52-Week High With Market Cap

What Is A 52-Week High?

We are back with another blog studying 52-Week Highs, but with a new twist! This time we wanted to tackle the same two questions, but instead of doing different exchanges (NYSE, NASDAQ, American, OTC), we did market capitalization (which will be explained below). If this doesn’t sound familiar, click here to read the first 52-Week High Blog! Let’s get into it!

Here is a quick recap of what a 52-week high is and why it’s important! The 52-week high is the highest price a security/asset has reached in the past year. Investors use it to assess a company’s current price and predict future movements. If a company surpasses this high and keeps rising, it can indicate strong momentum. However, research suggests that investors may be hesitant to bid the stock’s price higher even when justified by information, due to behavioral biases.

So why write another 52-week High Blog? Well, we did get the two answers we wanted which were “First, what proportion of stocks today are at (or near) 52-week highs? Secondly, what is the historical average for the number of stocks that are at (or near) their 52-week high?”, but this time we wanted to look at this information by categorizing the assets by market capitalization instead of by exchange. This analysis now groups stocks by a fundamental relationship; the size of the company. So why does that matter? Well, according to Finance 101, the company’s size has a direct correlation to risk. So when we explore the data, we would expect to see more volatility in smaller companies compared to bigger companies

How Was The Dataset Created?

We continued using the same data from the 52-week High Blog on exchanges, but updated the time frame from the original set to include almost another full year.  We used proprietary tools to collect data from August 2014 – August 2023 for all stocks traded in the US during that time period. However, this is where the twist comes in, all stocks in our data set were classified by market capitalization. Here is how we separated each stock into their respective market cap bucket:

  • Micro-Cap: Market value of less than $250 million
  • Small-Cap: Market value between $250 million and $2 billion
  • Mid-Cap: Market value between $2 billion and $10 billion
  • Large-Cap: Market value between $10 billion and $200 billion
  • Mega-Cap: Market value of $200 billion or more

So how did we do it? Through the compilation of data over a period of ten years for each of these market sizes, we were able to use sophisticated data analysis to thoroughly investigate our research questions. The analytical methodology used in this study consisted of determining the rolling 52-week high value for each individual stock within the dataset. Afterward, an evaluation was conducted to determine the number of stocks that were trading within a certain percentage range with respect to their respective 52-week highs. Through a comprehensive and thorough study, we were able to not only determine the present condition of stocks in relation to their previous 52-week highs but also assess this historical ratio on a broader scale including the whole market.

The Numbers Are In!

We broke up our findings into two tables which are posted below. The first table presents a comprehensive overview, categorized by market cap, of the proportion of stocks within the dataset that were within 5.00% of their respective 52-Week High. The second table presents a concise overview of each market cap, indicating the proportion of stocks within the dataset that were within a range of 50.00% of their respective 52-Week High.

Figure 1

Table One: Stocks Within 5.00% of their respective 52-Week High

Exchange

Micro Cap

Small Cap

Mid Cap

Large Cap

Mega Cap

Average

6.46%

11.82%

17.57%

25.78%

36.34%

Standard Deviation

2.39%

6.86%%

9.97%

13.95%

20.87%

Minimum

1.55%

1.19%

0.11%

0.49%

0.00%

Minimum Month

2018-12-31

2020-02-29

2020-03-31

2022-09-30

2022-09-30

Maximum

11.82%

31.52%

38.83%

53.37%

79.55%

Maximum Month

2016-11-30

2016-11-30

2017-09-30

2017-10-31

2017-10-31

Table One key findings:

  • Micro-Cap was the lowest across the board (Average, Standard Deviation, maximum), however it had the highest minimum of stocks within 5% of their 52 week-high. This is due to the fact that makes up almost 50% of all stocks.
  • The best months for each market size were between 2016-2017, yet the worst months occurred across multiple years (2018, 2020, and 2022)
  • Mega-Cap dominated across the board, but it is interesting to see that it had the most volatility throughout the 10 years which is seen in Figure 1.

However, the data becomes quite intriguing when we look at the proportion of shares trading at or above 50% of their 52-week high.

Figure 2

Table two: Stocks Within 50.00% of their respective 52-Week High

Exchange

Micro Cap

Small

Mid Cap

Large Cap

Mega Cap

Average

53.04%

84.10%

92.54%

97.37%

98.96%

Standard Deviation

9.39%

8.59%

5.86%

3.13%

2.41%

Minimum

31.69%

54.74%

65.03%

84.80%

84.09%

Minimum Month

2022-06-30

2020-03-31

2020-03-31

2022-09-30

2022-09-30

Maximum

68.04%

94.59%

98.76%

99.86%

100.00%

Maximum Month

2021-02-28

2021-02-28

2014-08-31

2014-08-31

2023-08-31

Once you increase the bucket size to include equities within 50% of the 52-week high, Table Two shows the following:

  • At first glance, we start to see the opposite in the results, with Micro Cap having the highest standard deviation (9.39%), but still the lowest average (53.04%) across the board by a big margin.
  • However, Mega Cap still has the highest average, but has the smallest standard deviation now.
  • It is worth noting that when going from 5% to 50%, we can see now in Table 2 that Micro Cap is the most volatile (9.39%) compared to Table 1 when it was the least volatile (2.39%).
  • Looking at Figure 2, even with stocks being part of different market caps, we can see all 5 market cap buckets move in a similar fashion.
Figure 3

There is still one more way to view this data! Figure 3 shows a breakdown of August 31, 2023 market caps within the respective % of the 52-week high versus 10-year averages for market caps within the respective historical % of the 52-week high. This helps gain an understanding of where the market is right now compared to the 10-year average. So what are the key findings?

  • Mega & Micro Cap are the only two that have more stock within 5% of their 52-week high versus historical
  • Mega Cap is the only market cap that had no stocks below 50% of the 52-week high
  •  Micro Cap shows that almost 50% of stocks are below their 52-week high, while the rest of the market caps show the biggest percentage in assets within or between 5%-25% of their respective 52-week high

Wrapping Things Up!

Overall, what we wanted to accomplish was to examine the potential relationship between categorizing firms based on their market capitalization and their association with the 52-week high. The hypothesis was also to “…see more volatility in smaller companies compared to bigger companies”. So was that the case? Well yes and no. When looking at equities that fall within a range of 50% of their 52-week high, it is evident that Micro-Cap companies exhibit the highest level of volatility compared to stocks of other market caps. However, in the case of companies trading within 5% of their 52-week high, it was seen that Mega Cap stocks had the highest level of volatility while the Micro Cap standard deviation was 10 times smaller. But why is that? The reason for this discrepancy is that Mirco Cap has almost 50% of its stocks below their 52-week high (shown in Figure 3), but Mega Cap exhibits a majority of its stocks within or between 5% to 15% of the 52-week high (shown in Figure 3). 

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