The Balancing Act
Steven Schoenfeld, in "Perfection Impossible," highlights that index development is a process with inherent contradictions and tensions. One tries to provide a good measure of the opportunity set for an asset class or style at a given point in time, but must balance the abstract desire for a perfect measure against practical considerations of fund operations. All major index providers tackle operational issues with features such as free-float adjustments and banding/migration schemes. CRSP is no different in this respect, though the attention we pay to costs borne by the investor separates the CRSP Indexes from others.