According to global index provider FTSE Russell, the US small-cap Russell 2000 Index has returned 6.6% annually over the past 20 years on a price basis as of September 30 as compared to a 4.6% annual price return for the US large-cap Russell 1000 Index for the same period.
And while US small cap returns look relatively good for investors in hindsight over the past two decades, these returns have come with much higher relative volatility. The Russell 2000 had a 19.5% annualized standard deviation over the last 20 years as compared to 14.8% for the Russell 1000 and the Russell 2000 had a maximum drawdown of 54%.
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