A. 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
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1. 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
2. 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
3. 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
4. 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
5. 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
6. 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
S TOCK AND I NDEX D AT A D ESCRIPTION G UIDE Chap TE r 6: Da Ta B a SE S Tr UCTU r ES 127
B. 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.
C. 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
D. 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.