CRSP US Index History Files - Intraday

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CRSP is pleased to introduce the CRSP US Index History Files - Intraday, a new historical data product generated by the investable CRSP Indexes.

Our primary goal in generating the CRSP Indexes is to provide additional market data for scholarly research. While we are pleased with the trust that Vanguard and its investors have placed in the CRSP Indexes*, we are now taking the first step toward achieving that goal.

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Key Features

The introductory time series provides the base for further product expansion. This will include additional index data as well as index holdings and intraday and end-of-day security data.

Market Capitalization, Value/Growth, Sector Index families and the CRSP ISS ESG Indexes
Data includes second-by-second and end-of-day Price and Total Returns levels
History is updated quarterly and delivered one month after each calendar quarter
Format is easy-to-use SAS, ASCII or R files
Histories for indexes begin at different dates, tied to when the data was captured, not always to the date when indexed to 1000

Footnote:
* In October 2012, CRSP and Vanguard announced that 16 of CRSP’s real-time U.S. equity indexes that are published on the NASDAQ Global Dissemination Service would be adopted as new index benchmarks for certain Vanguard Exchange Traded Funds and Mutual Funds. In June 2013, Vanguard completed its transition to the CRSP Indexes. Vanguard now manages assets linked to the CRSP Market Indexes exceeding $2 trillion.

Documentation