2Equities
Every US-listed stock and fund, captured after each close from the consolidated tape since October 2026, with a daily history rebuilt back to 2016 that keeps every delisted company in: five-minute prices through the day, and share counts, earnings and industry from each company's SEC filings. We look hardest at small and mid caps, which get the least coverage elsewhere and behave least like the index.
2.1Today, 5 November 2026
4,067 operating companies with a share count on file, out of 13,088 listed symbols once funds, warrants, units and preferreds are set aside.
- Advancing
- 501of 4,019
- Equal-weighted day
- −4.74%
- Cap-weighted day
- −4.27%
- Above 200-day average
- 42%
- New 52-week highs
- 152245 lows
2.2By size
Companies grouped by market capitalisation: shares outstanding from the latest filing times the closing price. Mega above $200bn, large from $10bn, mid from $2bn, small from $300m, micro below that.
| Companies | Total value | Day, equal wt | Day, cap wt | Month, median | Quarter, median | Above 200d | Highs / lows | Vol, 21d | Intraday vol | |
|---|---|---|---|---|---|---|---|---|---|---|
| Mega cap | 54 | $42.9tn | −5.62% | −5.06% | +0.4% | −3.6% | 57% | 5 / 1 | 37% | 39% |
| Large cap | 655 | $28.4tn | −3.23% | −3.14% | +5.9% | −1.0% | 60% | 55 / 10 | 39% | 38% |
| Mid cap | 906 | $4.4tn | −3.65% | −3.70% | +4.3% | −4.3% | 53% | 38 / 30 | 44% | 50% |
| Small cap | 1,081 | $991.8bn | −4.83% | −4.63% | −1.4% | −7.8% | 46% | 44 / 52 | 53% | 70% |
| Micro cap | 1,371 | $128.0bn | −6.06% | −5.43% | −15.0% | −24.2% | 21% | 10 / 152 | 72% | 111% |
Volatilities are annualised medians across the bucket: 21-day from daily closes, intraday from today's five-minute returns within the session. Day returns include only stocks that closed at or above $1 and traded at least $250,000 a day over the past month.
2.3Small and mid caps
Equal-weighted growth of each size bucket over the history held, and the share of each bucket trading above its own 200-day average. Small and mid caps are where a cap-weighted index tells you least: the 2,452 small and micro caps are 60% of the companies covered and 1.5% of their combined value.
2.4Overnight and the session
Every daily return splits into two pieces: the move from the previous close to the open, while the market is shut, and the move from the open to the close, while it trades. Added up over time, the two can look very different, especially for smaller companies.
| Overnight, total | Session, total | Overnight up days | Days | |
|---|---|---|---|---|
| Mega cap | +178.3% | +48.0% | 56% | 2,706 |
| Large cap | +195.8% | +20.0% | 57% | 2,706 |
| Mid cap | +234.5% | −10.7% | 56% | 2,706 |
| Small cap | +672.6% | −49.7% | 58% | 2,706 |
| Micro cap | +7702.5% | −96.7% | 66% | 2,706 |
2.5Through the day
How each session's volume is spread across its five-minute slots, and how far a typical stock moves in each, averaged over the last 20 sessions. The 16:00 slot holds the closing auction.
| First five minutes | Last half hour | Closing auction | Stocks | |
|---|---|---|---|---|
| Mega cap | 4.1% | 13.8% | 21.3% | 54 |
| Large cap | 2.2% | 19.1% | 20.2% | 652 |
| Mid cap | 1.9% | 21.4% | 20.3% | 872 |
| Small cap | 2.4% | 21.3% | 15.9% | 826 |
| Micro cap | 3.4% | 16.5% | 6.2% | 499 |
Shares of each stock's own day volume, averaged across stocks with a trade in at least 60 of the session's 78 slots. The 16:00 slot also carries the first five minutes of after-hours trading.
2.6Factors
Long-short spreads between the top and bottom fifth of the market on a single characteristic, equally weighted and re-sorted every day on the previous close, using only stocks above $5 that trade at least $1m a day. They show what the market rewarded over this period. They aren't strategies, they leave out trading costs, and the caveats at the bottom of the page apply.
| Spread | Annualised | Volatility | t | Up days | Days |
|---|---|---|---|---|---|
| Small minus large | −2.9% | 13.7% | -0.69 | 48% | 2,706 |
| Momentum, 12 minus 1 | +7.3% | 22.2% | 1.03 | 55% | 2,474 |
| Momentum in small and mid caps | +8.0% | 22.0% | 1.13 | 55% | 2,474 |
| Momentum in large caps | +6.1% | 22.8% | 0.84 | 55% | 2,474 |
| Short-term reversal, 1 month | +8.6% | 19.6% | 1.44 | 49% | 2,705 |
| Low minus high volatility | +0.4% | 26.3% | 0.05 | 49% | 2,663 |
2.7Sectors
Industries from each company's SEC classification code, mapped to eleven sectors. The last column is the share of each sector's companies that are small or mid caps.
| Sector | Companies | Total value | Day, equal wt | Month, median | Above 200d | Small and mid |
|---|---|---|---|---|---|---|
| Information Technology | 586 | $32.8tn | −7.20% | −14.5% | 37% | 43% |
| Health Care | 811 | $7.1tn | −5.78% | −8.9% | 33% | 42% |
| Financials | 776 | $8.1tn | −3.01% | +0.5% | 63% | 52% |
| Consumer Discretionary | 387 | $7.8tn | −3.89% | +4.4% | 46% | 56% |
| Communication Services | 104 | $1.1tn | −5.07% | −7.6% | 33% | 47% |
| Industrials | 571 | $7.7tn | −5.35% | −5.1% | 39% | 50% |
| Consumer Staples | 130 | $4.1tn | −2.78% | +4.6% | 45% | 42% |
| Energy | 117 | $2.3tn | −4.34% | −9.5% | 25% | 60% |
| Materials | 209 | $1.8tn | −5.06% | −6.7% | 28% | 57% |
| Real Estate | 220 | $1.7tn | −2.65% | +4.3% | 39% | 56% |
| Utilities | 105 | $2.2tn | −2.84% | +0.9% | 50% | 44% |
2.8What is published, and what to discount
- Only aggregates. The bars are licensed from the consolidated tape and no single stock's price, volume or measure leaves the server.
- The history from 3 February 2016 keeps every company listed at the time, the ones since delisted included, each sized by the share count it had filed by then. From 19 October 2026 it is our own capture, and each session's figures are kept as they were computed that night, so a company that delists later stays in the sessions it traded in.
- A company that leaves its exchange takes one last return with it: the cash price in a takeover, or a 35% loss for a delisting on performance. That loss is a convention, not a price anyone traded at.
- Charts show the last session of each week. Every figure is compounded from daily returns, and the tables use every session.
- Fundamentals as filed with the SEC, as of 1 November 2026. Industries are SEC codes mapped to sectors by hand.