Affordable Access

An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks

  • Design


In 1982, Dimensional Fund Advisors launched a mutual fund intended to capture the returns of small-cap stocks comprising the 9th and 10th deciles of NYSE market capitalization. Although linked to the CRSP 9-10 Index, the design of the 9-10 Fund incorporates investment rules and a trading strategy that aimed at minimizing the potentially excessive trade costs associated with such illiquid stocks. This design causes the Fund's security weightings to deviate from the CRSP 9-10 weightings. The resulting return deviations between th 9-10 Fund and the CRSP 9-10 Index are sometimes large.

There are no comments yet on this publication. Be the first to share your thoughts.


Seen <100 times