Comment on CRSP CIZ Monthly Return

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“While this methodology change indeed leads to different computed monthly returns in some cases, I find that the vast majority of the monthly returns in the CIZ format matches up with the SIZ version. And for the ones that are impacted due to the methodology change, the CIZ approach appears to handle distribution and trading gaps in a more reasonable fashion.”

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Why do some mid- and small-cap ETFs outperform others? A recent article from ETF.com highlights how benchmark index construction and methodology—especially market cap definitions—can significantly impact ETF performance. [...]
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We are delighted to invite Ph.D. students, faculty members, and friends to a WRDS webinar on the newly released CRSP CIZ (Version 2) data format. [...]
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