By  Kenneth A. Barker, Director of Quantitative Analysis and Research, Mellon Equity Associates

Over history the “size premium” between large and small capitalization stocks has alternated back and forth, even though it is not clear exactly what phenomena underlie such variation.  But the intervals when either small or large capitalization stocks outperform tend to persist.

So significant value-added is attainable for an investor with the capability to accurately shift between small and large capitalization stocks on a timely basis. Starting with a static blended benchmark of 90% large cap and 10% small cap stocks, the Mellon Equity Tactical Equity Size Rotation model was back tested on the past 21 years. This special report outlines the model’s performance, in which timely adjustments of +/- 10% in the weightings of small and large cap stocks added 100 basis points annualized of outperformance versus the 90/10 benchmark.

For more information and a hard copy, please contact Robert Brinker at 412 234-7276.

The preceding information is based upon the analysis of historical performance of various asset classes and assumptions with respect to future economic conditions. Past performance is not an indication of future results. This information is not intended to provide specific advice, recommendations or projected returns of any particular MAM  product.