CRSP's unique historical indexes serve as benchmarks for the investment community and as a foundation for academic research. Created according to clear and unbiased methodologies, these indexes undergo rigorous review to ensure data accuracy, timeliness, and consistency. Each CRSP index is offered as a series that contains portfolios ranked in deciles.
The CRSP Index Database product contains five groups of CRSP indexes: CRSP Stock File Indexes, CRSP Cap-Based Portfolios, CRSP Indexes for the S&P 500 Universe, CRSP Treasury and Inflation (CTI) Indexes, and the CRSP Select Treasury Indexes.
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.
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.
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.
If I create a portfolio based on a list of PERMNOs and one or more of the securities associated with those PERMNOs were delisted prior to the end of the given period, how are the returns for the remainder of the period calculated?
Once delisted, an issue is given no weight in the portfolio. The returns reflect the value- or equal-weighted average of the returns of the remaining securities.
We create two portfolios. Port1 has two PERMNOs (10106 and 10107) and Port2 contains only one PERMNO 10107. PERMNO 10106 was delisted on 19950105.
Beginning 19950106, the first day PERMNO 10106 is no longer in the portfolio and the returns in Port1 match the returns on Port2.
What is the coding scheme for the CRSP stand-alone index files?
Referencing the following coding scheme will allow users to determine file names in the stand-alone index files. For example, the file DSIX.xls, is the Excel spreadsheet containing the daily indexes for the NYSE, NYSE American, and NASDAQ exchanges.