Here I provide further evidence that the relationship between return and capitalization is a function of underlying market volatility.  I very much intend to raise questions about the supposed evidence that large caps must again outperform small caps, as to propose this without any conditions on risk would imply obvious arbitrage (e.g. short small caps and put the proceeds into large caps for the difference in return).

    Here is a chart of the VIX, S&P 500, and Russell 2000 over the last 3 days.  Notice how when the VIX drops, the difference between the Russell and the S&P grows, and when the VIX gains, the Russell and S&P return to equal levels.