Saturday, July 14, 2012

Distribution of S&P 500 Constituent Market Cap

The S&P 500 index, according to Standard and Poor's website, "remains a leading indicator of U.S. equities, reflecting the risk and return characteristics of the broader large cap universe on an on-going basis." Presently, companies with market cap over $4 billion are considered. But given the 500 companies, what exactly is the distribution of their market cap like?

The short response is enormously positive skew. The data used for this analysis was as of June 28, 2012, factoring in the recent inclusion of Monster Beverage Corp. (NASDAQ: MNST) over Sara Lee Corp. (NYSE: SLE). As a note of interest, after the trading day of June 29th, Progress Energy (NYSE: PGN) was removed from the index, while Seagate Technology (NASDAQ: STX) was added, but this transition had not been factored into the data for this analysis.

The 500 companies totaled over $12.89 trillion in market capitalization. However, the top 10 companies comprised over 20% of that figure, led by Apple, Exxon Mobil, and Microsoft at $554B, $398B, and $255B, respectively. The average market cap of the 500 companies was over $25.7 billion, while the median figure was only around $12 billion, giving a skew value of over 5.48. In fact, the average value of $25.7 billion fits into the 77.7% percentile. Further remarkable is that even while taking the logarithm of all of the market cap values, the skew is still positive at 0.668.

Here is the summary table of these 500 market cap values, along with the box-and-whisker plot of the logarithm of the values:

Max: $544,206,062,500.00
95% P-tile: $91,226,411,328.12
75% P-tile: $23,949,059,570.31
Median: $11,998,596,191.41
25% P-tile: $6,461,437,377.93
5% P-tile: $2,973,694,091.80
Min: $1,301,555,053.71
Sum: $12,892,289,301,269.50
Average: $25,784,578,602.54
P-tile of Avg: 77.70%
Stdev: $46,745,814,552.27
Skew: 5.484828298
Skew of Log: 0.668860873
Top 10: 20.93%

The market values were obtained through Bloomberg on June 29th.