Stock File Indexes

There are seven groups of securities for which index data are calculated:

  • Individual NYSE, NYSE American, NASDAQ, and ARCA markets (4)
  • NYSE/NYSE American combined (1)
  • NYSE/NYSE American/NASDAQ combined (1)
  • NYSE/NYSE American/NASDAQ/ ARCA combined (1)

Indexes are available in daily, monthly, quarterly, and annual frequencies. A value-weighted and equal-weighted series is calculated for each market combination, and market decile series are formed for combinations except for those indexes that include ARCA.

Dates of data availability differ for each exchange. When a series includes combinations of exchanges, the beginning of the series begins with the earliest date that data are available.

  • New York Stock Exchange (NYSE) begins December 31, 1925
  • American Stock Exchange (NYSE American) begins July 2, 1962
  • NASDAQ Stock Market (NASDAQ) begins December 14, 1972
  • ARCA Exchange (ARCA) begins March 8, 2006

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

Daily and monthly index returns are calculated based on daily and monthly security holding period returns respectively. Returns are calculated using prices from end-of-period to end-of-period. Total returns always include cash dividends. 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, counts, used values, and total values.

The equal-weighted index is an equal-weighted portfolio built each calendar period using 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 the entire trading history if it was ever an American Depositary Receipt. Valid prices include trading prices or bid-ask averages when trading prices are not available. Issues are weighted by their market capitalization at the end of the previous period.

Index levels of CRSP Market Indexes are calculated based on an initial value of 100 on December 29, 1972.

Equal- and Value-Weighted CRSP Market Indexes for the combined NYSE, NYSE American, NASDAQ, and ARCA exchanges are included with all CRSP Stock Databases.

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 News 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 in all CRSP Stock Databases on a daily and monthly basis. The S&P 500 is available month-end beginning December 31, 1925, and daily beginning July 2, 1962. The NASDAQ Composite is available daily beginning December 14, 1972, with month-end values reported beginning December 29, 1972. Levels and Returns of both indexes exclude dividends, so no total returns or total return index levels are available. 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, and total returns calculated in the CRSP Index File on the S&P 500 are available to Indexes subscribers.

CRSP Stock File Capitalization Decile Indexes

There are five groups of securities for which indexes are calculated:

  • Individual NYSE, NYSE American, NASDAQ markets (3)
  • NYSE/NYSE American combined (1)
  • NYSE/NYSE American/NASDAQ combined (1)

Excluding ADRs, for each rebalancing period, all securities on a given exchange or combination of exchanges are ranked by their capitalization and then divided into 10 deciles with an equal number of securities in each decile.

These portfolios are rebalanced each calendar year using the security market capitalization at the end of the previous year for the rankings. If a security starts trading in the middle of a year, its first available 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 a portfolio assignment of 0.

CRSP Market Capitalization Deciles do not use delisting returns. If a security is dropped mid-year, its last available month-end return is used.

Value-weighted index returns include all dividends and are calculated on each of the 10 portfolios. Index levels are calculated based on an initial value of 100 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 American and NASDAQ market combinations using beta and standard deviation as the measures of risk. One set of portfolios is created by ranking securities on betas 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 set is created by ranking securities on the annualized standard deviation of their daily returns.

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 every calendar period. Trade-only security total returns are used for the NYSE/NYSE American Beta Portfolios only. Index levels are calculated based on an initial value of 100 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.

 

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.