Market Cap


The market capitalisation is simply the cost of a company determined by the stock market. A company can be categorised into brackets based on their market cap, for example micro-cap ($50M – $300M) and mega-cap (over $200B). Filtering the universe of stocks by market cap will impact the performance and volatility of the strategy.
Market Capitalisation
To calculate a stocks market cap, we multiply the current price of the stock by the number of shares in existence.

Investing in Size

Size is a recognised investing factor, which states that smaller stocks outperform larger stocks on a risk adjusted based. Evidence suggests that smaller stocks achieve outperformance over larger stocks. However, building a portfolio of smaller stocks will generally introduce higher levels of volatility into a portfolio.