CRSP U.S. Equity Indexes offer the following features and benefits:
1.packeting approach to migration
2.Emphasis on cost efficiency
4.Objective and transparent rule-based methodology
5.Breakpoints based on cumulative market capitalization
8.Float-adjusted market cap
Mega Cap；時価総額上位～70% （約300銘柄）
-- Value --
-- Growth --
バリュー or グロースのカテゴライズ方法・・
AR>0.5 → categorized as Value
AR≦0.5→ categorized as Growth
以下 CRSP から引用
Derivation of the Average Rank (AR) score:
1. Rank companies separately by both their value composite style scores (CSS = V) and growth composite style scores (CSS = G).
2. Assign a rank composite style score (RCSS) to each company, calculated as follows:
In general, RCSS = M1 ⁄ M2 , where:
▫For value (CSS = V), M1 is the total market capitalization of all companies that are constituents of a specific capitalization-based index with a CSS lower than the particular company's CSS, plus half of its own market cap(RCSS = RV).
▫ For growth (CSS = G), M1 is the total market capitalization of all companies with a CSS higher than the particular company's CSS, plus half of its own market cap (RCSS = RG).
▫ M2 is the total market capitalization of all companies within the companies' cap-base universe. Thus, each company's RCSS corresponds to the market-cap adjusted percentile of its CSS within its cap-based universe. This value falls between 0 and 1. Therefore, for rank value (RV), the security with the highest value will have a score equal to 1 while the security with the lowest value will have a score equal to 0. The reverse is true for rank growth (RG) – the security with the highest growth will have a score equal to 0 and the security with the lowest growth will have a score equal to 1.
3. Compute AR for each company according to the formula below. Average rank scores range from 0 to 1 with higher numbers indicating higher “value” attributes and lower numbers indicating higher “growth” attributes.
4. Assign newly added companies to value or growth categories according to their AR scores:
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