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How CRSP Total Market, Value-Weighted, and Equal-Weighted Indexes Differ

Article Quant Q&A · Author: PutsandCalls
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Summary

The answer distinguishes three CRSP index concepts by construction and purpose. It characterizes the CRSP US Total Market Index as a relatively recent, market-capitalization-weighted index designed to be held by index funds. It contrasts that product with the older CRSP value-weighted series, described as a value-weighted average of stocks in the CRSP tape and as a historical statistic. The CRSP equal-weighted series is presented as another historical statistic, with equal rather than capitalization-based weights.

The useful distinction is between an investable index product and historical market statistics, as well as between capitalization weighting and equal weighting. The response is qualified by its author’s uncertainty about the newer index’s date and provides no methodology details, return comparison, or index documentation. It therefore offers an introductory conceptual answer, not a complete guide to CRSP construction or a basis for comparing performance.

Key ideas

  • The answer describes the CRSP US Total Market Index as market-capitalization weighted and designed for index-fund use.
  • It distinguishes that index product from the older CRSP value-weighted historical series.
  • The CRSP equal-weighted series assigns equal weights rather than weights based on market capitalization.
  • The response is qualified and does not provide detailed construction rules or performance comparisons.

Tags

EquitiesPortfolio constructionUS markets
Full text
# Difference between CRSP equal weighted and composite index


# Difference between CRSP equal weighted and composite index












I am a bit confused about the overall CRSP total market return index and the equal weighted index. I know that the value weighted index places a weight on each firm by their respective market values but what is the difference between the equal weighted index and the total market return index ?

I would greatly appreciate if someone could clarify please.

Thank you.

## Answer by Alex C (score 2)

https://quant.stackexchange.com/a/24845

I believe the CRSP US Total Market Index is a relatively recent (2011?) index that is value weighted (ie weighted by market capitalization) and has been especially designed for holding by index funds (and there are several index funds that track it): http://www.crsp.com/products/investment-products/crsp-us-total-market-index. The older CRSP VW (value weighted index) is simply the value weighted average of all stocks on the CRSP tape and goes back to 1928. So one is a "live" investable index, the other is a historical statistic. The CRSP EW is another, historical statistic, this time equal weighted.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.