p123 micro, small, mid, and large cap universes definition

Manage
1

Can anyone point me to the way in which the p123 micro, small, mid, and large cap universes are defined?

2

https://www.portfolio123.com/doc/doc_detail.jsp?factor=LargeCount&popUpFullDesc=1

3

Thanks JMH! I’m surprised this isn’t indexed to CPI, or just an F Rank on the total universe, E.g. a 4 fold partition.

4

Looks like they are a bit different than what is listed in the link:

Total universe is: 5,947 companies
Micro Cap is: 706 companies mktcap range 104-773
Small Cap is: 1071 companies mktcap range 605-3,089
Mid Cap is: 823 companies mktcap range 2,537 -12,551
Large Cap is: 484 companies mktcap range 9,069-929,189

Total companies: 3,084
Companies below 104mm mktcap 1,717

It looks like mktcap might not be operative here as there are large overlaps. It also looks like there is some other criteria beside size because 1,146 companies are excluded not based on sized. Total universe - all p123 universes companies - companies below 104mm mkt cap= 1,146.

The mystery stands.

5

Yep, there’s a liquidity filter and a couple other things at work:

https://www.portfolio123.com/varfulldesc/UniverseP123MarketCap.html

6

Hey Darcy,
Thanks a lot! Where did you find that info?

7

It’s in the documentation for the Universe(uname) command. In there some of the universe names are hyperlinks to further explanations.