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

Author: Donald B. Keim

In 1982, Dimensional Fund Advisors launched a mutual fund intended to capture the returns of small-cap stocks. The ‘9—10 Fund’ is based on the CRSP 9—10 Index, an index of small-cap stocks constituting the ninth and tenth deciles of NYSE market capitalization, although the 9—10 Fund incorporates investment rules and a trading strategy that are aimed at minimizing the potentially excessive trade costs associated with such illiquid stocks...

Donald B. Keim, Journal of Financial Economics, Vol. 51, No. 2 (February 1999): 173-194

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