Hi Mike, thanks for your thoughtful question. We partially avoid the issue of having too many underperforming small caps by imposing a minimum market cap of $1bn, i.e. the index excludes companies that heading into bankruptcy.

I also just ran the index with monthly and semi-annual rebalancing, which highlights slightly better CAGRs for the latter, supporting your argument. However, the performance is almost identical in trend and has not been particularly attractive since 2004, i.e. post the rebound from the Tech bubble.