Updated Index Methodology Guide Now Available
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.
CRSP Attending Inside ETF Conference
For the 6th consecutive year, CRSP will be participating in the Inside ETFs Conference in Hollywood, Florida, January 21–24, 2018. More than 2,100 asset managers, consultants, financial advisors, and regulators attend this annual meeting.
If you are planning on attending this annual event, please visit CRSP at Booth #519. The CRSP team will be available to discuss our investable indexes and historic financial database products.
In 2017, ETF assets linked to CRSP Indexes grew by 33 percent.
Bats and IEX to Become CRSP Exchanges of Interest
CRSP Index-eligible securities now include US common equities that are listed on the Bats Exchanges and the Investors Exchange. The addition of the two exchanges marks the first time that CRSP has expanded its universe of primary exchanges since the October 2012 launch of its investible indexes. This move was made to insure that our universe of primary exchanges allows us to better reflect the US equity market.
In addition to Bats and IEX, CRSP Equity Index’s exchanges of interest include the NYSE, NYSE American, ARCA, and NASDAQ. Additional information about CRSP’s methodology can be found in the CRSP US Equities Indexes Methodology Guide.
As of September 30, 2017, more than $1 trillion in assets under management are linked to CRSP Indexes. For more information please email CRSP or call 312.263.6400, option 3.
Click here to view the press release.
Third Quarter CRSP Indexes Fact Sheets
The most recent fact sheets for the CRSP Indexes are now available. Our capitalization-based, industry sector, and style indexes utilize leading edge methodology in order to capture true market depth and evolution. As of September 29, 2017, more than $1 trillion were linked to these indexes.
Are Markets Efficient?
The Big Question is Chicago Booth’s monthly video panel discussion series. A new episode features a conversation between two giants of economics: CRSP Board Chairman and Booth Professor Eugene Fama, and Booth Professor Richard Thaler. View the video here.
Douglas Diamond Wins CME Prize
Chicago Booth professor recognized for research in financial crises and liquidity
The Chicago Mercantile Exchange Group-MSRI Prize in Innovative Quantitative Applications has been awarded to CRSP Board Member and Chicago Booth Professor Douglas W. Diamond. The CME Group-MSRI Prize is awarded to an individual or a group, to recognize originality and innovation in the use of mathematical, statistical or computational methods for the study of the behavior of markets, and more broadly of economics. The prize was established in 2006 by the CME Group and the Mathematical Sciences Research Institute (MSRI).
Wharton School-WRDS Best Paper Award in Empirical Finance
The researchers that won the 2015 Wharton School-WRDS Best Paper Award in Empirical Finance used WRDS to access Institutional Brokers’ Estimate System (I/B/E/S), the Center for Research in Security Prices (CRSP), and S&P Capital IQ Compustat. You can purchase the paper here.
Attention CRSPSift Users
In August 2015, Sift version 4.36 expired.
Sift Professional 4.3.13 is supported on Windows 7 and Windows 8 computers. Sift Enterprise supports Servers 2008 R2 and 2012 R2. See details in the Sift Release Notes on our website.
Contact Client Services at email@example.com or 312-263-6400, Option 2 for assistance.
New Australian Hedged Indexes
On July 1, CRSP began to offer four new Australian Hedged Indexes on NASDAQ GIDS:
|Index Ticker||Index Name|
|CRSPTAH1||CRSP US Total Market Index (AUD-hedged)|
|CRSPTAHT||CRSP US Total Market TR Index (AUD-hedged)|
|CRSPTMA1||CRSP US Total Market Index AUD|
|CRSPTMAT||CRSP US Total Market Total Return Index AUD|
Sun Solaris Support Has Ended
In order to ensure that our subscribers continue to have robust and dependable data access, CRSP has retired big-endian databases for use on Solaris platforms following publication of the December 2016 data cut that was made available in January 2017. CRSP databases are available in flat file formats that can be used on all platforms, through our partner distributors such as WRDS and TQA, and for use with CRSP tools on the following CRSP-supported platforms:
- Windows 8.1 & 10 – 32-bit & 64-bit
- Red Hat Linux – 32-bit & 64-bit
Oracle’s Solaris support at CRSP ended in June 2016. CRSP is making efforts to contact our subscribers impacted by this change to ensure a timely transition. Should you have immediate questions, please contact us at:
User Support – CRSP Research Products:
312-263-6400 select # 2