Stock File Indexes

The CRSP Stock File Indexes are a set of Market Indexes and Decile Portfolio Indexes provided daily, monthly, quarterly, and annually for five market groups of securities. The market groups of securities for which indexes are calculated are the individual NYSE, NYSE MKT, NASDAQ and NYSE Arca markets, the NYSE/NYSE MKT, NYSE/NYSE MKT/NASDAQ, and the NYSE/NYSE MKT/NASDAQ/NYSE Arca market combinations. Published S&P 500 and NASDAQ Composite Index Data are also included.

The ranges for individual exchange data are listed below. The series containing combinations of exchanges begin at the earliest point that data for any of the exchanges is available.

  • The New York Stock Exchange (NYSE) all series begins December 31, 1925
  • NYSE MKT all series begins July 2, 1962
  • The NASDAQ Stock Market (NASDAQ) all series begins December 14, 1972
  • The NYSE Arca Exchange (Arca) all series begins March 8, 2006

NOTE: Quarterly and annual index returns are not available for the series including Arca.

Daily and monthly index returns are calculated based on daily and monthly security holding period returns respectively. Quarterly and annual frequency index returns are calculated by compounding monthly index returns.

CRSP Market Indexes

An Equal-Weighted Index and a Value-Weighted Index are calculated for each market group. Each index contains index returns with and without dividends, index weights and counts.

The Equal-Weighted Index is an Equal-Weighted Portfolio built each calendar period from all issues listed on the selected exchanges with valid prices on the current and previous periods.

The Value-Weighted Index is a Value-Weighted Portfolio built each calendar period using all issues listed on the selected exchanges with available shares outstanding and valid prices in the current and previous periods, excluding American Depositary Receipts. Issues are weighted by their Market Capitalization at the end of the previous period.

An additional daily trade-only value-weighted index is available for NYSE/NYSE MKT. This index uses the same methdology as the NYSE/NYSE MKT Value-Weighted Market Index, but only includes non-ADR securities with trades on current and previous trading days.

Index Levels of CRSP Market Indexes are set to 100.0 on December 29, 1972.

The NYSE/NYSE MKT/NASDAQ/Arca Market Indexes are available in Daily and Monthly Stock Files. Other exchange combinations are available in the CRSP US Index Database and Security Portfolio Assignment Module.

Published S&P 500 and NASDAQ Composite Index Data

The S&P 500 Composite Index is a value-weighted index created by Standard & Poor’s. Since March 1957, the index contains 500 securities. Prior to that time the index contained 90 securities. These have been combined into a single time series. S&P Composite levels are collected from public sources such as the Dow Jones New Service, the Wall Street Journal and the Standard & Poor’s Statistical Service.

The NASDAQ Composite Index is a value-weighted index created by the NASDAQ Stock Market.

Published S&P 500 and NASDAQ Composite Index Data are provided with the daily and monthly CRSPAccess Stock Files. Index levels and returns exclude dividends. As a result, the Return with Dividends variable returns a -88, or missing return code, for both indexes. Total returns and membership data for the S&P 500 are available to subscribers of the CRSPAccess Index Files.

CRSP Stock File Capitalization Decile Indexes

CRSP Stock File Capitalization Decile Indexes are calculated for each of the Stock File Indexes market groups. All securities excluding American Depositary Receipts on a given exchange or combination of exchanges are ranked according to capitalization and then divided into ten equal parts each rebalancing period.

The portfolios are rebalanced each year, using the security market capitalization at the end of the previous year to rank the securities. If a security starts trading in the middle of a year, its first capitalization of the year is used in the ranking. The largest securities are placed in portfolio 10 and the smallest in portfolio 1. A security not assigned to a portfolio is not used in the index and has its Portfolio Assignment set to 0.

Value-Weighted Index Returns including all dividends are calculated on each of the ten portfolios. Index levels are calculated based on an initial value of 100.0 on December 29, 1972.

Each set of decile indexes represents one Index Group of index results and one Portfolio Type of portfolio assignments and statistics. Ten Index Series are created for each Portfolio Type.

CRSP Stock File Risk-Based Decile Indexes

CRSP Stock File Risk-Based Decile Indexes are created for the daily NYSE/NYSE MKT and NASDAQ market combinations for two risk-based criteria. In these Market Segment Indexes, portfolios are created by ranking securities according to a measurement of the risk of their returns. One ranking uses beta values computed using the methods developed by Scholes and Williams (Myron Scholes and Joseph Williams, “Estimating Betas from Nonsynchronous Data”, Journal of Financial Economics, vol 5, 1977, 309-327). The other ranking uses the annual standard deviation of the daily returns for its ranking.

The methodologies used to calculate these statistics are described in the CRSP Calculations section under Scholes- Williams Beta and Standard Deviation.

CRSP Stock File Risk-Based Decile Indexes are rebalanced each year by ranking the statistics at the end of the previous year. If there are no data for the previous year for an issue but a valid statistic can be calculated for the current year, that statistic is used in the rankings. CRSP Beta Deciles are ranked with Portfolio 1 containing the securities with the largest positive betas and 10 containing securities with the smallest and most negative.  CRSP Standard Deviation Deciles are ranked with Portfolio 1 containing the securities containing the largest standard deviations and portfolio 10 containing securities with the lowest.

Once securities are assigned to portfolios, an equal-weighted total return index is calculated for each portfolio each calendar period. Trade-only security total returns are used for the NYSE/NYSE MKT Beta Portfolios only. Index levels are calculated based on an initial value of 100.0 on December 29, 1972.

Each set of decile indexes represents one Index Group of index results and one Portfolio Type of portfolio assignments and statistics. Ten Index Series are created for each Portfolio Type.