Large Stocks Took the Lion’s Share

The gap between the largest stocks and the rest of the market has been widening over the past 15 years, as measured by exposures to common growth-oriented and value-oriented factors. COVID-19 has hastened this trend in the U.S. and the emerging markets. This isn’t the case, however, in Europe and the Pacific regions, where the markets’ views on growth prospects and valuations of the largest stocks have been more in line with the broad market.

How to interact with this plot: Each bar represents the difference in exposure between the largest and smallest capitalization quartiles in an MSCI index. Click on the legend markers to select a region and use the slider to watch how factor exposures have changed over time. Each factor has multiple descriptors; select any factor (left chart) to see how its descriptors have behaved (right chart).

Factor exposures are the capitalization-weighted average and use the GEMLT risk model and its underlying descriptors. A positive value indicates that large stocks have a higher exposure to a factor or descriptor than their smaller counterparts. Capitalization quartiles are formed monthly and based on MSCI Standard indexes, which are comprised of large- and mid-cap securities.

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