Investing - Theory, News & General • Why did the CRSP Large Growth percentage DECREASE during Q4 2023?

Each quarter, CRSP publishes fact sheets for its indexes at www.crsp.org/crsp_pdf/. Each fact sheets reveals the market capitalization for its corresponding index. The indexes "nest," and can therefore partition the Total Market in various ways. For example, one can partition TSM into Large Growth, Large Value, and Small/Micro, noting that the capitalizations for each index add to that of the Total Market.

Using this partition, the fact sheets show that between 9/29/2023 and 12/29/2023, approximately 0.5% of the Total Market capitalization moved from Large Growth to Small/Micro, even though Large Growth outperformed Small/Micro during Q4 2023:

. . . . . . . . . . . . Q3. . . . Q4
Large Growth 47.6% 47.1%
Large Value 40.3% 40.3%
Small/Micro 12.1% 12.6%

This contradicts the Q4 2023 performance of ETFs tracking these indexes:

VUG (Large Growth) +14.2%
VTV (Large Value) +8.4%
VB (Small) +12.8%

Although the Large Growth ETF (VUG) outperformed the other ETFs, the fact sheets show that the Large Growth capitalization increased less than that of Large Value and Small/Micro, on a percentage basis. Thus, the Large Growth category shrank by 0.5% during Q4 2023, even though its corresponding ETF performed the best.

1. What's going on with the CRSP Large Growth Index? Why did this happen?

2. How will this anomaly affect the performance of VUG, as it seeks to track the CRSP Large Growth Index?

Statistics: Posted by zero_coupon — Sun Jan 28, 2024 6:24 pm — Replies 1 — Views 158

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