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CRSP Cap-Based Portfolio Indices

Used as a source for cap-based portfolio research appearing in publications, and by practitioners for benchmarking, the CRSP Cap-Based Portfolio Indices Product data tracks micro, small, mid- and large-cap stocks on monthly and quarterly frequencies.

This product is used to track and analyze performance differentials between size-relative portfolios. Tangible phenomena underlie this widespread interest in cap-based portfolio performance; a dollar invested in the smallest portfolio, CRSP 10, on December 31, 1925 would now be worth almost $12,000 - a geometric mean annual return of nearly 14%.

Key Features include:

• Ranks all NYSE companies by market capitalization and divides them into ten equally populated portfolios.
• AMEX and NASDAQ stocks are then placed into the deciles determined by the NYSE breakpoints, based on market capitalization.
• The series of 10 indices are identified as CRSP 1 through CRSP 10, where CRSP 10 has the largest population and smallest market-capitalization.
• CRSP portfolios 1-2 represent large cap stocks, portfolios 3-5 represent mid-caps, portfolios 6-8 represent small caps, and portfolios 9-10 represent micro-caps.
• The portfolios are rebalanced quarterly and total return, capital appreciation return, and income return are calculated on a monthly basis.
• Reports as described below can cover one of three exchange combinations: NYSE only, NYSE and AMEX, or NYSE, AMEX, and The NASDAQ National Market.
• Delivery: in the form of reports that are derived from the CRSP Cap-Based index series
  • Delivered in ASCII format (annually) which allows the data to be imported into a spreadsheet or database application for further manipulation.

The Reports:

• Monthly Results Reports: This product includes 12 monthly results reports and 4 quarterly breakpoint reports. The 12 monthly reports include portfolio population, portfolio weight, total return, capital appreciation, and income return. The 4 breakpoint reports include the names and capitalizations of the largest and smallest securities in each portfolio.
  
• Cap-Based Product 1:
  Current Quarterly Breakpoint Report: 4
  Current Monthly Performance Report: 12
  
  

• Quarterly Results Report: The Quarterly Results Report includes 4 quarterly results reports and 4 quarterly breakpoint reports. The 4 quarterly results reports include current portfolio counts, portfolio weight, total return, capital appreciation, and income return. The 4 breakpoint reports include the names and capitalizations of the largest and smallest securities in each portfolio.
  
• Cap-Based Product 2:
  Current Quarterly Breakpoint Report: 4
  Current Quarterly Performance Report: 4
  
  
• Historical Report: The Historical Report includes the Historical Performance Report and the Historical Breakpoint Report. The Historical Report is generally available as a one-time report to all subscribers of the Cap-based Indices Product.  If it is ordered in conjunction with the CRSP Cap-Based Monthly Results Reports, then eleven monthly updates are provided in addition to the initial report.
  
• The Historical Performance Report contains monthly data for each of the sixteen cap-based portfolios plus the market from December 1925 to the present. The monthly data items reported for each of the seventeen portfolios include issue count, portfolio weight, total return, capital appreciation, and income return.
  
• The Historical Breakpoint Report contains quarterly data for the CRSP Cap-Based Portfolios from March 1926 to the present. Data items reported for each of the ten cap-based decile portfolios include number of issues, weight of smallest company, name of smallest company, weight of largest company, and name of largest company. 
  
• Cap-Based Product 3: (one-time)
  Historical Quarterly Breakpoint Report
  Historical Monthly Performance Report
• Cap-Based Product 4: (12 historical Reports)
  Historical Quarterly Breakpoint Report
  Historical Monthly Performance Report
  
  
• Security List Report: The Security List is offered either as a current report covering only the most recent month during a one-year period or as a one-time historical report covering all months beginning in December 1925. Each report contains data for every single security included in the formation of the portfolios. Data provided for each security includes CUSIP, ticker, company name, exchange code, SIC code, shares outstanding, share price, portfolio assignment, total return, and capital appreciation.
  
  

• Cap-Based Product 5
  Current Security List: 12    

• Cap-Based Product 6
  Historical Security List: 1
  
• Delivery: All products are delivered as an ASCII text file, delivered either by mail or email.
  
  

For additional information regarding the CRSP Cap-Based Portfolio Indices Product please contact subscriptions@crsp.ChicagoGSB.edu or call the Customs Group at 312-263-6400 select #5.