Question about index holdings

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Kelly
Posts: 255
Joined: Sun Nov 18, 2012 7:39 am

Question about index holdings

Post by Kelly » Tue Oct 20, 2015 4:31 pm

Vanguard SP 500 index's top three holdings are Apple, Microsoft, Exxon http://portfolios.morningstar.com/fund/ ... ture=en-US
The value index's top three holdings are Microsoft, Exxon, Johnson and Johnson http://portfolios.morningstar.com/fund/ ... ture=en-US

I can see how Exxon is in both because it has a large market cap and it's high price to book. But Microsoft isn't value according to the M* style box. I thought the value index is sorted by price to book. I'm missing something.

Can anyone shed some light?

Many thanks

Kelly

DSInvestor
Posts: 10901
Joined: Sat Oct 04, 2008 11:42 am

Re: Question about index holdings

Post by DSInvestor » Tue Oct 20, 2015 4:39 pm

Vanguard Value Index tracks CRSP Large Cap Value Index.

Here's a link to CRSP Large Cap Value Index:
http://www.crsp.com/products/investment ... alue-index
CRSP wrote:Once securities are assigned to a size-based market cap index, they are made eligible for assignment to a growth or value index using CRSP’s multifactor model. Securities are scored and ranked for both Value and Growth factors, then ranked. CRSP employs a version of banding and migration between Value and Growth similar that can occasionally result in splitting securities between the two style assignments.

CRSP classifies growth securities using the following factors: future long-term growth in earnings per share (EPS), future short-term growth in EPS, 3-year historical growth in EPS, 3-year historical growth in sales per share, current investment-to-assets ratio, and return on assets.

CRSP classifies value securities using the following factors: book to price, forward earnings to price, historic earnings to price, dividend-to-price ratio and sales-to-price ratio.
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