Subject: Re: Small caps vs large caps
the main observation is that you find that the IJR and IJS (S&P600) are extremely correlated (over multi year periods) and there is nothing between them over a long stretch of time, one might do better one decade; the other slightly better another decade

Easily taken care of by buying both, in equal amounts.

but both very different to the large cap indexes such as S&P500.

Indeed.
Backtest: https://testfol.io/?d=eJy1jzFP...

Results (2000-07-28 - 2024-10-01)
Name    CAGR    Volatility      Sortino
IJR     9.61%   23.21%          0.46
IJS     9.48%   23.94%          0.44
50/50   9.54%   23.43%          0.45
SPY     7.86%   19.28%          0.43