CRSP Cap-Based Portfolio Index
The CRSP Cap-Based Portfolios examine the relationship between the size of market capitalization and returns. Reports with information on breakpoints, performance, and rebalancing are generated from the CRSP Cap-Based Portfolio Module.
The universe contains NYSE, NYSE MKT, and NASDAQ common stocks of US companies. All NYSE securities are ranked into decile portfolios on the last trading day of the quarter. Capitalization-based breakpoints used to determine the next quarter portfolio assignments are derived from these decile rankings. The NYSE MKT and NASDAQ National Markets securities are then added into the deciles created from the NYSE breakpoints.
Portfolio returns are value-weighted and calculated monthly. Security weights are determined using market capitalizations based on the shares outstanding and closing price for the last trading day of the previous month. New securities are added to the decile portfolios based on their initial market capitalization relative to the breakpoint. Delisted securities are researched to determine a final value for their final return. Quarterly portfolio returns are obtained by compounding the three monthly returns.