Rawson points out that mid-cap stocks have experienced a near unchanging relationship between risk and excess return since 1926.

However, mid-caps are now trading at more expensive price-to-forward-earnings. Specifically, the Russell Midcap Index was trading at a 19.7 P/E at the end of March, higher than all but 18 of 444 months since 1978. The Midcap Index is also trading at a 12% premium to the 17.6 P/E of the large-cap Russell 1000 Index. Rawson noted that the mid-cap and large-cap indices have historically traded at about the same P/E ratio.

Mid-caps also have a higher debt-to-capital ratio and are less profitable than large-cap stocks, which make middle-capitalization companies more volatile and more sensitive to business cycles.

For more information on middle-capitalization stocks, visit our mid-cap category.

Max Chen contributed to this article.