Saturday, September 17, 2011

Large Caps on Sale? S&P500 By Market Cap Quintiles

Another interesting application of aggregating on the S&P500.  I broke the S&P500 into quintiles (5 groups of 100), sorted by Market Cap.  Quintile 1 was the biggest 100 companies by market cap, then the next 100, etc.  The table below shows how they look.  The interesting trend is that the bigger you get, there's a clear upward trend to higher margins and ROE (TTM), and yet also to a lower P/E ratio.  Some of this can be explained of course by the higher expected growth of the smaller companies, although the low margins and ROE make me wonder whether that growth adds to value or not.  Or perhaps this is another piece of evidence that large U.S. blue-chips are on sale?

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