Our Investment Quarterly for the second quarter of 2010 digs into indexes. A common strategy for investing in a fully diversified portfolio is to choose a set of index funds that each provide broad coverage of a whole category of stocks or bonds. The problem is that for many categories of security there exist quite a few indexes to choose from; and any given index may be tracked by numerous funds. The indexes that track a given asset class may be quite different from each other, and the funds that track a given index may likewise differ considerably. What is an investor to do?

In this issue, we try to answer the question by narrowing our purview to a single asset class, US Small Company stocks. We compare four indexes that all purport to follow it, and four funds that each track one of the indexes.