CRSP Cap-Based Portfolios

CRSP Cap-Based Portfolio Indexes are a monthly series based on portfolios that are rebalanced quarterly.

The universe includes all common stocks listed on the NYSE, NYSE MKT, and NASDAQ Global and Global Select Markets (NASDAQ National Market prior to July 2006). Unit Investment Trusts, Closed-End funds, Real Estate Investment Trusts, Americus Trusts, Foreign Stocks, and American Depositary Receipts are all excluded for their entire trading history. For a security to be included in an index, it must have a valid price in the current and previous periods. Valid prices include trading prices or bid-ask averages when trading prices are not available.

Eligible companies listed on the NYSE are ranked into equally populated deciles at the end of each calendar quarter. The largest capitalizations in each decile serve as the breakpoints that are applied to various exchange groupings of the universe.

CRSP’s PERMCO, the permanent company identifier, was created as part of the development that produced the Cap-Based indexes. All market caps of eligible securities of a company are summed and used in creating portfolio assignments, both for setting the breakpoints for NYSE companies, and for assigning all companies to the portfolios. If there is a company with a NYSE security and a NASDAQ security, only the NYSE security market cap is used for setting breakpoints, but the combined market cap is used to add both securities to the same portfolio.

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 NASDAQ Global and Global Select Markets. The NASDAQ Global and Global Select Markets were formerly the NASDAQ National Market, which was 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.

The returns of the combined portfolios are not the sum of two or more decile returns. The returns of the combined portfolios are the value-weighted returns of the relevant deciles.

Index levels are calculated based on an initial value of one dollar on December 31, 1925. Monthly index returns are calculated based on both daily and monthly security holding period returns. Returns are calculated using prices from end-of-period to end-of-period. Total returns always include cash dividends.

Companies becoming eligible or ineligible during a quarter are handled with the following rules:

  • 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 portfolio’s 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 Global or Global Select Markets, 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.

Only monthly indexes and portfolio assignments are calculated for the Cap-Based Portfolios. Each of the three Cap-Based Indexes represents one index group of index results and one portfolio type of portfolio assignments and statistics. Seventeen series, one for each decile and each composite, are created for each Portfolio Type.

There are slight differences between our CRSP production databases sent to subscribers and those used internally by CRSP to calculate returns of cap-based portfolios. While very close, decile returns calculated using the CRSP production database may not exactly match those calculated in the CRSP Cap-based reports.