References

1. Brinson, Gary, L. Randolph Hood, and Gilbert L. Beebower. “Determinants of Portfolio Performance.” Financial Analysts Journal, January – February 1995.

2. Brinson, Gary, and Nimrod Fachler. “Measuring Non-US Equity Portfolio Performance.” Journal of Portfolio Management, Spring 1985.

3. Chen, Honghui, Greg Noronha, and Vijay Singal. "Index Changes and Losses to Investors in S&P 500 and Russell 2000 Index Funds." Financial Analysts Journal, July/August 2006.

4. Fama, Eugene and Kenneth French. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 1993.

5. Furey, James H. “Russell 2000 Bigger but not better benchmark.” Pensions and Investments, December 10, 2001.

6. Jankovskis, Peter. “The Impact of Russell 2000 Rebalancing on Small-Cap Performance.” The Journal of Indexes, 2nd Quarter 2002

Endnote

1. Historical values for the Fama-French factors are obtained at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

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