Money managers and other practitioners use multiple metrics to identify and measure investment styles – Value and Growth. CRSP scores each security and determines its weight in the appropriate Value index using the following factors:
CRSP developed and maintains Sector Indexes for all stocks included in the CRSP US Total Market Index segmented by the business characteristics of each issuing company., CRSP uses ICE Uniform Entity Sectors (UES) codes to assign issuing companies and their stock to the appropriate sector.
Using CRSP Market Indexes Methodology, CRSP Count™ tracks changes in the number of securities by market cap segments – Mega, Mid, Small and Micro – through time.
Notable items with this release include:
– Energy continues its lag in performance, there is not a single point in the past 1 Year where Energy’s cumulative monthly performance was not the worst performing sector
– Growth outperformed value across all cap segments except mid (where value’s out-performance was only 1 basis point), which is what we would expect following the Fed’s mid-September rate cut.
Notable items with this release include:
– Smaller companies out-performance in July was reversed in August, with Micro Cap experiencing a -1.45% return in August compared to last month’s return of 12.01%.
– Energy was the only sector with negative returns in August, it’s lag in performance compared to the other sectors over the past 12 months created a fair sized gap in 1 year cumulative returns.
– Value continued to outperform the growth counterparts within each cap segment.
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