The Index Header is a set of fields containing identification and methodology information about an index series or group. See Index Methodologies for more descriptive information about the methodologies of the CRSP index types.
Variable Name
Variable
Permanent Index Identifiers
INDNO
indno
INDCO
indco
Descriptive Identifiers
Index Primary Link
primflag
Portfolio Number if Subset Series
portnum
Index Name
indname
Index Group Name
groupname
Index Structures
(detailed below)
Index Methodology Description Structure
method
Index Exception Handling Flags
flags
Index Subset Screening Structure
partuniv
Partition Subset Screening Structure
induniv
Portfolio Building Rules Structure
rules
Related Assignment Information
assign
Index Methodology Description Structure – method - Expansion
Variable Name
Variable
Methodology Description Structure
Index Method Type Code
methcode
Index Primary Methodology Type
primtype
Index Secondary Methodology Group
subtype
Index Reweighting Type Flag
wgttype
Index Reweighting Timing Flag
wgtflag
Index Exception Handling Flags – flags - Expansion
Index Subset Screening Structure and Partition Subset Screening Structure
Universe Subset Types Code in a Restriction
univcode
Restriction Beginning Date
begdt
Restriction End Date
enddt
Valid Exchange Codes in Universe in a Restriction
wantexch
Valid NASDAQ Market Groups in Universe in a Restriction
wantnms
Valid When-Issued Securities in Universe in a Restriction
wantwi
Valid Incorporation of Securities in Universe in a Restriction
wantinc
Share Code Screen Structure in a Restriction
shrcd
Share Code Screen Structure in a Partition or Index Restriction - shrcd - Expansion
Variable Name
Variable
Share Code Screen Structure
Share Code Groupings for Subsets in a Restriction
sccode
Valid First Digit of Share Code in a Restriction
fstdig
Valid Second Digit of Share Code in a Restriction
secdig
Portfolio Building Rules Structure - rules - Expansion
Variable Name
Variable
Portfolio Building Rules
Index Basic Rule Types Code
rulecode
Index Function Code for Buy Rules
buyfnct
Index Function Code for Sell Rules
sellfnct
Index Function Code for Generating Statistics
statfnct
Index Statistic Grouping Code
groupflag
Related Assignment Information – assign - Expansion
Variable Name
Variable
Portfolio Building Rules Structure
Index Basic Assignment Types Code
assigncode
INDNO of Associated Index
asperm
Portfolio Number in Associated Index
asport
Calendar Identification Number of Rebalancing Calendar
rebalcal
Calendar Identification Number of Assignment Calendar
assigncal
Calendar Identification Number of Calculations Calendar
calccal
Index Rebalancing History Array - rebal[#][n]
The Index Rebalancing History Arrayss are a set of CRSPAccess event array structures containing decile-level historical rebalancing statistical information for rebalancing periods in an index. Each event array structure within the history contains the characteristics for one portfolio for one time range in the index, including the breakpoints used to assign securities to the portfolio.
Variable Name
Variable
Rebalancing Date Ranges
Index Rebalancing Begin Date
rbbegdt
Index Rebalancing End Date
rbenddt
Rebalancing Portfolio Statistics
Count Used as of Rebalancing
usdcnt
Maximum Count During Period
maxcnt
Count Available as of Rebalancing
totcnt
Count at End of Rebalancing Period
endcnt
Breakpoint Information
Statistic Minimum Identifier
minid
Statistic Maximum Identifier
maxid
Statistic Minimum in Period
minstat
Statistic Maximum in Period
maxstat
Statistic Median in Period
medstat
Statistic Average in Period
avgstat
The variable Number of Rebalancing Types contains the count of the rebalancing history arrays available for all indexes in a set. There are ten possible rebalancing arrays in current Index Groups and one in all Index Series. Each array has its own count of periods, which is set to zero if not applicable to the particular index.
Index List History Array
Variable Name
Variable
Security Identifier
Permanent Number of Securities in Index List
permno
Date Range
First Date Included in List
begdt
Last Date Included in List
enddt
Security Characteristics
Index Subcategory Code
subind
Weight of Issue
weight
Index Time Series
Index Time Series are sets of result and summary time series arrays for indexes. They include the following variables:
Variable Name
Variable
Index Summary Statistics
Index Used Count
usdcnt
Index Total Count
totcnt
Index Used Value
usdval
Index Total Value
totval
Index Returns
Index Total Return
tret
Index Capital Appreciation Return
aret
Index Income Return
iret
Index Levels
Index Total Return Index Level
tind
Index Capital Appreciation Index Level
aind
Index Income Return Index Level
iind
The variable Number of Index Types contains the count of index series available for each of the indexes in a set. There is always one time series for all data items in an index series, and more than one time series for data items in an index group. Not all time series are available for each index. If the range for one of the time series is not set, data of that type is not available for that index.
Index Header - indhdr
The Index Header is a set of fields containing identification and methodology information about an index series or group. See Index Methodologies for more descriptive information about the methodologies of the CRSP index types.
(detailed below)
Index Methodology Description Structure – method - Expansion
Index Exception Handling Flags – flags - Expansion
Exception Handling Flag Structure
Index Basic Exception Types Code
flagcode
Index New Issues Flag
addflag
Index Ineligible Issues Flag
delflag
Return of Delisted Issues Flag
delretflag
Index Missing Data Flag
missflag
Partition/Index Subset Screening Structure - partuniv/induniv - Expansion
Share Code Screen Structure in a Partition or Index Restriction - shrcd - Expansion
Portfolio Building Rules Structure - rules - Expansion
Related Assignment Information – assign - Expansion
Index Rebalancing History Array - rebal[#][n]
The Index Rebalancing History Arrayss are a set of CRSPAccess event array structures containing decile-level historical rebalancing statistical information for rebalancing periods in an index. Each event array structure within the history contains the characteristics for one portfolio for one time range in the index, including the breakpoints used to assign securities to the portfolio.
The variable Number of Rebalancing Types contains the count of the rebalancing history arrays available for all indexes in a set. There are ten possible rebalancing arrays in current Index Groups and one in all Index Series. Each array has its own count of periods, which is set to zero if not applicable to the particular index.
Index List History Array
Index Time Series
Index Time Series are sets of result and summary time series arrays for indexes. They include the following variables:
The variable Number of Index Types contains the count of index series available for each of the indexes in a set. There is always one time series for all data items in an index series, and more than one time series for data items in an index group. Not all time series are available for each index. If the range for one of the time series is not set, data of that type is not available for that index.