{"id":2042511,"date":"2016-01-27T20:10:39","date_gmt":"2016-01-27T14:40:39","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2042511"},"modified":"2016-07-16T14:13:41","modified_gmt":"2016-07-16T08:43:41","slug":"market-cap-deciles-part-ii","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2016\/01\/27\/market-cap-deciles-part-ii\/","title":{"rendered":"Market-Cap Deciles, Part II"},"content":{"rendered":"

We had introduced the concept of dividing the universe of stocks by market-cap deciles a while ago (StockViz<\/a>.) Here are some observations.<\/p>\n

Returns<\/h3>\n

The last year has been spectacular for small- and mid-cap stocks.<\/p>\n

From August-2014 to Now:
\n\"decile<\/p>\n

For 2015:
\n\"decile<\/p>\n

So far in 2016:
\n\"decile
\nNote: Deciles go from 1 (micro-cap) to 10 (mega-cap)<\/small><\/p>\n

In 2015:<\/p>\n

    \n
  1. If you had blindly invested in an equal-weight portfolio of ~145 micro-cap stocks, you would have been up ~70%<\/li>\n
  2. Every other decile out-performed the mega-caps (decile #1)<\/li>\n
  3. Note how the standard-deviation of returns compress as you walk up the cap<\/li>\n<\/ol>\n

    Migrations<\/h3>\n
    \n
    \n\"migrations\n<\/div>\n
    \nFree-float market-cap is a volatile measure in itself – when you use that to classify stocks, you end up with quite a bit of movement between deciles. Something to keep in mind while using deciles for analysis.\n<\/div>\n<\/div>\n

    Market breadth indicator<\/h3>\n

    The mega-cap decile (decile #1) can be used as a crude market-timing indicator. If you track the number of stocks in the decile that went up vs. the number that went down, you end up with a proxy for breadth.<\/p>\n

    \"long-short-nifty\"<\/a><\/p>\n

    Even though technically it beat the buy-and-hold NIFTY 50, the indicator produces too many trades and it doesn’t offer a large enough margin of out-performance to be useful in live trading.<\/p>\n

    Next steps<\/h3>\n

    We will continue to poke around and share what we find!<\/p>\n","protected":false},"excerpt":{"rendered":"

    We had introduced the concept of dividing the universe of stocks by market-cap deciles a while ago (StockViz.) Here are some observations. Returns The last year has been spectacular for small- and mid-cap stocks. From August-2014 to Now: For 2015: So far in 2016: Note: Deciles go from 1 (micro-cap) to 10 (mega-cap) In 2015: … <\/p>\n","protected":false},"author":2,"featured_media":2035461,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[3731,2761],"class_list":["post-2042511","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","category-your-money","tag-decile","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2042511","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2042511"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2042511\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2035461"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2042511"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2042511"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2042511"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}