Index Data Structures

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.

  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

  Variable Name Variable

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

  Variable Name Variable
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.