BusinessWeek has a great article entitled "Blue Chip Blues" about the lagging performance of large cap stocks relative to their small cap and international peers. The author discussed why large cap stocks have performed so poorly this decade and why their underperformance might continue on into the future.
I found this article to be interesting. I personally have a very difficult time believing that large cap stocks are no longer worthy of my investment dollars. Investing styles tend to be very cyclical. Large cap stocks are not currently viewed as favorably as small cap or mid-cap stocks. However, during the mid-late 90s the exact opposite was true. I believe that the tide will eventually turn and large caps will start to outperform again. Over the long, long run (e.g., a 20-30 time frame), I believe small cap stocks will outperform. However, over a 5- or 10-year time frame, I do believe that it is possible for large cap stocks to generate better returns than small caps. I guess we'll all have to wait and see what happens.