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Our Key Concepts offers a concise look at CRSP’s approach to investable index construction and maintenance. Discover how CRSP’s innovative methodologies, from market capitalization breakpoints to multi-factor models, empower asset managers, researchers, and policymakers with data that drives informed financial strategies.
The CRSP US Total Market Index captures the entire investable market, by basing membership not on a fixed constituent count or the number of public listings, which fluctuates through time from over 7,000 in 1990s to just over 3,600 at present, but instead on total market capitalization.
Facilitates construction of diversified global portfolios by using cap definitions consistent with international markets conventions.
Provides consistent exposure to segment market risk through time.
Multiple Value/Growth metrics reflect the way active money managers try to measure styles.
Independent scoring and definitive and complete assignment of each security into either Value or Growth delivers style purity.
Value and growth scores are determined solely within the market cap segment evaluated.
Turnover is reduced by using bands around cap and style breakpoints.
Only half of the market cap of the security is moved when the metrics exceed bands.
Constituents are changed over five days to reduce transactions costs from market impact.
This approach results in lower turnover and reduces trading costs.
CRSP ensures that indexes continue to reflect the investor opportunity set by:
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.
The difference is clear.
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