Large Returns (Absolute Value)

On two occasions, invalid constituent level ticks came through the feed and impacted index returns. These anomalies are beyond CRSP’s control, and fortunately, are infrequent and self-correcting. One was for less than one minute, the second for nearly two minutes. The impact of each is displayed in the table below.

DATE TIME Return Price Return Ticker Total Return Ticker Index Name
3/1/2013 9:30:20 AM 103.51% CRSPID1 CRSPIDT CRSP US Industrials
3/1/2013 9:30:20 AM 1066.88% CRSPMC1 CRSPMCT CRSP US Micro Cap
3/1/2013 9:30:20 AM 13.37% CRSPTM1 CRSPTMT CRSP US Total Market
3/1/2013 9:31:06 AM -50.77% CRSPID1 CRSPIDT CRSP US Industrials
3/1/2013 9:31:06 AM -91.43% CRSPMC1 CRSPMCT CRSP US Micro Cap
3/1/2013 9:31:06 AM -11.90% CRSPTM1 CRSPTMT CRSP US Total Market
           
5/16/2013 9:30:01 AM 15.45% CRSPFN1 CRSPFNT CRSP US Financials
5/16/2013 9:30:01 AM 223.13% CRSPMC1 CRSPMCT CRSP US Micro Cap
5/16/2013 9:30:01 AM 2.83% CRSPTM1 CRSPTMT CRSP US Total Market
5/16/2013 9:32:21 AM -13.47% CRSPFN1 CRSPFNT CRSP US Financials
5/16/2013 9:32:21 AM -69.09% CRSPMC1 CRSPMCT CRSP US Micro Cap
5/16/2013 9:32:21 AM -2.80% CRSPTM1 CRSPTMT CRSP US Total Market