File Specifications

The tables in the following pages detail the exact specifications of the formatted CRSP ASCII files. Each table represents one file. The table names match the names in the layout descriptions. The “Character Positions” column shows where in the character record each field is positioned. The “Associated Name” column refers to the data item defined in the Data Definitions.

CRSP Stock Decile Indexes File Specifications

This section shows the exact specifications of a formatted CRSP Stock Decile Indexes File. A CRSP Stock Decile Indexes File contains a record for each trading date in the file, sorted by date. Records are all fixed-length 468 characters long with dates containing years in YYYY format. Fields are delimited by spaces. All files are written in ASCII , Excel, and SAS on the cloud. These files are only available if you subscribe to the CRSP US Index Database and Security Portfolio Assignment Module.

There are 10 portfolios described by Return on Decile (DECRET) and Index Level Associated with the Return on Decile (DECIND). The Return on Decile is in character positions 146+28*(I-1) through 158+28*(I-1) and the Index Level Associated with the Return is in character positions 160+28*(I-1) through 172+28*(I-1). The Stock Decile Indexes Record table contains each return and index level field in a record.

Character Position Data Type Associated Name Associated Mnemonic Format (Scientific Notation) Suggested Alternative Format
2-9 INTEGER Calendar Trading Date CALDT I8 I8
11-23 REAL Total Return Value-Weighted Index VWRETD E13.6 F10.6
25-37 REAL Index Level Associated with the Total Return on Value-Weighted Index VWINDD E13.6 F10.6
39-51 REAL Return (Excluding Dividends) on Value-Weighted Index VWRETX E13.6 F10.6
53-65 REAL Index Level Associated with the Return (Excluding Dividends) on Value-Weighted Index VWINDX E13.6 F10.6
67-79 REAL Total Return Equal-Weighted Index EWRETD E13.6 F10.6
81-93 REAL Index Level Associated with the Total Return on Equal-Weighted Index EWINDD E13.6 F10.6
95-107 REAL Return (Excluding Dividends) on Equal-Weighted Index EWRETX E13.6 F10.6
109-121 REAL Index Level Associated with the Return (Excluding Dividends) on Equal-Weighted Index EWINDX E13.6 F10.6
123-135 REAL S&P 500 Composite Index Return/ NASDAQ Composite Return (in NASDAQ index files) SPRTRN or NCRTRN E13.6 F10.6
137-144 REAL S&P 500 Composite Index Level or NASDAQ Composite Leve (in NASDAQ index files) SPINDX or NCINDX E13.6 F10.6
146-158 REAL Return on Decile 1 DECRET(1) E13.6 F10.6
160-172 REAL Index Level Associated with the Return on Decile 1 DECIND(1) E13.6 F10.6
  REAL Return on Deciles (2-9) DECRET(n) E13.6 F10.6
  REAL Index Level Associated with the Return on Deciles (2-9) DECIND(n) E13.6 F10.6
398-410 REAL Return on Decile 10 DECRET(10) E13.6 F10.6
412-424 REAL Index Level Associated with the Return on Decile 10 DECIND(10) E13.6 F10.6
427-440 REAL Total Value of Index TOTVAL E15.8 F14.2
442-446 INTEGER Total Count of Index TOTCNT I5 I5
448-462 REAL Market Value of Securities Used USDVAL E15.8 F14.2
464-468 INTEGER Count of Securities Used USDCNT I5 I5

CRSP Cap-Based Portfolios File Specifications

This section shows the exact specifications of the Cap-Based Portfolios monthly results and rebalancing reports. The monthly results report contains a record for each decile or composite portfolio for each month, sorted by date, then portfolio. Records are all fixed-length 94 characters long for the YYYY format. Fields are delimited by spaces. The rebalancing report contains a record for each decile portfolio each quarter, sorted by date, then portfolio. Fields are delimited by pipe characters ( | ). All files are written in ASCII character, Excel Worksheets (5.0) and SAS with line feed record delimiters standard on Unix and readable in most PC applications.

