In this very visually appealing presentation, the Research Team wanted to answer if there is safety in size? Are larger capitalization stocks "safer" than the small cap. stocks?
In terms of price movement, small caps (as measured by IWM) tend to move more than large cap stocks (as measured by DIA). Incidentally, this price movement is represented in the implied volatility of the two indices -- small caps tend to move more and therefore tend to have higher implied volatility.
A table sums this up pretty well in slide 4 -- higher average implied volatility in IWM results in higher average profits than the large cap. Dow Jones (DIA). The results of SPY and QQQ are included for a comparison.
To see more insight and hear Tom and Tony's take on the subject, please watch the show.
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