Market Cap Universes
The Market Cap Universes are formed from the top 99.5% of the "Investable Universe" of stocks measured by total Market Cap. The smallest companies that fall into the 0.5% of the
total "Investable Universe" Market Cap are dropped to avoid penny stocks with high trading volumes.
The "Investable Universe" is defined as stocks which:
- trade on NYSE, NASDAQ or AMEX;
- are not ADRs, Preferred shares, or tracking stocks/ETFs;
- and are among the top 75% of the companies based on its 3 month average trading volume.
The resulting list of stocks, the investable universe, is then sorted by market capitalization. The following classification is then made:
- The top 79% companies are assigned to the LargeCap Universe
- The stocks that fall between 79% and 93.5% are assigned to the MidCap Universe
- The stocks that fall between 93.5% and 98.5% are assigned the SmallCap Universe
- The stocks that fall between 98.5% and 99.5% are assigned the MicroCap Universe
The Market Cap universes are reconstituted Quarterly at the end of each quarter. The universes do not have survivorship bias. The following Market Cap based universes are available:
Universe |
Code |
Approx. Number Stocks |
Approx. Market Cap Range |
Large Cap | LargeCap | 500 | 5B+ |
Mid Cap | MidCap | 950 | 1B - 5B |
Small Cap | SmallCap | 1100 | 300M - 1B |
Micro Cap | MicroCap | 600 | < 300M |
Example To screen for all stocks belonging to the MidCap Universe enter the following rule:
Universe(MidCap)