Ireland Size Premium: Within Ireland stocks, the smallest 0.1% of market capitalization is excluded, and the universe is restricted to exchange-traded stocks that meet minimum liquidity and listing requirements. Large cap stocks are defined as the top 87.5% of cumulative market cap ranked on firm size. Small cap stocks are defined as the bottom 12.5% of cumulative market cap ranked on firm size. Small cap stocks with the highest relative price (growth) and lowest profitability are excluded. Source: Dimensional using Bloomberg data.
US Size Premiums: Size premium, also known as the small cap premium, is calculated as the difference between the returns of small capitalization and large capitalization securities. The universe of securities is determined by Dimensional. The market universe includes publicly listed securities in the US, including stocks listed on NYSE, NYSE MKT (formerly AMEX), and Nasdaq, excluding non-US companies, REITs, UITs, and investment companies. Source: Dimensional using CRSP and Compustat data. Large cap stocks are defined as those that comprise the top 90% of the market capitalization of the universe. Small cap stocks include the bottom 10% of market capitalization of the universe. Small cap stocks with the highest relative price (growth) and lowest profitability are excluded. Stocks are weighted by their size within the small and large cap universes, unless otherwise stated. Profitability is measured as operating income before depreciation and amortization minus interest expense scaled by book. Rebalanced in a staggered fashion, with one-twelfth of the universe rebalanced at the end of the month. Additionally, applying the methodology above, the size premium for 3,400 stocks in the hypothetical example is calculated as the premium based on the 3,400 largest stocks from the market universe over time.
Filters were applied to data retroactively. Results are backtested with the benefit of hindsight. Past performance is no guarantee of future results. The returns used to calculate the premiums are hypothetical, are not actual investment results, and are for illustrative purposes only. The results are not representative of indices, actual investments, or actual strategies managed by Dimensional. Assumes reinvestment of dividends and capital gains. Results do not reflect any costs or fees associated with actual investing, such as advisory fees and transaction costs, which would reduce returns. Actual investment returns may be lower or may differ significantly. Data is subject to numerous limitations. Start date of data is based on availability of data. Results for different time periods could differ, perhaps significantly, from the results shown. Size, or small cap premiums, can be calculated using different methodology. Results using different calculation methodology could differ, perhaps significantly, from the results shown.