Monthly History Records

The Monthly History Record table contains the format of each field. The character positions show where in the 94 character record each field is positioned. The data type shows whether the field contains character, real, or integer data.

Character Position Data Type Associated Name Associated Mnemonic Format (Scientific Notation) Suggested Alternative Format
1-8 INTEGER Calendar Trading Date - YYYYMMDD format CALDT I8 I8
10-13 CHARACTER Portfolio Sequence Number PRTNAM A4 A4
15-18 INTEGER Portfolio Issue Count PRTCNT I4 I4
20-30 REAL*8 Portfolio Weight PRTWGT F11.0 F11.0
32-41 REAL Return on Portfolio TOTRET F10.6 F10.6
43-51 REAL Index Level Associated with Total Return on Portfolio TOTIND F9.3 F9.3
53-62 REAL Capital Appreciation on Portfolio CAPRET F10.6 F10.6
64-72 REAL Index Level Associated with Capital Appreciation on Portfolio CAPIND F9.3 F9.3
74-83 REAL Return on Income Portfolio INCRET F10.6 F10.6
85-93 REAL Index Level Associated with Income Return on Portfolio INCIND F9.3 F9.3

Quarterly Rebalancing Records

The Quarterly Rebalancing Record table contains the format of each field. The character positions show where in the 102 character record in YYYY format each field is positioned. The data type shows whether the field contains character, real, or integer data.

Character Position Data Type Associated Name Associated Mnemonic Format (Scientific Notation) Suggested Alternative Format
1-6 INTEGER Year and Month of Quarter YYYYMM I6 I6
8-9 INTEGER Portfolio Number of Decile PRTNO I2 I2
11-15 INTEGER Portfolio Company Count PRTCCT I5 I5
17-25 REAL Capitalization of Smallest Company in Portfolio MINCWT F9.0 F9.0
27-58 CHARACTER Portfolio Smallest Company Name MINCNM A32 A32
60-68 REAL Capitalization of Largest Company in Portfolio MAXCWT F9.0 F9.0
70-101 CHARACTER Portfolio Largest Company Name MAXCNM A32 A32

CRSP Indexes on the S&P 500

This section shows the exact specifications of the CRSP Index Files for the S&P 500® universe. The files contain a record for each date, and are sorted by date. Records are all fixed-length 132 characters long. Fields are delimited by spaces. These are the same format as used by CRSP stock file Calendar/Index files and can used with CRSP stock file Calendar/Index access subroutines. All files are written in ASCII, Excel , and SAS with linefeed delimiters standard on Unix and readable in most PC applications.

Character Position Data Type Associated Name Associated Mnemonic Format (Scientific Notation) Suggested Alternative Format
2-9 INTEGER Calendar Trading Date - YYYYMMDD format CALDT I8 I8
11-23 REAL Total Return Value-Weighted Index VWRETD E13.6 F10.6
25-37 REAL Return (Excluding Dividends) on Value-Weighted Index VWRETX E13.6 F10.6
39-51 REAL Total Return Equal-Weighted Index EWRETD E13.6 F10.6
53-65 REAL Return (Excluding Dividends) on Equal-Weighted Index EWRETX E13.6 F10.6
67-81 REAL Total Value of Index TOTVAL E13.6 F14.2
83-87 INTEGER Total Count of Index TOTCNT E13.6 I5
89-103 REAL Market Value of Securities Used USDVAL E13.6 F14.2
105-109 INTEGER Count of Securities Used USDCNT E13.6 I5
111-118 REAL S&P 500 Composite Index Level SPINDX E13.6 F8.2
120-132 REAL S&P 500 Composite Index Return SPRTRN E13.6 F10.6

CRSP U.S. Treasury and Inflation Indexes (CTI)

This section shows the exact specifications of a formatted CTI Data File. A CTI File contains a record for each monthly trading date in that Data File, sorted by date. Records are all fixed-length 290 characters long in the YYY format. Fields are delimited by spaces. Floating point numbers are written using the FORTRAN E format specifier to ensure a constant number of significant digits. Data are provided in ASCII, Excel, and SAS output.

