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

Author

Listed:
  • Suarez, Ronny

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.

Suggested Citation

  • Suarez, Ronny, 2016. "Large-cap versus small-cap, a downside risk comparison," MPRA Paper 70547, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:70547
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    File URL: https://mpra.ub.uni-muenchen.de/70547/1/MPRA_paper_70547.pdf
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    More about this item

    Keywords

    large-cap; S&P 500; small-cap; Russell 2000; return level; sortino ratio; downsiderisk;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • G0 - Financial Economics - - General

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