. tsx 60 so do ishares xcs vs. ishares xiu http://www.google.ca/finance?q=xiu add xcs to compare

#6

this hasn’t been a small cap rally so much as it has been a commodities and commodity-linked rally. the reason why the small cap index has done so well is because of heavy oil and gas and materials, paricularly gold, silver and copper, exposure. the useful comparison may be ishares xma vs. ishares xcs. its surpising how little xcs beats xma compared to how much it beats xiu. http://www.google.ca/finance?q=xcs add xma to compare sorry, with both of the above links, you have to add the corresponding ‘comparison symbol’.

#7

Don’t use etfs if presenting to an institutional client. I would suggest S&P/TSX Small Cap Comp (or BMO SC) vs. S&P/TSX Comp. Do you have a data return stream source such as Morningstar Encorr or Direct? If so, you can create custom bond index and then graph.

#8

thanks for the input guys !

#9

anyone know how I can copy tohose google charts ?