US equity market capitalization by asset category

December 4, 2022 7:23 AM

If you consider the total US equity market capitalization, what fraction is in each of the 6 asset categories; large cap growth, large cap value, mid cap growth, mid cap value, small cap growth, small cap value?
posted by grahahw to Work & Money (5 answers total)

I think this is going to depend a lot on who is categorizing the stocks. Different index companies have different methodologies. But one option would be this CRSP data. Vanguard uses the CRSP indicies for some of their ETFs/mutual funds. The "fact sheets" have a line item for total market cap. For example, the large cap growth index constituents are about $16 trillion in market cap.
posted by Mid at 8:44 AM on December 4, 2022

So, you could compare that $16t against their total market index, which is about $35t. And so on for each of their indicies. But, I think you will get different numbers looking at other index keepers. S&P, for example, says $43t for their "total market" index [see fact sheet PDF].
posted by Mid at 8:51 AM on December 4, 2022

Best answer: Since I went to the trouble of calculating it, I might as well post the numbers based on the CRSP classifications (as of the latest data available from Sept. 30, 2022):

Large Cap Growth: 45%
Large Cap Value: 42%
Mid Cap Growth: 7%
Mid Cap Value: 8%
Small Cap Growth: 5%
Small Cap Value: 7%
Micro Cap Total: 1%

You'll note that these numbers total to more than 100%. This is due to the way CRSP defines Mid Cap as a subset of Large Cap. Specifically, Large Cap is defined as the top 85% of the market while Mid Cap is the top 70-85% (i.e.: the bottom 15% of Large Cap is Mid Cap). If this kind of overlap is not what was intended between Large & Mid Cap, I suppose you can just subtract off the Mid Cap portions from the corresponding Large Cap figure.
posted by mhum at 1:48 PM on December 4, 2022 [2 favorites]

Response by poster: Thanks so much for sharing your knowledge

Neither Fidelity nor Vanguard could answer this question.
posted by grahahw at 1:54 PM on December 5, 2022

Response by poster: Are there any other overlaps in category definitions?
posted by grahahw at 2:04 PM on December 5, 2022