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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 1000
companies in this group for U.S., 1600 for Foreign, and 2800
for Global. Finally, the bottom 10% is called "small
cap". There are generally 5000 U.S. securities in this
group, 6500 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. |
