Click here for CRSP's COVID-19 Business Continuity Plan


CRSP Equity Index March Ranking and Reconstitution Update

The Center for Research in Securities Prices LLC (“CRSP”) has determined to postpone the ranking and reconstitution process of all of its its equity indexes until June. Pursuant to the declaration of a National Emergency, the universal acknowledgement that the current situation requires the continuance of orderly processes, and because of increased industry uncertainty and operational risk that may impact the ability to respond to additional events, CRSP believes that this is the necessary course of action.

What this means to our index clients and concerned market participants is:

  • When the market opens on Monday, March 16, 2020, there will be no CRSP pro-forma indexes for a March 2020 rebalancing. Constituents and weights for the primary indexes will remain unchanged, except for adjustments needed for our existing policy of applying corporate actions for continued maintenance. The prospective pro-forma indexes for the March ranking and reconstitution period are therefore no longer valid, and December 2019 breakpoints will remain in place for the primary indexes until the June ranking.
  • We expect the June 2020 ranking to remain as scheduled.

CRSP continues to monitor the COVID-19 situation closely, including the work of the CDC, World Health Organization and other government agencies, and will communicate with our clients and update our policies as appropriate.

Please send inquiries to indexes@crsp.org.

Index Notification, March 15, 2020


CRSP Count

CRSP Count™ counts stocks in different market capitalization segments – Mega, Mid, Small and Micro – using CRSP Investible Indexes methodology. As the universe of securities changes, CRSP Count™ helps track the changes in numbers of securities by market cap segments through time.

Click here to view the Q1 2020 presentation(Posted 4/23/2020)
Click here to view the Q4 2019 presentation. (Posted 2/25/2020)


Current Release Notes Most Viewed Guides CRSP in Action

Includes data definitions, calculations, methodologies, and more.

Includes data definitions, link information, access functions, and cross reference information.

Note: We are in the process of updating the online versions of our product guides. For the most current information, please download the PDF via the link below:

CRSP/Compustat Merged Database Guide

CRSP/Compustat Merged Database for SAS, ASCII & R 

Includes installation, data access, and tool usage

Includes file formats, data definitions and calculations. 

CRSP Linked Assets Rebound - April 2020

Assets under management linked to CRSP investable indexes rebounded in April and stood at about $1,380 billion. CRSP-linked assets in ETFs posted gains of over 15% growing to about $347 billion which is above the February level. AUM of CRSP-linked mutual funds expanded by around 12% to $1,032 billion.

REITs For the Past 20 Years and Beyond


 

Using CRSP/Ziman Real Estate Database we compare risk-return profile of REITs vs. broad market for the past 20 years.

From Peak to Trough, to Present


 

From Peak to Trough, to Present: While Small and Micro Cap had bigger peak-to-trough decline, the rebound has been fairly even across different market caps.

Announcements

New Calendar Frequency Files Introduced for CRSP Stock Databases

CRSP has created a new set of tables that will accompany all SAS, ASCII, and R Stock database files.  Monthly, Quarterly, and Annual frequency tables are built from aggregated daily time series data to facilitate ease of use for subscribers. 

2020 First Quarter CRSP Indexes Fact Sheets

The most recent fact sheets for the CRSP Indexes are now available. Our capitalization-based, industry sector, and style indexes utilize leading edge methodology in order to capture true market depth and evolution.