Data Definitions - CRSP US Index Descriptor and Identification Items
Index Name
General Information
Data Type
character
Unit of Item
Id
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
indname
Header
Indname
.dat File Format
%-79s
C Usage
Object
indhdr_val
Array
indhdr[ ]
Element
indname
Beginning Date of Index
General Information
Data Type
integer number
Unit of Item
YYYYMMDD date
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
indbegdt
Header
Begdt
.dat File Format
%8d
C Usage
Object
indhdr_val
Array
indhdr[ ]
Element
begdt
Ending Date of Index
General Information
Data Type
integer number
Unit of Item
YYYYMMDD date
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
indenddt
Header
Enddt
.dat File Format
%8d
C Usage
Object
indhdr_val
Array
indhdr[ ]
Element
enddt
Index Methodology
The Methodology Code defines the basic methodology used to create and populate an index. It incorporates the combination of Primary and Secondary Methodology Type Codes, Reweighting Type and Timing codes.
Method
Method Name
1
CRSP Cap-Based Portfolios
2
CRSP Sic-Based Indices
3
CRSP Risk-Based Indices
4
CRSP Value-Weighted Market Indices
5
CRSP Equal-Weighted Market Indices
6
CRSP Capitalization Decile Market Indices
7
S&P 500 Composite
8
CRSP S&P 500 Universe Value-Weighted
9
S&P 500 Universe Equal-Weighted
10
Nasdaq Composite
11
SBBI
12
Selected Treasury Issue
13
Selected Treasury Bill
14
U.S. Government Provided
15
Ziman REIT Universe Value-Weighted
16
Ziman REIT Universe Equal-Weighted
17
CRSP Investable Indexes
General Information
Data Type
integer number
Unit of Item
code
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
method
Header
Method
.dat File Format
%6d
C Usage
Object
indhdr_val
Array
indhdr[ ]
Element
method
Index Listing Exception Rules
Index Exception Type Code is an integer code that defines the basic exception rules that are applied in building and populating an index or portfolio.
General Information
Data Type
integer number
Unit of Item
code
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
listrule
Header
Exception
.dat File Format
%6d
C Usage
Object
indhdr_val
Array
indhdr[ ]
Element
exception
List Rule
Exception Name
0
Unknown or not applicable
1
CRSP Market Index Rules
2
Cap-Based Portfolio Rules
3
CRSP Market Index Trade-only Prices Rules
4
CRSP Investable Indexes
Universe Subset
The Universe Subset Code is an integer code defining a set of restrictions that determine the universe of securities used to create an index or partitions of an index. It is comprised of a set of subset codes. Codes apply to indexes and partitions of indexes. Item names for Universe Subset Code and sub codes begin with (p) when used with partitions of indexes and (u) when used with indexes.
General Information
Data Type
integer number
Unit of Item
code
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
puniverse
Header
PortUniv
.dat File Format
%6d
Univ Code
Universe Name
0
identifier restriction not applicable
10
NYSE common excluding foreigns, ADRs, REITS, closed-end funds
11
NYSE/NYSE American common excluding foreigns, ADRs, REITS, closed-end funds
12
NYSE/NYSE American/NMS common excluding foreigns, ADRs, REITS, closed-end funds
20
NYSE common excluding ADRs
21
NYSE American common excluding ADRs
22
NYSE/NYSE American common excluding ADRs
23
NASDAQ common excluding ADRs
24
NYSE/NYSE American/NASDAQ common excluding ADRs
30
NYSE common
31
NYSE American common
32
NYSE/NYSE American common
33
NASDAQ common
34
NYSE/NYSE American/NASDAQ common
35
NYSE common excluding ADRs and foreigns
36
NYSE American common excluding ADRs and foreigns
37
NYSE/NYSE American common excluding ADRs and foreigns
38
NASDAQ common excluding ADRs and foreigns
39
NYSE/NYSE American/NASDAQ common excluding ADRs and foreigns
40
Arca common excluding ADRs
41
Arca common
42
Arca common excluding ADRs and foreigns
50
NYSE/NYSE American/NASDAQ/Arca common excluding ADRs
51
NYSE/NYSE American/NASDAQ/Arca common
52
NYSE/NYSE American/NASDAQ/Arca common excluding ADRs and foreigns
60
CRSP Investable Index - Eligible Universe
61
CRSP Investable Index - Investable Universe
Index Rebalance Rule
Index Rebalance Type Code is an integer code that defines the rebalancing frequency of an index or portfolio. Rebalancing utilized three calendars that are synchronized and share the same codes.
