CRSP U.S. Equity Indexes Methodology Guide

CRSP U.S. Equity Indexes offer the following features and benefits:

  • New approach to migration called “packeting”
  • Emphasis on cost efficiency
  • Quarterly reconstitution
  • Objective and transparent rule-based methodology
  • Breakpoints based on cumulative market capitalization
  • Partial weighting
  • Investability screens
  • Float-adjusted market cap

Emphasis is placed on minimizing unnecessary index turnover while maintaining “style purity.”

The CRSP U.S. Equity Indexes Methodology Guide is reviewed and updated annually in December to reflect any methodology refinements or changes.

Methodology Guide Updated January 2018

The annual review and update of the CRSP U.S. Equity Indexes Methodology Guide has just been completed and the latest version of this Guide is now available. Since the publication of the last version, two new methodology rules were introduced:

  • Bats Global Markets and the Investors Exchange became exchanges of interest in October 2017. This move was made to ensure that our universe of primary exchanges allows us to better reflect the US equity market.
  • A new approach to limited fixed self-tender offers was implemented in January 2018.

Appendix H on p. 57 of the Guide highlights these changes as well as several methodology refinements and clarifications.

As of December 2017, there was approximately $1.16 trillion in assets linked to CRSP Indexes, an increase of nearly 30 percent from linked asset levels at year-end 2016.