Character Position Data Type Associated Name Associated Mnemonic Format (Scientific Notation) Suggested Alternative Format
2-9 INTEGER Calendar Trading Date - YYYYMMDD format CALDT I8 I8
11-23 REAL Return on 30 Year Bonds B30RET E13.6 F10.6
25-37 REAL Index Level Associated with the 30 Year Bond Returns B30IND E13.6 F10.6
39-51 REAL Return on 20 Year Bonds B20RET E13.6 F10.6
53-65 REAL Index Level Associated with the 20 Year Bond Returns B20IND E13.6 F10.6
67-79 REAL Return on 10 Year Bonds B10RET E13.6 F10.6
81-93 REAL Index Level Associated with the 10 Year Bond Returns B10IND E13.6 F10.6
95-107 REAL Return on 7 Year Bonds B7RET E13.6 F10.6
109-121 REAL Index Level Associated with the 7 Year Bond Returns B7IND E13.6 F10.6
123-135 REAL Return on 5 Year Bonds B5RET E13.6 F10.6
137-149 REAL Index Level Associated with the 5 Year Bond Returns B5IND E13.6 F10.6
151-163 REAL Return on 2 Year Bonds B2RET E13.6 F10.6
165-177 REAL Index Level Associated with the 2 Year Bond Returns B2IND E13.6 F10.6
179-191 REAL Return on 1 Year Bonds B1RET E13.6 F10.6
193-205 REAL Index Level Associated with the 1 Year Bond Returns B1IND E13.6 F10.6
207-219 REAL Return on 90-Day Bills T90RET E13.6 F10.6
221-233 REAL Index Level Associated with the 90 Day Bill Returns T90IND E13.6 F10.6
235-247 REAL Return on 30-Day Bills T30RET E13.6 F10.6
249-261 REAL Index Level Associated with the 30 Day Bill Returns T30IND E13.6 F10.6
263-275 REAL Consumer Price Index Rate of Change CPIRET E13.6 F10.6
277-289 REAL Index Level Associated with the Rate of Change in Consumer Price Index CPIIND E13.6 F10.1

The CTI Records table contains the format of each calendar and index field. The character positions show where in the 290 character record in YYYY format for each field is positioned. The FORTRAN format is the format that is written on the file. The alternative format indicates the size and type of data found in the field. The data type shows whether the field contains real or integer data.

CRSP Select (Fomerly Andex)

The following three tables show the file specifications for the bond series formerly created for Andex. Output is limited to ASCII format.

5-Year

Character Position Data Type Associated Name Associated Mnemonic Format
(Scientific Notation)
Suggested
Alternative Format
2-9 INTEGER Quote Date   I8 I8
11-25 CHARACTER CRSPID   A15 A15
27-34 REAL Days to Maturity   F8.3 F8.3
36-42 REAL Annualized Yield-to-Maturity   F7.3 F7.3

20-Year

Character Position Data Type Associated Name Associated Mnemonic Format
(Scientific Notation)
Suggested
Alternative Format
2-9 INTEGER Quote Date   I8 I8
11-25 CHARACTER CRSPID   A15 A15
27-35 REAL Days to Maturity   F8.3 F8.3
37-48 REAL Total Return   F9.3 F9.3

90-Day

Character Position Data Type Associated Name Associated Mnemonic Format
(Scientific Notation)
Suggested
Alternative Format
2-9 INTEGER Quote Date   I8 I8
11-25 CHARACTER CRSPID   A15 A15
27-32 REAL Annualized Yield to Maturity   F6.3 F6.3
34-43 REAL Bid   F10.3 F10.3
45-54 REAL Ask   F10.3 F10.3
56-65 REAL Bid-Ask Average   F10.3 F10.3
67-69 REAL Days to Maturity   I3 I3