assigncode
Index Rebalance Type Code
rebalance, assign, calc codes
0
unknown or not applicable
0
1
Annual Rebalancing
300
2
Quarterly Rebalancing
310
3
Monthly Rebalancing
101
General Information
Data Type
integer number
Unit of Item
code
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
rebalrule
Header
Rebalance
.dat File Format
%6d
Index Rules
Index Rule Types Code is an integer code that defines the basic portfolio methodology rules used in building indexes. Rule subtypes include Buy and Sell Rules that are currently not populated and are reserved for future use, Statistics Rules Codes, and Grouping Codes.
General Information
Data Type
integer number
Unit of Item
code
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
calcrule
Header
CalcRule
.dat File Format
%6d
Calc Rule
Index Rule Types Codes
0
unknown or not applicable
1
previous period-end Issue Capitalization
2
previous period-end Company Capitalization
3
previous period Scholes-Williams Beta
4
previous period Standard Deviation
5
CRSP Investable Indexes
Index Item Availability
Availability Code identifies the data items and frequency of index and index-related items that are available for each index.
General Information
Data Type
integer number
Unit of Item
code
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
availability
Header
Availability
.dat File Format
%-7.7s
Index Family
Index Family defines the family of which and INDNO is a part. In some cases it is a one-to-one relationship between the INDNO and the Index Family.
General Information
Data Type
integer number
Unit of Item
code
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
indfam
Header
Index Family
.dat File Format
%7d
Portfolio number
General Information
Data Type
integer number
Unit of Item
code
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
portnum
Header
Portnum
.dat File Format
%6d
Index Base Level
Level to which the index is set on the base date. Base level for the capitalization and the Treasury and Inflation Series is set to 100, for Cap-based portfolios it is set to 1, and for investable indexes it is set to 1000.
General Information
Data Type
floating point
Database Information
Database Formats
CRSPAccess & CRSPSift
Item ID
baselvl
Header
BaseLevel
.dat File Format
%12.4lf
Index Base Date
Date on which the index levels are set: December 31, 1972, for Market Capitalization Indexes, December 31, 1925, for Cap-based Portfolios, and various dates for Investable Indexes.
Subscription Information
Index Name
Beginning Date of Index
Ending Date of Index
Index Methodology
The Methodology Code defines the basic methodology used to create and populate an index. It incorporates the combination of Primary and Secondary Methodology Type Codes, Reweighting Type and Timing codes.
Index Listing Exception Rules
Index Exception Type Code is an integer code that defines the basic exception rules that are applied in building and populating an index or portfolio.
Universe Subset
The Universe Subset Code is an integer code defining a set of restrictions that determine the universe of securities used to create an index or partitions of an index. It is comprised of a set of subset codes. Codes apply to indexes and partitions of indexes. Item names for Universe Subset Code and sub codes begin with (p) when used with partitions of indexes and (u) when used with indexes.
Index Rebalance Rule
Index Rebalance Type Code is an integer code that defines the rebalancing frequency of an index or portfolio. Rebalancing utilized three calendars that are synchronized and share the same codes.
Index Rules
Index Rule Types Code is an integer code that defines the basic portfolio methodology rules used in building indexes. Rule subtypes include Buy and Sell Rules that are currently not populated and are reserved for future use, Statistics Rules Codes, and Grouping Codes.
Index Item Availability
Availability Code identifies the data items and frequency of index and index-related items that are available for each index.
Index Family
Index Family defines the family of which and INDNO is a part. In some cases it is a one-to-one relationship between the INDNO and the Index Family.
Portfolio number
Index Base Level
Level to which the index is set on the base date. Base level for the capitalization and the Treasury and Inflation Series is set to 100, for Cap-based portfolios it is set to 1, and for investable indexes it is set to 1000.
Index Base Date
Date on which the index levels are set: December 31, 1972, for Market Capitalization Indexes, December 31, 1925, for Cap-based Portfolios, and various dates for Investable Indexes.