CRSP mutual fund database does not have an indicator variable that would allow one to identify index funds. The only way this can be done is by inspecting fund names. A good alternative is to simply test the correlation between the historical monthly returns and the target index. If you find > 99.5 % correlation with say the S&P500 you can bet it is a SP500 index fund. Many funds show what is effectively 100% correlation and are unmistakably identified as index funds this way. Some researchers have gathered their own lists of index funds , especially those that track the S&P 500, by making use of websites such as www.indexfunds.com.
Articles in this section
- CRSP: Determining the Primary Issue of a Company
- Accessing the CRSP Value-Weighted Market Indexes
- In the CRSP Monthly stock data, I sometimes see a holding period return value of "P" or "T". What do they mean?
- Difference between PERMNO and LPERMNO
- Rounded Values
- PERMNO Vs. PERMCO
- Mutual Fund Net Returns: Loads
- Quickly Obtaining: CUSIP, PERMNO, GVKEY
- CUSIP in CDA & NCUSIP in CRSP and TICKER in CDA & TICKER in CRSP
- Is there sample code to adjust prices and earnings for splits, mergers, etc.