I learned / was taught that large cap = less risk, mid cap = meh risk, small cap = wtf risk, meaning I'm investing in the smallest risk possible

If we're talking about individual stocks, I agree. If we're talking about large cap

*index funds* vs. mid or small cap

*index funds*, I'm not so convinced. After all, the probability of one "upstart business" going belly-up might be high, but the probability of

*all* of them doing so at the same time is low.

For example, consider the Vanguard Extended Market fund (VEXMX), which is basically total stock market minus the S&P 500. According to

Morningstar, its 15-year standard deviation is 18.02 vs. 14.71 for the S&P 500. That's still higher, but not all that much higher. More importantly, its Sortino Ratio is 0.69 vs. the S&P 500's 0.54, which suggests that small caps have better risk-adjusted return.