The annual standard deviation of returns for the Ibbotson small stock index was 32.51 percent compared to 20.30 percent for the large stock index from 1926 to 2010.

"Small stocks are much more volatile than large stocks," Johnson told Financial Advisor.

While S&P 500 earnings growth is at 6 percent from 0 percent a year ago, according to Compustat and RBC, not all advisors are convinced that large-cap stocks are the way to go moving forward.

"Revenue growth has been fairly limited this year and much of the earnings growth has come from continued cost cutting.  We question how sustainable that is and what investors are willing to pay for that type of growth," said Jim Wright, a financial advisor with Harvest Financial Partners in Paoli, Pa. "While 2012 and 2013 have been very good years for large-cap stocks, valuations are a bit high and we do not find them as attractive today."



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