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 and ASCII formats and listed below:

File Name
(*.sas7bdat or *.dat)
SAS Size ASCII Size Start Date Description
Cap 4.66 GB 8.33 GB 4/1/2011 CRSP Market Cap Index levels – second by second
Vg 4.43 GB 7.87 GB 9/10/2012 CRSP Value Growth Index levels – second by second
Sector 4.85 GB 8.54 GB 9/21/2012 CRSP Sector Index levels – second by second
Eod_cap <1 MB <1 MB 3/31/2011 CRSP Market Cap Index levels – end of day
Eod_vg <1 MB <1 MB 9/7/2012 CRSP Value Growth Index levels – end of day
Eod_sector <1 MB <1 MB 9/20/2012 CRSP Sector Index levels – end of day
Total Zip File Size 8.79 GB 6.55 GB N/A Zipped File
Total File Size 13.95 GB 24.76 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.

UPDATE APRIL 2014: Six new indexes have been added to the files. Included in the Small/Mid Capitalization suite are Total Return and Price-only indexes, and Value and Growth Total Return and Price-only indexes.  New indexes are included in columns to the far right of each file. 

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CRSP US Index History Files - Intraday Guide