The CRSP US Stock File Indices were developed by the Center for Research in Security Prices at the Graduate School of Business, University of Chicago. They include Value- and Equal-Weighted Indices, with or without dividends, and the S&P 500 Composite Index and returns. US Market-Cap Based Portfolios rank all NYSE issues by market capitalization into decile portfolios. AMEX and NASDAQ National Market stocks are then placed into those decile portfolios according to their respective capitalizations. Portfolios 1-2 are large caps, portfolios 3-5 mid-caps, portfolios 6-8 small caps, and portfolios 9-10 micro-caps. Two other sets of decile portfolio rankings are available in the CRSP Risk-Based Decile Indices, where the deciles are defined in terms of returns volatility (sigma) or CAPM beta. For more information...
The CRSP Indices for the S&P Universe are daily and monthly files which include Value- and Equal-Weighted returns, with and without dividends, of portfolios comprising the securities in the S&P 500 (formerly S&P 90) indexes. For more information...
The CRSP US Treasury and Inflation Series are monthly files containing returns and index levels on US Treasuries and the US Consumer Price Index and index level. For more information...
The econ.bc.edu interface to CRSP US Stock Indices data allows you to select the series you want to retrieve, for specified time periods, via a web browser. You need not use SQL nor have a special computer account on "WRDS" to use this interface. The data are either displayed in your browser or, more usefully, downloaded as a text file to your desktop system. This tab-delimited text file may be read into any statistical package, spreadsheet, or word processor.
Online documentation (~200 pages) for the Indices dataset is available in PDF form.