DJSM Dow Jones Select Micro-Cap Index

The universe of eligible stocks includes all stocks within the microcap range (defined as the bottom 20% of all U.S. stocks based on market capitalization) that meet all three of the following criteria: 1) Within the top 1,000 stocks by full market capitalization; 2) Within the top 1,000 stocks by three-month dollar volume; 3) Within the top 1,500 stocks by one-month dollar volume. The remaining eligible universe is ranked by each of the five ratios below. Stocks that rank within the specified range on at least one of these ratios are excluded. 1) Trailing P/E ratio (highest 20% are excluded); 2) Trailing price/sales ratio (highest 20% are excluded); 3) Per-share profit change for the previous quarter (lowest 20% are excluded); 4) Operating profit margin (lowest 20% are excluded); 5) Six-month total return (lowest 20% are excluded). Once this exclusion process is complete, any remaining stocks with a negative or missing P/E ratio or negative operating profit margin are excluded.

As of 04/29/2022

Index Information
Provider:     S&P Dow Jones
Category1:  US Equity
Category2:  Broad market
Category3:  Micro cap
Country:      USA
Currency:    USD
Inception date:  06/27/2005
Backtesting data exists:   Yes
Weighting methodology:   Market capitalization
Number of holdings:  203  (as of 07/11/2020)
Rebalanced:  Annually
Reconstituted:  Annually

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