Market capitalization, standard deviation or betas are used as rebalancing statistics. Other distinctions among indices may be drawn in that some indices are calculated in market capitalization value-weighted and equal-weighted formats and some in one of the above formats only. Some of the indices ...
Figure 3. CRSP total return NYSE market indices, 1925-2006. The bottom line in Figure 3 represents the value-weighted NYSE index whereas the top line is the equal- weighted index. The long eighty one year history of the indices shown in the chart hides an important detail that CRSP market...