CRSP Cap-Based Portfolios
CRSP Cap-Based Portfolio Index data are a monthly series based on portfolios that are rebalanced quarterly. The methodology used to calculate the series differs from the CRSP Stock File Capitalization Decile Indexes.
The universe includes all common stocks listed on the NYSE, NYSE MKT, and NASDAQ National Market excluding Unit Investment Trusts, Closed-End Funds, REITs, Americus Trusts, foreign stocks and American Depositary Receipts. Eligible companies with primary listings on the NYSE are ranked into equally populated deciles. The largest capitalizations in each decile serve as the breakpoints that are applied to various exchange groupings of the universe.
Decile results are created for three exchange groups:
- NYSE only
- NYSE and NYSE MKT. NYSE MKT data are added beginning July 1962
- NYSE, NYSE MKT and the NASDAQ National Market. The NASDAQ National Market data are added beginning April 1982
Individual decile portfolios are created for each exchange group, the largest being in decile 1 and the smallest in decile 10. In addition to each decile portfolio, returns are calculated for the following: CRSP 1-2, CRSP 3-5, CRSP 6- 8, CRSP 9-10, CRSP 6-10 and CRSP 1-10.
Companies becoming eligible or ineligible during a quarter are handled with the following rules:
- Previous period market capitalizations are used for assigning deciles and weights.
- Securities added during a quarter are assigned to appropriate portfolios when two consecutive month-end prices are available.
- When a security’s last price is a month-end price, its month’s return is included in the portfolios’ quarterly return.
- When the month-end price is missing, a replacement month-end value is derived from the delisting return including merger terms, regional exchanges, etc. If the derived replacement month-end price is not available, the last available daily price is used.
- If an issue becomes ineligible for an index in the middle of a quarter but is still active, such as after an exchange change or because the issue is leaving the NASDAQ National Market, the issue is considered held until the end of the month and then dropped.
- Index Total Returns, Index Capital Appreciation, and Index Income Returns are calculated from a value-weighted portfolio of securities in the portfolio each period. Index Levels are calculated for each of these returns series based on an investment of one dollar on December 25, 1925.
- Only monthly indexes and portfolio assignments are calculated for the Cap-Based Portfolios. Each of the three sets of Cap-Based Indexes represents one Index Group of index results and one Portfolio Type of portfolio assignments and statistics. Seventeen Index Series, one for each decile and each composite, are created for each Portfolio Type.