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section header Benchmarks

subsection header CRSP

Overview
About our benchmarks
CRSP
Center for Research in Security Prices
FTSE
The FTSE Global Equity Index Series
SPDJI
S&P Dow Jones Indices
Bloomberg
Fixed Income Indexes

CRSP’s benchmark methodology

 

The Center for Research in Security Prices (CRSP) at the University of Chicago Booth School of Business has played an integral role in financial and economic research since 1960. More than 500 leading academic, financial and government institutions in 35 countries rely on CRSP’s market research and databases.

CRSP Indexes blend advances in academic research with industry best practices. CRSP’s market-capitalization-weighted indexes introduced the concept of “packeting,” which cushions the movement of stocks between indexes as a company’s market capitalization fluctuates. Packeting allows holdings to be shared between two indexes and moves to be completed over time. This approach maximizes style purity while minimizing index turnover.

CRSP Indexes use breakpoints based on cumulative market capitalization rather than a fixed number of securities. So, CRSP Indexes can be expected to represent market segments over time.

CRSP Indexes also use these industry best practices:

  • Index construction based on objective rules
  • Float adjustments reflecting only available shares
  • Multifactor model to identify growth versus value
  • Gradual and orderly rebalancing to reflect market changes

CRSP website

 

Vanguard equity ETFs that use CRSP benchmarks

Vanguard ETF Ticker Target index Management fee1 Management expense ratio2
Vanguard U.S. Total Market Index ETF VUN CRSP US Total Market Index 0.15% 0.16%
Vanguard U.S. Total Market Index ETF (CAD-hedged) VUS CRSP US Total Market Index (CAD-hedged) 0.15% 0.16%

1 The management fee is equal to the fee paid by the fund to Vanguard Investments Canada Inc. to manage the fund and does not include applicable taxes or other fees and expenses of the fund. For any fund which invests in underlying Vanguard fund(s), there shall be no duplication of management fees chargeable in connection with the Vanguard fund and its investment in the Vanguard fund(s).

2 The management expense ratio (MER) is the audited MER as of December 31, 2020, including waivers and absorptions and is expressed as an annualized percentage of the daily average net asset value. The MER without any absorptions or waivers would have been 0.16% for VUN and 0.16% for VUS. Vanguard Investments Canada Inc. expects to continue absorbing or waiving certain fees indefinitely but may, in its discretion, discontinue this practice at any time.

All investments, including those that seek to track indexes, are subject to risk, including the possible loss of principal. Diversification does not ensure against a profit or protect against a loss in a declining market. While ETFs are designed to be as diversified as the original indexes they seek to track and can provide greater diversification than an individual investor may achieve independently, any given ETF may not be a diversified investment. Foreign investing involves additional risks, including currency fluctuations and political uncertainty.

Commissions, management fees, and expenses all may be associated with investment funds. Investment objectives, risks, fees, expenses, and other important information are contained in the prospectus; please read it before investing. Investment funds are not guaranteed, their values change frequently, and past performance may not be repeated. Vanguard funds are managed by Vanguard Investments Canada Inc. and are available across Canada through registered dealers.

This material is for informational purposes only. This material is not intended to be relied upon as research, investment, or tax advice and is not an implied or express recommendation, offer or solicitation to buy or sell any security or to adopt any particular investment or portfolio strategy. Any views and opinions expressed do not take into account the particular investment objectives, needs, restrictions and circumstances of a specific investor and, thus, should not be used as the basis of any specific investment recommendation. Investors should consult a financial and/or tax advisor for financial and/or tax information applicable to their specific situation.

All investment funds, including those that seek to track an index are subject to risk, including the possible loss of principal. Diversification does not ensure a profit or protect against a loss in a declining market. While the Vanguard ETFs are designed to be as diversified as the original indices they seek to track and can provide greater diversification than an individual investor may achieve independently, any given ETF may not be a diversified investment.

All monetary figures are expressed in Canadian dollars unless otherwise noted.