Exhibit 1 details the percentage of assets by market capitalization decile for the CRSP 6-10 Index and the Russell 2000 Index. The CRSP 6-10 Index has over a quarter of its assets invested in the smallest two deciles while the Russell 2000 Index has just over four percent. Portfolio characteristics in Exhibit 2 tell the same story. The Russell 2000 Index is not invested in the smallest stocks available. As a result, CRSP is expected to outperform Russell during times when small companies beat large companies and expected to lose to Russell when small cap stocks under perform large cap stocks.
Similar problems exist for small company value indexes.
Russell divides the market value of its universe of stocks evenly between value and growth. For Dimensional, Professors Fama and French maintain indexes they personally construct using CRSP data. Fama-French benchmarks are more concentrated, and they should tend to outperform Russell indexes when value stocks outperform growth stocks. The portfolio characteristics in Exhibit 3 again illustrate the difference between the two approaches. Because Russell indexes are so popular, many clients of Dimensional choose them over CRSP as benchmarks.