CRSP Historical Indexes

CRSP Stock File Indexes

Available Indexes

• Market Capitalization groups and annually-rebalanced single decile portfolio series – equal and value-weighted
• S&P Composite Index level & price-only returns
• NASDAQ Composite Index level & returns
• Risk-Based Indexes and annually-rebalanced decile portfolio series based on:
  • Standard Deviation
  • Beta
• NYSE/NYSE American daily trade-only value-weighted index: non-ADR securities with trades on current and previous trading days
• CRSP US Total Market Index

Index Data items

• Equal- and value-weighted index returns, with and without distributions, levels, and counts
• Risk-based indexes and decile portfolio equal-weighted returns, levels, and counts
• 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)

CRSP Cap-Based Portfolios

The CRSP Cap-Based Portfolios examine the relationship between the size of market capitalization and returns. Reports with information on breakpoints, performance, and rebalancing are generated from the CRSP Cap-Based Portfolio Module.

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

CRSP Indexes for the S&P 500 Universe include daily and monthly index files with value- and equal-weighted returns, with and without dividends. 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. 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. It is available beginning 1973.

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 indexes: 30-year, 20-year, 10-year, 7-year, 5-year, 2-year, 1-year, 90-day, and 30-day target maturity indexes. The Consumer Price Index is included in this series. 

CRSP Select Index Series

The CRSP Select Treasury Indexes consist of 20-year, 5-year, and 90-day return indexes. 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 five years to maturity and closest to five 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.