Historical US Stock Market Allocation Among Market Caps

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Jon Bresnen
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Historical US Stock Market Allocation Among Market Caps

Post by Jon Bresnen » Sun Sep 03, 2017 8:27 am

Does anyone know the historical breakdown among US large, mid and small caps within the US stock market?

pkcrafter
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Re: Historical US Stock Market Allocation Among Market Caps

Post by pkcrafter » Sun Sep 03, 2017 8:22 pm

Jon Bresnen wrote:
Sun Sep 03, 2017 8:27 am
Does anyone know the historical breakdown among US large, mid and small caps within the US stock market.
Welcome,

I'm not sure if you are asking for historical information on market composition, or you want to know what it is now. I don't know the market composition for historical time periods, but there would be variations on what it is now = 81% large, 4% mid, and 15% small. Small is <2 B, Mid is 2-10B, and large is over 10B.

Here's the breakdown and how to approximate it.

https://www.bogleheads.org/wiki/Approxi ... ock_market


Paul
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rkhusky
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Re: Historical US Stock Market Allocation Among Market Caps

Post by rkhusky » Sun Sep 03, 2017 8:24 pm

The definitions of large, mid and small are arbitrary, so there is no reason that the ratio could not be constant over time.

avalpert
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Re: Historical US Stock Market Allocation Among Market Caps

Post by avalpert » Sun Sep 03, 2017 10:33 pm

Market cap is a continuous variable, you can make categorical cutoffs however you like. Most index constructions will use a target percentage for size buckets but they may not be the same targets. For example, MSCI targets their large-cap to cover 70%+/-5% or market cap, mid-cap to cover the next 10% and small-cap to cover the rest (will they target to 99%). CRSP is similar targeting 70% for large-cap, 85% for mid-cap and 98% for small cap. On the other hand, Russell targets the number of companies rather than market cap and S&P sets market cap cutoffs for inclusion in the S&P 500/400/600.

For academic factor calculations, you are talking about looking at the smallest and biggest 30% of companies.

So, really it depends what you hope to do with the answer.

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Tyler9000
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Re: Historical US Stock Market Allocation Among Market Caps

Post by Tyler9000 » Sun Sep 03, 2017 11:47 pm

Jon Bresnen wrote:
Sun Sep 03, 2017 8:27 am
Does anyone know the historical breakdown among US large, mid and small caps within the US stock market?
Define "breakdown". What specific information are you looking for?

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JoMoney
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Re: Historical US Stock Market Allocation Among Market Caps

Post by JoMoney » Mon Sep 04, 2017 3:59 am

I know the 'top ten' stocks used to make up substantially larger amount of the market in the past.
John Bogle has some speeches where he shows the relative size of largest large-caps in the past.
You can find Vanguard annual reports going back the 1990's to find that, and even looking at the median market-cap of the 'Total Market' fund.
If I have time, I'll dig up some of the data I've found on this before and post it.
"To achieve satisfactory investment results is easier than most people realize; to achieve superior results is harder than it looks." - Benjamin Graham

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