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 a market of stocks in the S&P 500® Universe. Daily and monthly data beginning December 25, 1925 are provided. 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. See CRSP Market Indexes for the variables calculated and the methodology used.
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||31-dec-1925||22-jul-1929|
|STANDARD POWER & LIGHT “B”||06-feb-1930||16-nov-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. In some cases this results in a short period where CRSP is missing prices or has multiple prices per company listed by S&P.
The Count of Securities Used is not always 500 (90 prior to March 1957) 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:
- 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.