Returns for CRSP Market Cap Deciles
for Various Time Periods

The following charts show the total returns for the CRSP (Center for Research in Security Prices, University of Chicago) market cap deciles and the S&P 500 Index. The CRSP deciles are created by taking all of the NYSE stocks (excluding ADR's REIT's, foreign cos., and closed-end funds) and dividing them into 10 groups based on market capitalization (decile 1 = the largest companies, decile 10 = the smallest companies). The AMEX and Nasdaq stocks that fit into each market cap decile are then added.

These charts show that the "size effect" can persist in either direction for long periods of time.

 

Index Funds Staff

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