Are larger capitalization stocks "safer" than the small cap. stocks? The Research Team wanted to find out.
In terms of price movement, small caps tend to move more than large cap stocks. 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 -- higher average implied volatility in small results in higher average profits than the large cap. Dow Jones (DIA). The results of SPY and QQQ are included for a comparison.