CRSP Historical Indexes

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. 

Tabs

Knowledge Base

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.

EXAMPLE:

We create two portfolios. Port1 has two PERMNOs (10106 and 10107) and Port2 contains only one PERMNO 10107. PERMNO 10106 was delisted on 19950105.

PERMNO Begdt - Enddt
10106 19860312 - 19950105
PERMNO Begdt - Enddt
10107 19860313 - 20071130

Beginning 19950106, the first day PERMNO 10106 is no longer in the portfolio and the returns in Port1 match the returns on Port2.

  Weight Usdcnt Ret
port1 19950103 35565600.00 2 -0.015290
port1 19950104 35021812.50 2 0.007232
port1 19950105 35275100.00 2 -0.016467
port1 19950106 34642125.00 1 0.016771
port1 19950109 35223125.00 1 -0.006186
port1 19950110 35005250.00   0.012448
  Weight Usdcnt Ret
Port2 19950103 35513625.00 1 -0.015337
Port2 19950104 34968937.50 1 0.007269
Port2 19950105 35223125.00 1 -0.016495
Port2 19950106 34642125.00 1 0.016771
Port2 19950109 35223125.00 1 -0.006186
Port2 19950110 35005250.00 1 0.012448

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 MKT, and NASDAQ exchanges.

First character represents the frequency

D Daily
M Monthly
Q Quarterly
A Annual

Second and third characters represent the data

SI Stock + Indexes
SS Stock + Standard Deviation
SB Stock + Beta

Fourth character represents the exchange

A NYSE
B NYSE MKT US
C NYSE + NYSE MKT US
O Nasdaq
R NYSE Arca
X NYSE + NYSE MKT US + Nasdaq
Y NYSE + NYSE MKT US + Nasdaq + NYSE Arca