Morningstar Indexes

Morningstar has a comprehensive family of 16 size and style indexes based on the same methodology used in their popular Morningstar Style Boxes. The indexes target 97 percent coverage of the free-float U.S. equity market. The style methodology incorporates ten factors to identify distinct growth and value attributes. For a complete description of Morningstar's index eligibility requirements, please refer to the Morningstar Rulebook at

Morningstar divides its U.S. Market Index into three cap indexes by defining each as a percentage of the market cap of the investable universe. Large Cap equals the largest 70 percent of investable market cap, Mid Cap equals the next 20 percent and Small Cap is the next 7 percent of investable market cap. The final 3 percent are micro cap stocks, which are not represented in style boxes.

Within each capitalization class, index constituents are assigned to one of three style orientations: value, growth, or core, based on the stock's overall style score. A stock's value orientation and growth orientation are measured separately, using five different variables for each. The value score and the growth score determine each stock's composite style score. Stocks are reclassified as style or capitalization only if they move sufficiently beyond the break point between styles. Buffer zones allow stocks to migrate between size categories and style categories over time without affecting the classification.

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