CRSP Market Indexes CRSP Market Indexes Methodology

CRSP Market Indexes Methodology

Highlights

Objective, transparent, and rules-based
Emphasis on portfolio rebalance cost efficiency
Investability screens
Market capitalizations adjusted for float
Quarterly reconstitution
Market Cap segments based on cumulative market capitalization percentages
Innovative approach to migration known as “packeting”
Multi-day index transition periods

The CRSP Market Indexes Methodology Guide is reviewed and updated annually to reflect any methodology refinements or changes. Emphasis is placed on minimizing unnecessary index turnover while maintaining style purity.

Documents & Resources

Key Concepts

The foundation for development of our index methodology

Index Governance

The governance hierarchy for the CRSP Market Indexes (CRSPMI)

IOSCO Compliance

Request CRSP Market Indexes Management Statement of Adherence with the IOSCO Principles for Financial Benchmarks Documentation

Index Complaint Submission

The Center for Research in Security Prices, LLC (CRSP) makes every effort to provide correct and timely information to our stakeholders/subscribers based upon our stated CRSP Market Indexes (CRSPMI) Methodology.

In spite of these efforts, CRSPMI stakeholders may wish to file a complaint with CRSP for the following:

Whether a specific Benchmark determination is representative of the underlying interest it seeks to measure
Applications of the Methodology in relation to a specific Benchmark determination(s)
Other Administrator decisions in relation to a Benchmark determination

Please submit any complaints here:

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