Purpose And Scope Of This Post
This post tries to be a useful reference (mostly for myself) for what the heck a particular index is, how indices relate to each other, and to answer some common questions like, "what percent of the US stock market is represented by this index?". You should think of it as a work in progress.
Note: in this post, I will sometimes omit the ampersand (&) from index names like "S&P 500" and instead use "SP500".
Note: facts and numbers in this post will become out of date, and some stuff are already out of date at the time of writing.
Some Market Cap Terminology
- Investopedia market-cap definitions (market cap intro page, market cap definitions page);
- mega-cap: $200B or more; also sometimes called "giant"
- large-cap: $10B or more
- note that if someone starts talking about mega-cap, then mention large-cap, they might mean large-caps that are in the range $10B to $200B; this scenario is rare
- mid-cap: $2B to $10B
- small-cap: $0.3B to $2B
- a lot of times, people say "small-cap" when talking about everything smaller than mid-cap; when it comes to funds and indices, they are all over the place when it comes to the lower bound of small-cap
- micro-cap: $50M to $300M
- sometimes people use micro-cap to mean everything smaller than small-cap
- nano-cap: $50M or less
- These definitions seem widely used; for instance, the bogleheads wiki also uses these definitions.
- These definitions will change over time as companies get bigger.
- But Morningstar (maker of the Morningstar Style Box) likes to fluidly define the caps so the US stock market is always...
- 70% large-cap
- 20% mid-cap
- 10% small-cap
- And when you plug in a total US stock market fund (which often have ~3500 underlying holdings, and supposedly 99+% of tradeable US stocks) into the Morningstar Style Box, you get this:
- 73% large-cap
- 18% mid-cap
- 9% small-cap
- So, seems like the Investopedia and the Morningstar definitions aren't far off from each other. I like the Morningstar definitions best.
Grab Bag Of Info On Stock Market Indices
- Sometimes an index will have "extra" constituents, like the S&P 100 index, which has "102 constituents". The "extra" two are there because two of the companies in the index have two classes of stock. So, even though the index has 102 constituents, the index is still doing its job of reflecting 100 companies.
- Wikipedia has a long, but nowhere near exhaustive list of stock market indices.
- SP1500 = SP500 + SP400 + SP600;
- S&P 1500, 1500 biggest US companies (wiki)
- 1506 constituents
- ~90% of US stock market by market cap (according to Wikipedia, but that would contradict the FTSE Russell people claiming that the Russell 1000 is 90% of the US stock market)
- Covers large-cap and mid-cap stocks; stops just short of small-cap stocks
- tickers: ^SPSUPX (price)
- S&P 500, 500 biggest US companies (wiki)
- 505 constituents
- ~80% of US stock market by market cap (according to Wikipedia)
- average holding is large-cap, and is often labeled as large-cap, but it also includes about half of mid-cap US companies
- tickers: ^SPX (price), ^SPXTR (total return, ycharts), ^SP500TR (total return, yahoo)
- S&P 400, also called "S&P Midcap 400" (wiki)
- 400 constituents
- right below SP500 in terms of market-cap; can be stated as holding companies size-ranked 501 through 900;
- 7% of US stock market by market cap (according to Wikipedia)
- note that this index covers less than half of the 20% of the US stock market that is typically considered mid-cap
- S&P 600, also called "S&P Smallcap 600" (wiki)
- 601 constituents
- right below SP400 in terms of market-cap; can be stated as holding companies size-ranked 901 through 1500;
- ~3% of US stock market by market cap (according to Wikipedia)
- By Morningstar definitions, these are the smallest mid-cap stocks
- Other S&P Dow Jones indices;
- a lot of lower-cost US equity iShares ETFs use S&P indices;
- S&P Total Market Index, aka "SPTMI"
- 3752 constituents
- seems identical to Dow Jones US Total Stock Market Index; same number of constituents, same lots of stuff, slightly different mean and median market cap, and slightly different descriptions
- SPTMI = SP500 + SPCompletionIndex
- ITOT uses this index (3464 holdings)
- tickers: SPTMI (price), SPTRTMI (total return), DWCF (price), DWCFT (total return)
- Dow Jones Industrial Average, share-price-weighted of 30 big US companies (wiki)
- Also called DJIA, the Dow, Dow 30.
- Note how it is share-price-weighted and not market-cap weighted.
- From the methodology pdf: "The index is a 30-stock, price-weighted index that measures the performance of some of the largest U.S. companies. The index provides suitable sector representation with the exception of the transportation industry group and utilities sector which are covered by the Dow Jones Transportation Average and the Dow Jones Utility Average respectively."
- I view this index as a historical relic where it is nice to know what it is (because other people will talk about it), but we should stop using it.
