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Evaluating the Risk and Risk-Adjusted Performance of Micro-Cap Mutual Funds

Brian A Lavell

Few studies explore the micro-cap market of stocks and mutual funds. As a result, little is known about these securities’ characteristics, risks and performance. This study analyzes the risk and risk-adjusted performance of microcap mutual funds with mid-cap and large-cap mutual funds. The study finds that micro-cap mutual funds are riskier and produce a lower Jensen’s alpha than those of mid-cap and large-cap mutual funds. In addition, the author provides a comprehensive literature review and suggests potential explanations for the growing evidence that micro-cap mutual funds are poor investments.