CRSP US Indices Databases

CRSP’s unique historical Indices Databases serve as benchmarks for the investment community, and as a foundation for academic research. Created according to clear, unbiased and systematic processes, these indexes undergo rigorous procedures to promote data accuracy, timeliness and consistency. Each CRSP index is offered as a series that contains decile subsets for market analysis.

The CRSP Indices database contains five groups of CRSP indices: the CRSP Stock File Indices, the CRSP Cap-Based Portfolios, the CRSP Indices for the S&P 500 Universe, the CRSP Treasury and Inflation (CTI) Indices, and the Andex Treasury Indices.

CRSP Stock File Indices

The CRSP Stock File Indices are a set of Market Indices and Decile Portfolio Indices provided on a daily, monthly, quarterly, and annual basis. The indices include five market groups of securities: the individual NYSE, AMEX, and NASDAQ markets, and NYSE/AMEX and NYSE/AMEX/NASDAQ market combinations.

Key features include :

NYSE data - All data series begin on December 31, 1925
AMEX - All data series begin on July 2, 1962
NASDAQ - All data series begin December 14, 1972
Equal-Weighted Indices (with & without distributions) & associated returns
Value-Weighted Indices (with & without dividends) & associated returns
NYSE/AMEX daily trade-only value-weighted index: non-ADR securities with trades on current and previous trading days
S&P Composite Index level & price-only returns.
- Daily - July 2, 1962 to present
- Monthly - December 31, 1925 to present
NASDAQ Composite Index level & returns
Market Capitalization-Based Decile Portfolio & associated returns
Market Statistics
Standard Deviation Excess Returns and Beta Excess Returns
Daily and monthly frequency index returns (calculations based on daily and monthly security holding period returns)
Quarterly and annual frequency index returns (calculated by compounding monthly index returns)
Can be a stand-alone product or an add-on module of the CRSP US Stock Database

CRSP Stock File Capitalization Decile Indices

CRSP Stock File Capitalization Decile Indices are calculated for each of the Stock File Indices market groups. All securities excluding American Depositary Receipts on a given exchange or combination of exchanges are ranked according to capitalization and then divided into ten equal parts each rebalancing period:

Portfolios are rebalanced annually .
Largest securities are placed in portfolio 10 and the smallest in portfolio 1
Value-Weighted Index Returns, including all dividends, are calculated for each portfolio.

CRSP Stock File Risk-Based Decile Indices

CRSP Stock File Risk-Based Decile Indices are created for the daily NYSE/AMEX and NASDAQ market combinations for two risk-based criteria. In these Market Segment Indices, portfolios are created by ranking securities according to a measurement of the risk of their returns:

Portfolios are r ebalanced annually
Portfolio 1 contains the securities with the highest statistics, and portfolio 10 contains the securities with the lowest statistics
An equal-weighted total return index is calculated for each portfolio for each calendar period.

CRSP Cap-Based Portfolios

The Cap-Based Portfolio data tracks micro, small, mid and large-cap stocks on monthly and quarterly frequencies. The methodology used to calculate the series differs from the CRSP Stock File Capitalization Decile Indices. For the Cap-Based Portfolios, CRSP ranks all NYSE companies by market capitalization and then divides them into ten equally populated portfolios. AMEX and NASDAQ stocks are then placed into the deciles determined by the NYSE breakpoints, based on their market capitalization. The largest capitalizations in each decile serve as the breakpoints that are applied to various exchange groupings. CRSP portfolios 1-2 represent large cap stocks, portfolios 3-5 represent mid-caps, portfolios 6-8 represent small caps, and portfolios 9-10 represent our benchmark micro-caps.

Portfolios are rebalanced quarterly.
Includes all common stocks listed on the NYSE, AMEX, and NASDAQ National Market
Excludes Unit Investment Trusts, Closed-End Funds, REITs, Americus Trusts, foreign stocks and American Depositary Receipts
NYSE, NYSE /AMEX, NYSE/AMEX/NASDAQ returns are also calculated for: CRSP 1-2, CRSP 3-5, CRSP 6-8, CRSP 9-10, CRSP 6-10 and CRSP 1-10. Portfolio Assignments are available as a CRSPAccess stock module. The stock and indices types must match (monthly).

CRSP Indices for the S&P 500® Universe; S&P 500 Composite and NASDAQ Composite

CRSP Indices for the S&P 500 Universe include two sets of daily and monthly index files with value- and equal-weighted returns, with and without dividends. Their portfolio returns calculation methodologies differ slightly. Monthly and daily returns and index levels are available from 1925 to the present.

CRSP publishes the levels of the S&P 500 Composite Index and NASDAQ Composite Index and calculates returns on the levels. Published S&P 500 and NASDAQ Composite Index Data are provided with the daily and monthly CRSPAccess Stock Files.

The S&P 500 Composite Index is a value-weighted index created by Standard & Poor’s. Since March 1957, the index contains 500 securities.

Prior to March 1957, the index was called the S&P 90 and consisted of only 90 securities.
These have been combined into a single time series.
Index levels and returns exclude dividends.
Daily Index levels and returns are available beginning July 1962.
Monthly Index levels and returns are available from 1925 to the present.

The NASDAQ Composite Index is a value-weighted index created by the NASDAQ Stock Market.
- Index levels and returns exclude dividends.

CRSP US Treasury and Inflation Series

The Treasury and Inflation Series (CTI) Files are provided on a monthly frequency. The series contains returns adapted from the CRSP US Treasury Fixed Term Index Series, the CRSP Risk Free Rates File, and the US Government Consumer Price Index. These derived files offer 10 groups of indices: 30 year, 20 year, 10 year, 7 year, 5 year, 2 year, 1 year, 90 day, and 30 day target maturity indices, as well as the Consumer Price Index.

Andex Treasury Index Series

The Andex Treasury Indices consist of 20-year, 5-year, and 90-day return indices. For the 20-year index, a bond with at least 19.5-years to maturity and closest to 20-years is selected at the beginning of the year. Monthly returns are calculated using the chosen bond. For the 5-year index, a bond with at least 5-years to maturity and closest to 5 years is selected at the beginning of the year. For the 90-day index, the Treasury Bill closest to 90-days maturity is chosen each month. The ANDEX Index Series is provided in ASCII format only.

Delivery

With stock subscription:
CRSP Indices data is stored in the proprietary CRSPAccess format. CRSPAccess includes:

Utility software for processing and sub-setting data for non-programmers
- Direct- or sequential-access programming support, via CRSP-provided access functions with pre-compiled FORTRAN-95 and C-language software libraries
Data is delivered in little- and big-endian binary format on DVD.
Secondary formats include ASCII, Microsoft Excel®, and SAS.
CRSP also has a command-line application, ind_print, that can be used to extract index and decile level data and statistics.
Third party access is provided via the WRDS (Wharton Research Data Services) internet platform (for academic and government subscribers only).
Portfolio assignments are available as a module to the associated daily or monthly stock data file.

Stand-alone (no stock subscription):
- Data is delivered in Excel, ASCII, and SAS
Schedule:

Annual Updates: The database is updated with data for the most recent year, and the annual update is made available the following February.
Monthly and Quarterly Updates: The database is updated with data for the most recent month or quarter, and the updates are made available after the 12th trading day of the following month. (Quarterly data is based on calendar quarters: March, June, September, and December.)

For additional information regarding the CRSP US Indices Databases, please contact subscriptions@crsp.ChicagoGSB.edu or call Subscriptions at 312-263-6400.