Active investors may also be able to beat the benchmark by diversifying within the small-cap sector, particularly into international stocks, said Torralba.
"Generally speaking, European and Japanese stocks are more attractively priced than U.S. stocks, so diversifying into one of those two geographic areas could improve your risk-adjusted return," he said.
A small number of passively managed funds offer diversification benefits and low expense ratios.
The Vanguard FTSE All-World ex-US Small-Cap ETF (VSS), for example, tracks 3,300 small-cap companies from both developed and emerging markets and is among the most diversified small-cap international equity funds, according to Morningstar.
iShares MSCI EAFE Small-Cap ETF (SCZ), the most liquid option in its class, also tracks companies from developed Europe and Asia but does not hold small caps from Canada or any emerging-markets country.
According to Torralba, active investors should specifically avoid energy stocks in the months ahead. "In general, the energy sector is probably going to experience difficulties repaying debt over the next three to six months due to the decrease in oil and natural gas prices," he said.
Long-term investors get a different directive: Forget all the noise, and keep your allocation on course.
Despite their volatility, said Retzler, small-cap stocks deliver important diversification benefits and significant growth potential.
"Long-term investors should stay the course and not attempt to market time," said Retzler. "Small-cap companies historically deliver higher returns, and they generally reward stock pickers."
Indeed, the small-cap Russell 2000 has outperformed the broader market in 23 of the last 36 years, according to the Stock Trader's Almanac.
A hypothetical $1,000 investment in Russell 2000 at the start of 1979 was worth $29,742 at the end of 2014, a 2,874 percent gain. The same investment in S&P 500 was worth $21,468, a 2,047 percent gain.
With economic winds blowing in from both directions, the outlook for small-cap stocks for the next few quarters remains unclear.
Their ability to balance the equity portion of one's portfolio, however, is not.
"Investors should maintain some exposure to small caps to take advantage of diversification," said Torralba.
—By Shelly Schwartz, special to CNBC.com