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.


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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  • $\begingroup$ By relatively recent you mean that the US Total Market Index return that has been invented right ? I understand that both data goes back to 1926. Also, the value weighted is weighted by market capitalization right ? $\endgroup$ – PutsandCalls Mar 14 '16 at 3:32
  • $\begingroup$ Yes, I believe so $\endgroup$ – Alex C Mar 14 '16 at 8:59

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