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Style groupings are based on data provided by Compustat. Two security databases are used. The U.S. database covers more than 8000 firms, with total capitalization exceeding $14 trillion. The non-U.S. database coverage exceeds 10,000 firms, 20 countries, and $15 trillion -- substantially broader than EAFE.

To construct style groupings, we first break the Compustat database for the region into size groups based on market capitalization, calculated by multiplying shares outstanding by price per share. There are 3 regions maintained in our attribution system, StokTrib: U.S., Foreign and Global. Beginning with the largest capitalization company, we add companies until 65% of the entire capitalization of the region is covered. This group of stocks is then categorized as "large cap" (capitalization). There are generally about 200 companies in this group for U.S., 450 for Foreign, and 700 for Global. The second size group represents the next 25% of market capitalization and is called "mid cap". There are generally about 1,000 companies in this group for U.S., 1,600 for Foreign, and 2,800 for Global. Finally, the bottom 10% is called "small cap". There are generally 5,000 U.S. securities in this group, 6,500 Foreign, and 11,000 Global.

Then, within each size group, a further breakout is made on the basis of orientation. Value, core, and growth stock groupings within each size category are defined by establishing an aggressiveness measure. Aggressiveness is a proprietary measure that combines dividend yield and price/earnings ratio. The top 40% (by count) of stocks in aggressiveness are designated as "growth," while the bottom 40% are called "value," with the 20% in the middle falling into "core."

Capital Market Consultants provides the following profiles on Surz Indexes.

Large Value
Large Core
Large Growth
Mid Value
Mid Core
Mid Growth
Small Value
Small Core
Small Growth
Sector Profiles of Surz Style Pure®
Returns-Based Analyses of Brand Indexes

Capitalization break points in Billions ($ USD)

  U.S. Non-U.S. Global
  Large Small Large Small Large Small
1Q 1998 7.8 0.9
2Q 1998 8.9 1.1        
3Q 1998 9.8 1.1
4Q 1998 10.3 1.1        
1Q 1999 13.5 1.4
2Q 1999 15.2 1.4        
3Q 1999 14.6 1.5
4Q 1999 13.7 1.4        
1Q 2000 16.2 1.7 9.2 1.1 9.2 0.7
2Q 2000 17.6 1.8 9.2 1.1 10.0 0.8
3Q 2000 18.3 1.8 8.8 1.0 10.3 0.8
4Q 2000 18.5 1.8 8.3 1.0 10.3 1.0
1Q 2001 16.5 1.8 8.4 1.0 9.4 0.8
2Q 2001 12.9 1.4 7.4 0.9 8.2 0.8
3Q 2001 13.1 1.5 7.1 0.9 8.4 0.9
4Q 2001 12.0 1.4 5.8 0.7 7.6 0.8
1Q 2002 12.5 1.5 7.0 0.8 7.9 0.7
2Q 2002 12.6 1.5 7.1 0.9 7.6 0.7
3Q 2002 10.7 1.2 5.8 0.8 6.7 0.7
4Q 2002 9.1 1.1 4.8 0.6 5.7 0.6
1Q 2003 9.8 1.2 4.7 0.6 6.6 0.8
2Q 2003 9.5 1.2 4.3 0.6 6.1 0.8
3Q 2003 10.4 1.3 5.0 0.7 7.0 0.9
4Q 2003 10.1 1.3 5.0 0.7 6.5 0.8
1Q 2004 11.0 1.4 5.8 0.8 7.6 1.0
2Q 2004 11.2 1.5 6.2 0.9 7.8 1.0
3Q 2004 11.6 1.5 5.9 0.8 7.8 1.1
4Q 2004 11.4 1.5 6.0 0.9 7.9 1.1
1Q 2005 11.9 1.5 6.9 1.0 8.6 1.2
2Q 2005 11.7 1.6 7.1 1.0 8.8 1.2
3Q 2005 11.8 1.6 6.7 1.0 8.5 1.2
4Q 2005 12.0 1.6 7.1 1.1 8.8 1.3
1Q 2006 12.3 1.6 6.8 1.0 8.8 1.2
Q2 2006 12.7 1.7 7.9 1.1 9.6 1.4
3Q 2006 12.8 1.7 7.8 1.1 9.6 1.3
4Q 2006 13.5 1.7 8.0 1.1 9.8 1.3
1Q 2007 15.0 2.0 9.0 1.3 10.8 1.5
2Q 2007 15.1 2.0 8.7 1.2 10.8 1.5
3Q 2007 15.8 2.2 8.6 1.3 10.6 1.5
4Q 2007 16.6 2.3 9.0 1.3 11.1 1.6
1Q 2008 16.7 2.3 8.9 1.3 11.0 1.5
2Q 2008 15.6 2.1 7.9 1.1 9.8 1.4
3Q 2008 15.2 2.2 8.1 1.0 10.0 1.4
4Q 2008 13.9 1.9 6.6 0.9 8.6 1.2
1Q 2009 11.6 1.5 5.5 0.7 7.0 0.9
2Q 2009 10.5 1.4 4.8 0.6 6.1 0.8
3Q 2009 11.7 1.6 5.5 0.8 6.8 0.9
4Q 2009 12.8 1.9 6.4 0.9 7.7 1.1
1Q 2010 12.6 2.0 6.2 0.9 7.8 1.1
2Q 2010 12.5 2.1 6.4 0.9 7.9 1.2
3Q 2010 11.0 1.8 5.7 0.8 7.1 1.0
4Q 2010 12.5 2.1 6.4 0.9 7.9 1.1
1Q 2011 13.0 2.2 6.6 0.9 8.4 1.2
2Q 2011 13.5 2.4 6.7 1.0 8.6 2.4
3Q 2011 13.8 2.4 6.8 1.0 8.7 1.3
4Q 2011 12.5 2.1 5.6 0.8 7.4 1.0
1Q 2012 13.4 2.3 5.9 0.8 8.0 1.1
2Q 2012 15.3 2.5 6.2 0.9 8.8 1.3
3Q 2012 14.7 2.4 6.0 0.8 8.3 1.2
4Q 2012 16.0 2.6 6.5 0.9 8.9 1.2
1Q 2013 15.5 2.5 6.8 0.9 9.0 1.3
2Q 2013 16.4 2.7 6.8 0.9 9.3 1.4
3Q 2013 16.5 2.7 6.8 0.9 9.3 1.4
4Q 2013 17.3 2.9 7.1 1.0 9.6 1.4
1Q 2014 18.4 3.1 7.3 1.0 10.3 1.5
2Q 2014 18.7 3.2 6.9 1.0 10.0 1.5
3Q 2014 19.4 3.3 6.9 1.0 10.2 1.5

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