There is one obvious candidate: small-cap stocks. The Russell 2000 index is somehow up only 24 per cent over the past five years, to the S&P 500’s 80-odd per cent. This is an amazingly bad showing. Remember that, in theory, small stocks are supposed to return more than large ones to compensate for their higher volatility. Theories about what is going on have proliferated. The two most popular are that the modern digital economy increases the advantages of scale, and that private equity has bought all the good small companies.