At CRSP, our index methodology was born out of academic research at the University of Chicago and shaped by the way money managers invest in the real world. Today, our indexes underpin investment decisions for managers overseeing trillions of assets, including the world’s largest mutual fund. Here’s what sets us apart.
We divide the market into distinct capitalization bands – Mega, Large, Mid, Small, and Micro Cap – based on float-adjusted size. These segments align with institutional practices and facilitate diversified portfolio construction across core asset classes.
CRSP applies multiple fundamental metrics to classify securities into Value and Growth segments within each capitalization band. This multifactor scoring system – covering price relative to book value, earnings, EPS growth, dividends, sales, and return on assets – delivers clean style separation and alignment with how active managers define investment styles. All style assignments are objective, systematic, and fully transparent.
CRSP minimizes turnover and mitigates transaction costs by approaching index rebalancing and migration in a way that reflects how investors actually manage money. By establishing buffers around cap and style breakpoints, cutting the size of each migration event in half through packeting – and phasing changes over five days – CRSP Market Indexes minimize trading costs and transaction risks. The result: better tracking, lower cost drag, and indexes that evolve with the market.
CRSP Market Indexes are reconstituted quarterly to capture current market realities and investor opportunity. IPOs that meet CRSP inclusion standards are added promptly, often within the same week for eligible cap segments, ensuring our indexes remain timely, investable, and comprehensive.
Dive deeper into CRSP’s methodology, from dynamic market cap segmentation to phased migration techniques that minimize turnover and mitigate rebalancing costs. Learn how our index design reflects how real-world investors allocate capital.
Get access to the latest CRSP Market Indexes Methodology Guide, including detailed insights into construction, segmentation, rebalancing, and inclusion rules. See why asset managers and institutions worldwide trust CRSP to track U.S. equity markets with precision. .
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Dive deeper into our methodologies from float-adjusted market capitalizations to innovative migration techniques like ‘packeting,’ — all tailored to support seamless portfolio rebalancing and informed investment decisions.
