CRSP Indexes for the S&P 500® Universe

CRSP Indexes for the S&P 500® Universe are standard CRSP Market Indexes derived from CRSP Stock Files, but include only issues from the CRSP stock data that are in the S&P 500 Universe.

The CRSP Indexes for the S&P 500 series contain value- and equal-weighted returns with and without dividends for stocks in the S&P 500 Universe. Daily and monthly data begin on December 31, 1925. The published S&P 500® index and returns are also included for comparison. For a security to be included in the CRSP Indexes for the S&P 500 Universe, it must have a price at the end of the current period, a price at the end of the previous period, and it must be a member of the S&P 500 Universe at the end of the current period.

Prior to March, 1957, the index contains 90 issues. CRSP does not have data for two securities between 1925 and 1931, as follows:

Company Name  Start Date  End Date
Int’l Mercantile Marine PFD Dec 31, 1925 July 22, 1929
Standard Power & Light “B” Feb 6, 1930 Nov 16, 1931

Due to differences in handling mergers, reorganizations, and other major corporate actions, CRSP data and the S&P 500 Universe do not always have a one to one mapping.

The count of securities used is not always 500 due to missing prices. Known reasons for missing prices are when issued trading, halts, and suspensions.

CRSP Portfolios for the S&P 500 Universe

The CRSP Portfolios for the S&P 500 Universe include an alternate value- and equal-weighted version of the CRSP Indexes for the S&P 500 Universe. The methodology differences are twofold:

  • Issues are selected based on membership in the S&P 500 at the end of the previous period instead of the end of the current period.
  • Delisting returns are used to evaluate the value of securities that delist before the end of a period they were selected.

 

S&P 500® is a registered trademark of Standard & Poor's Financial Services LLC (“SPFS”) and is used by CRSP with permission.  The S&P 500 index is a product of S&P Dow Jones Indices LLC (“S&P DJI”) and is used by CRSP in connection with the CRSP Indexes with permission from S&P DJI.  The CRSP Indexes are not sponsored, endorsed, or promoted by S&P DJI, SPFS, or any of their affiliates.