CRSP US Index History Files - Intraday Guide

The CRSP US Index History Files - Intraday include second-by-second levels of CRSP’s investable Equity Indexes and End of Day levels. The six files that comprise the data set are provided in SAS, ASCII and R formats and listed below:

File Name
(*.sas7bdat or *.dat)
SAS Size ASCII Size R Size Start Date Description
Cap 8.02 GB 14.33 GB 5.13 GB 4/1/2011 CRSP Market Cap Index levels – second by second
Vg 8.59 GB 15.25 GB 5.91 GB 9/10/2012 CRSP Value Growth Index levels – second by second
Sector 9.43 GB 16.61 GB 5.71 GB 9/21/2012 CRSP Sector Index levels – second by second
ESG 196 MB 256 MB 139 MB 9/7/2021 CRSP ISS ESG Index levels - second by second 
Eod_cap <1 MB <1 MB <1 MB 3/31/2011 CRSP Market Cap Index levels – end of day
Eod_vg <1 MB <1 MB <1 MB 9/7/2012 CRSP Value Growth Index levels – end of day
Eod_sector <1 MB <1 MB <1 MB 9/20/2012 CRSP Sector Index levels – end of day
Eod_ESG <1 MB <1 MB <1 MB 9/7/2021 CRSP ISS ESG Index levels - end of day
Total Zip File Size 17.42 GB 13.22 GB 16.55 GB N/A Zipped File
Total File Size 26.23 GB 46.55 GB 16.89 GB N/A Unzipped File

*Price level indexes start dates. Total Return level indexes start at various other dates listed in Index List details at the end of this document.

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CRSP US Index History Files - Intraday Guide