Data Definitions - CRSP US Index Descriptor and Identification Items

Index Name

General Information
Data Type character
Unit of Item Id
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID indname
Header Indname
.dat File Format %-79s
C Usage
Object indhdr_val
Array indhdr[ ]
Element indname

Beginning Date of Index

General Information
Data Type integer number
Unit of Item YYYYMMDD date
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID indbegdt
Header Begdt
.dat File Format %8d
C Usage
Object indhdr_val
Array indhdr[ ]
Element begdt

Ending Date of Index

General Information
Data Type integer number
Unit of Item YYYYMMDD date
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID indenddt
Header Enddt
.dat File Format %8d
C Usage
Object indhdr_val
Array indhdr[ ]
Element enddt

Index Methodology

The Methodology Code defines the basic methodology used to create and populate an index. It incorporates the combination of Primary and Secondary Methodology Type Codes, Reweighting Type and Timing codes.

Method Method Name
1 CRSP Cap-Based Portfolios
2 CRSP Sic-Based Indices
3 CRSP Risk-Based Indices
4 CRSP Value-Weighted Market Indices
5 CRSP Equal-Weighted Market Indices
6 CRSP Capitalization Decile Market Indices
7 S&P 500 Composite
8 CRSP S&P 500 Universe Value-Weighted
9 S&P 500 Universe Equal-Weighted
10 Nasdaq Composite
11 SBBI
12 Selected Treasury Issue
13 Selected Treasury Bill
14 U.S. Government Provided
15 Ziman REIT Universe Value-Weighted
16 Ziman REIT Universe Equal-Weighted
17 CRSP Investable Indexes
General Information
Data Type integer number
Unit of Item code
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID method
Header Method
.dat File Format %6d
C Usage
Object indhdr_val
Array indhdr[ ]
Element method

Index Listing Exception Rules

Index Exception Type Code is an integer code that defines the basic exception rules that are applied in building and populating an index or portfolio.

General Information
Data Type integer number
Unit of Item code
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID listrule
Header Exception
.dat File Format %6d
C Usage
Object indhdr_val
Array indhdr[ ]
Element exception
List Rule Exception Name
0 Unknown or not applicable
1 CRSP Market Index Rules
2 Cap-Based Portfolio Rules
3 CRSP Market Index Trade-only Prices Rules
4 CRSP Investable Indexes

Universe Subset

The Universe Subset Code is an integer code defining a set of restrictions that determine the universe of securities used to create an index or partitions of an index. It is comprised of a set of subset codes. Codes apply to indexes and partitions of indexes. Item names for Universe Subset Code and sub codes begin with (p) when used with partitions of indexes and (u) when used with indexes.

General Information
Data Type integer number
Unit of Item code
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID puniverse
Header PortUniv
.dat File Format %6d
Univ Code Universe Name
0 identifier restriction not applicable
10 NYSE common excluding foreigns, ADRs, REITS, closed-end funds
11 NYSE/NYSE MKT common excluding foreigns, ADRs, REITS, closed-end funds
12 NYSE/NYSE MKT/NMS common excluding foreigns, ADRs, REITS, closed-end funds
20 NYSE common excluding ADRs
21 NYSE MKT common excluding ADRs
22 NYSE/NYSE MKT common excluding ADRs
23 NASDAQ common excluding ADRs
24 NYSE/NYSE MKT/NASDAQ common excluding ADRs
30 NYSE common
31 NYSE MKT common
32 NYSE/NYSE MKT common
33 NASDAQ common
34 NYSE/NYSE MKT/NASDAQ common
35 NYSE common excluding ADRs and foreigns
36 NYSE MKT common excluding ADRs and foreigns
37 NYSE/NYSE MKT common excluding ADRs and foreigns
38 NASDAQ common excluding ADRs and foreigns
39 NYSE/NYSE MKT/NASDAQ common excluding ADRs and foreigns
40 Arca common excluding ADRs
41 Arca common
42 Arca common excluding ADRs and foreigns
50 NYSE/NYSE MKT/NASDAQ/Arca common excluding ADRs
51 NYSE/NYSE MKT/NASDAQ/Arca common
52 NYSE/NYSE MKT/NASDAQ/Arca common excluding ADRs and foreigns
60 CRSP Investable Index - Eligible Universe
61 CRSP Investable Index - Investable Universe

Index Rebalance Rule

Index Rebalance Type Code is an integer code that defines the rebalancing frequency of an index or portfolio. Rebalancing utilized three calendars that are synchronized and share the same codes.

assigncode Index Rebalance Type Code rebalance, assign, calc codes
0 unknown or not applicable 0
1 Annual Rebalancing 300
2 Quarterly Rebalancing 310
3 Monthly Rebalancing 101
General Information
Data Type integer number
Unit of Item code
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID rebalrule
Header Rebalance
.dat File Format %6d

Index Rules

Index Rule Types Code is an integer code that defines the basic portfolio methodology rules used in building indexes. Rule subtypes include Buy and Sell Rules that are currently not populated and are reserved for future use, Statistics Rules Codes, and Grouping Codes.

General Information
Data Type integer number
Unit of Item code
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID calcrule
Header CalcRule
.dat File Format %6d
Calc Rule Index Rule Types Codes
0 unknown or not applicable
1 previous period-end Issue Capitalization
2 previous period-end Company Capitalization
3 previous period Scholes-Williams Beta
4 previous period Standard Deviation
5 CRSP Investable Indexes

Index Item Availability

Availability Code identifies the data items and frequency of index and index-related items that are available for each index.

General Information
Data Type integer number
Unit of Item code
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID availability
Header Availability
.dat File Format %-7.7s

Index Family

Index Family defines the family of which and INDNO is a part. In some cases it is a one-to-one relationship between the INDNO and the Index Family.

General Information
Data Type integer number
Unit of Item code
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID indfam
Header Index Family
.dat File Format %7d

Portfolio number

General Information
Data Type integer number
Unit of Item code
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID portnum
Header Portnum
.dat File Format %6d

Index Base Level

Level to which the index is set on the base date. Base level for the capitalization and the Treasury and Inflation Series is set to 100, for Cap-based portfolios it is set to 1, and for investable indexes it is set to 1000.

General Information
Data Type floating point
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID baselvl
Header BaseLevel
.dat File Format %12.4lf

Index Base Date

Date on which the index levels are set: December 31, 1972, for Market Capitalization Indexes, December 31, 1925, for Cap-based Portfolios, and various dates for Investable Indexes.

General Information
Data Type integer number
Unit of Item YYYYMMDD date
Database Information
Database Formats CRSPAccess & CRSPSift
Item ID basedt
Header BaseDate
.dat File Format %8d