- S&P 100, basically 100 biggest US companies with sector balancing (wiki)
- 102 constituents
- solidly large-cap
- ~51% of US stock market by market cap (according to Wikipedia)
- ~63% of SP500 by market cap (according to Wikipedia)
- S&P 1000 = SP400 + SP600 = SP1500 - SP500;
- bottom 1000 of SP1500; companies size-ranked 501 through 1500;
- ~10% of US stock market by market cap
- by Morningstar definition, seems like this index roughly contains all of mid-cap and only mid-cap
- S&P 900 = SP500 + SP400 = 900 biggest US companies
- ~87% of US stock market by market cap
- FTSE Russell indices
- Russell 3000E, total US stock market index ("E" for extended)
- 3460 constituents (pdf)
- Russell 3000, 3000 biggest US companies (wiki)
- 2946 constituents (pdf)
- Russell 3000 = Russell 1000 + Russell 2000
- ~98% of US stock market by market cap
- almost a total US stock market index
- Russell 1000, 1000 biggest US companies (wiki)
- 972 constituents (pdf)
- Russell 3000 = Russell 1000 + Russell 2000
- ~90% of US stock market by market cap
- contains all of large-cap stocks and most of mid-cap stocks
- tickers: ^RUITR (total return), ^RUI (price)
- Russell 2000, smallest 2000 of the 3000 biggest US companies (wiki)
- 1974 constituents (pdf)
- Russell 3000 = Russell 1000 + Russell 2000
- ~8% of US stock market by market cap
- um, I think it contains smallest ~10% of mid-cap stocks and biggest ~60% of small-cap stocks (in market cap terms)
- tickers: ^RUT (price)
- Russell 2500, smallest 2500 of 3000 biggest US companies (wiki)
- 19% of US stock market by market cap
- Russell 3000 = SP500 + Russell 2500
- very different from the Wilshire 2500 (2500 largest US companies)
- Russell Top 50, 50 biggest US companies (wiki)
- 38% of US stock market by market cap
- Russell Top 200, 200 biggest US companies (wiki)
- 63% of US stock market by market cap
- tickers: ^RT200 (price)
- Russell Midcap, companies size-ranked 201 through 1000
- not sure, but might roughly agree with Morningstar definition of mid-cap
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| How Russell indices relate to each other in market-cap terms. Click for bigger picture. Also, see this page. |
- Wilshire
- Wilshire 5000, total US stock market (wiki)
- 3485 constituents (fact sheet pdf)
- Wilshire5000 = WilshireUsLargeCap + WilshireUsSmallCap + WilshireUsMicroCap
- Wilshire5000 = Wilshire2500 + WilshireUsMicroCap
- Wilshire5000 = SP500 + Wilshire4500
- suggested ticker: W5000
- Wilshire 4500, total US stock market minus the S&P500 (wiki)
- 3003 constituents (fact sheet pdf)
- bottom 20% of US stock market by market cap
- contains smallest 50% of mid-cap and all of small-cap
- suggested ticker: W4500
- Wilshire US Style Indices, more cap bands and growth/value splits of cap bands
- growth/value indices won't be listed here; the growth and value indices do seem split the parent index in a roughly 50/50 market cap way; there is no excluded middle
- Wilshire indices listed below are from this US style indices list
- Wilshire 2500, 2500 biggest US companies
- 2484 constituents (1358+22+1104 from fact sheet pdf)
- Wilshire5000 = Wilshire2500 + WilshireUsMicroCap
- Wilshire2500 = WilshireUsLargeCap + WilshireUsSmallCap
- very different from Russell 2500 (smallest 2500 of 3000 biggest US companies)
- Wilshire US Large-Cap, 750 biggest US companies
- 749 constituents (fact sheet pdf)
- Somewhere between 80% (SP500) and 87% (SP900) of US stock market by market cap? By Morningstart definitions, this contains 100% of large-cap and well over half of mid-cap stocks by market cap
- suggested ticker: W5KLC
- Wilshire US Mid-Cap, smallest 500 companies of 1000 biggest US companies
- 498 constituents (fact sheet pdf)
- Its the smallest 250 components of the WilshireUsLargeCap and the largest 250 components of the WilshireUsSmallCap, so I don't think it fits into any mutually-exclusive-and-collectively-exhaustive index breakdown of the total US stock market that Wilshire provides
- basically the SP400 with the next 100 smaller companies added
- covers a fair amount of the bottom half of the mid-cap band (remember, SP500 covers top half of mid-cap band)
- suggested ticker: W5KMC
- Wilshire US Small Cap, smallest 1750 companies of 2500 biggest US companies
- 1746 constituents (fact sheet pdf)
- Wilshire5000 = WilshireUsLargeCap + WilshireUsSmallCap + WilshireUsMicroCap
- alternatively stated, holds companies size-ranked 751 through 2500
- suggested ticker: W5KSC
- Wilshire US Micro Cap, companies smaller than those in Wilshire 2500
- 988 constituents (fact sheet pdf)
- Wilshire5000 = Wilshire2500 + WilshireUsMicroCap
- Wilshire5000 = WilshireUsLargeCap + WilshireUsSmallCap + WilshireUsMicroCap
- CRSP (Center for Research in Security Prices) indices
- (quick reference guide)
- lots of Vanguard funds use CRSP indices
- CRSP uses an interesting set of market-cap definitions (see pages 9 and 10 of methodology pdf)
- mega-cap: ranks 0% to 70% (Morningstar: large-cap)
- large-cap: ranks 0% to 85% (Morningstar: large-cap and top three quarters of mid-cap)
- mid-cap: ranks 70% to 85% (Morningstar: top three quarters of mid-cap)
- small-mid-cap: ranks 70% to 98% (Morningstar: mid-cap and most of small-cap)
- small-cap: ranks 85% to 98% (Morningstar: bottom quarter of mid-cap and most of small-cap)
- micro-cap: ranks 98% to 100% (Morningstar: bottom fifth of small-cap)
- CRSP U.S. Total Market Index; maybe we can call him "CRSPTM" for short
- 3564 constituents (fact sheet pdf)
- tickers: CRSPTMT (total return), CRSPTM1 (price)
- CRSP value and growth indices seem to split their targeted market-cap bands with no leftovers (see chapter5/page30 of this methodology pdf) also some more growth/value scoring discussion at this page.
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| Click for larger view of CRSP cap bands. Also see page 10 of CRSP methodology pdf | . |
- TODO: MSCI
- TODO: foreign indices
- reminder: South Korea is an an emerging market for MSCI, but not for FTSE or S&P;
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