I've been using the Amex as a quick'n'dirty small cap index. If you have the energy or interest, you can show a difference if you want to plot the AMEX and some official small cap index but that sounds like a lot of work to me....
It's actually pretty easy to do that on Yahoo (with a few limitations). What's not so easy is finding the appropriate indices. For an official small cap index, I found the Dow Jones US Small Cap Index (^DJUSS). Of course, a U.S. small cap index should be compared against an international small cap index. The best representative that I could find for the latter was the Fidelity International Small Cap Fund (FISMX) and the iShares MSCI Emerging Markets Index Fund (EEM). I also included a broad U.S. stock index (the S&P 500 Index) and an ETF that tracks a broad international stock index (the MSCI Europe, Australasia, Far East index). The following graph shows the returns for those indices and funds over the past two years:
If you can find better indices or representative funds, you can make changes to the graph at the following Yahoo page:
http://finance.yahoo.com/q/bc?t=2y&s=FISMX&l=on&z=m&q=l&c=EEM%2C%5EDJUSS%2CEFA%2C%5EXAX&c=%5EGSPC
Following is a description of all of the ticker symbols in the above graph, in the order of their return over the past two years, starting from the highest:
EEM - iShares MSCI Emerging Markets Index Fund ^XAX - AMEX Composite Index FISMX - Fidelity International Small Cap Fund EFA - iShares MSCI EAFE Index Fund ^DJUSS - Dow Jones US Small Cap Index ^GSPC - S&P 500 Index