Thursday, January 7, 2010

Small Cap Research Index Snapshot 2009 Credit Suisse

Index Snapshot: 2009

Small Caps Recover, Periodically Fall Behind Large Caps: Small caps
posted the greatest negative returns during the market declines early in the
year. As the market recovered, small caps realized the largest percent gains
from the March low. Over the recovery, small caps occasionally
underperformed and fell behind large caps, only to catch up in subsequent
weeks. The recent small-cap underperformance over October and
November was followed by an 8.6% rebound in December (Exhibit 1).
At year end, the S&P 600 and Russell 2000 closed up 25.6% and 27.2%. In
the S&P indexes, small caps were nearly even with large caps, but trailed
mid caps by 11.8% for the year. Growth led value in the S&P and Russell
small-cap indexes for the month and year.

Low Quality, High Yield, High Payout: The low-quality rally elevated the
returns of small and low-quality stocks in both small- and large-cap indexes.
Stocks with low S&P credit ratings were the top performers for December
and the year (Exhibit 15). Firms with low S&P quality rankings also
outperformed. C-ranked firms surpassed A-ranked firms by 90.3% in the
Russell 2000 (Exhibit 22). Segmenting by dividend yield and payout ratio,
Russell 2000 firms paying no dividends were the top performers over 2009.
High yield, high-payout companies were the second best performers.[credit suisse]

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