Read an interesting post by the Professor of Finance at the Stern School of Business at NYU recently which included the above graph. In it he questions and presents evidence to question whether their is a small cap effect or not. You can read it by clicking the graph above if that is of interest to you.
He also included in his post a link to a useful Academic paper which helpfully reviews all the Literature on the Size effect which you can check out and download here if you are so inclined.
I guess the key takeaways from this is that you probably shouldn't just buy smaller companies thinking that they will outperform just because they are small. As ever returns will be driven by the cash flow, earnings and dividends that a Company produces and the price you and other investors are prepared to pay for the same.