Key Data Items

• Equal- and value-weighted index returns, with and without distributions, levels, and counts
• S&P Composite Index level and price-only returns
• NASDAQ Composite Index level and returns
• 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)

Index Database Groups

• CRSP Stock File Indexes
• CRSP Cap-Based Portfolios
• CRSP Indexes for the S&P 500 Universe
• S&P 500 Composite Index level and price-only returns
• NASDAQ Composite Index level and returns
• CRSP Treasury and Inflation (CTI) Indexes
• CRSP Select Treasury Indexes

Stock File Indexes

The CRSP Stock File Indexes are broad market index and decile portfolios calculated on daily, monthly, quarterly, and annual bases. 

• Equal- and value-weighted indexes are calculated for combinations of the NYSE, NYSE American, NYSE Arca and NASDAQ Exchanges. 
• Broad market equal- and value-weighted, standard deviation, and beta indexes and decile portfolios are calculated on the NYSE, NYSE American, NYSE Arca and NASDAQ Exchanges.

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.

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.

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. 

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. 

S&P 500® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”) and is used by CRSP with permission.  The S&P 500 index is a product of S&P Dow Jones Indices LLC (“S&P DJI”) and is used by CRSP in connection with the CRSP Indexes with permission from S&P DJI.  The CRSP Indexes are not sponsored, endorsed, or promoted by S&P DJI, SPFS, or any of their affiliates.

• CRSP Historical Indexes data is delivered via the Cloud utilizing MOVEit Managed File Transfer cloud software.
• Available as Excel, SAS, ASCII and R flat file formats
• Monthly, quarterly, or annual delivery