CRSP Indexes Update
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Index Returns & Constituent Lists
Choose from the list below of indexes to download Excel spreadsheets.
About the Data
All daily and monthly spreadsheets post total returns for the CRSP indexes.
Constituents and weights are posted for May 2017. Dates are End of Day (EOD) on the last trading day of the month (May 31st).
Total Market and Capitalization index monthly returns are generated from the backtest data from June 2001 through March 2011. Returns from April 2011 forward are generated from our live index production process.
Value and Growth Indexes monthly returns are generated from CRSP’s backtest through the full period, June 2001 through September 2012. Live production results begin September 10, 2012.
The Industry Sector Indexes were developed using the FTSE Industry Classification Benchmarks.
Daily returns begin with the Index inception date with the starting value set to 1000: April 1, 2011, for Total Market and all Capitalization indexes, September 10, 2012, for all Value and Growth indexes, and February 1, 2012, for Industry Sector Indexes, with the exception of the REIT Index.. Inception dates precede the dates on which the indexes are initially disseminated via NASDAQ GIDS. Total Market and Capitalization indexes were disseminated via NASDAQ GIDS on August 15, 2011. Value and Growth indexes on October 1, 2012. Industry Sector Indexes were disseminated via NASDAQ GIDS on July 16, 2012. Total returns are gross returns; they do not include any tax considerations.
By accessing this report, you are indicating that you have read, and consent to be bound by these terms. The content of this report may not be used as a basis for any financial instruments or products (including, without limitation, passively managed funds and index-linked derivative securities), or used to verify or correct data in any other compilation of data or index, or used to create any other data or index, without the prior written consent of The University of Chicago on behalf of its Center for Research in Security Prices at Chicago Booth, (“CRSP®”). The report is provided to you “as is.” Neither CRSP® nor any of its data providers makes any representation or warranty of any kind to you or to any third parties, either express or implied, with respect to the content of this report. Further, CRSP® and its data providers expressly disclaim, and you hereby waive, any and all implied warranties, including, without limitation, warranties of accuracy, completeness, non-infringement, merchantability, and fitness for a particular purpose. Neither CRSP® nor any of its data providers will be liable or have any responsibility of any kind for any loss or damage that you incur resulting from the act or omission of any other party involved in compiling, computing, or creating the report or the data contained therein, whether or not the circumstances giving rise to such cause may have been within the control of CRSP® or of any vendor. Total Market and Capitalization index monthly returns are generated from the backtest data from June 2001 through March 2011. Returns for these indexes from April 2011 forward are generated from our live index production process. Value and Growth Indexes monthly returns are generated from CRSP’s backtest from June 2001 through June 2012. The daily return series for all indexes is generated from CRSP’s live index production process. As is common industry practice, CRSP® backtest data does not include float shares. Descriptive statistics are based upon current index constituents. Backtest results are not indicative of future performance.
Parties who wish to receive the CUSIPs included in the above spreadsheets may receive them from CRSP®, provided they are either (a) a party to an existing CRSP® Data Standard Subscription Agreement for the CRSP® US Stock Database, or (b) a bona fide commercial entity that has entered into a CRSP® Level I Index Evaluation Dataset Licensing Agreement.
Once CRSP® has confirmed that a party wishing to receive the CUSIPs included in the above spreadsheets is either a party to an existing CRSP® Data Standard Subscription Agreement for the CRSP® US Stock Database or a bona fide commercial entity that has entered into a CRSP® Level I Index Evaluation Dataset Licensing Agreement, CRSP® will email a spreadsheet including CUSIPs to the relevant subscriber contact.