Time-series Data Definitions

Index Level of Returns Without Dividends

Value of an index, excluding ordinary dividends, relative to its value at one fixed point in time.

General Information
Primary Concepts Index Levels
Data Type Floating Point
Unit of Item  
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess / CRSPSift
Product Type STK
Utility Usage ts_print
TsQuery
ind_print
indquery
Daily ITEMID alvl aind
Monthly ITEMID malvl maind
Header Aind Aind
SUBNO 0  
C Usage
Object aind_ts[ ]
Array aind[ ] [ ]
Element n/a
FORTRAN-95 Usage
Type or Subtype aind_ts
Member and/or Array aind(,)
Element n/a

Port Returns w/o Divs

Index Capital Appreciation Return is the return, excluding ordinary dividends, of an index. See “Index Returns” in the Definitions & Calculations Section for details on how CRSP index returns are calculated. If CRSP includes a public index such as the S&P 500 Composite or the NASDAQ Composite, Index Capital Appreciation Return is derived from data provided by the creator of the index.

General Information
Primary Concepts Index Time Series
Data Type Floating Point
Unit of Item Ratio
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess / CRSPSift
Product Types IND
Utility Usage ts_print
TsQuery
ind_print
indquery
ts_print Daily Usage retx/0 aret
ts_print Monthly Usage mretx/0 maret
Header Aret Aret
C Usage
Object aret_ts[ ]
Array aret[ ][ ]
Element n/a
FORTRAN-95 Usage
Type or Subtype aret_ts
Member and/or Array aret(,)
Element n/a

Income Return Index Level

Description: Ordinary dividend value of an index, relative to its value at one fixed point in time.

General Information
Primary Concepts Index Levels
Data Type Floating Point
Unit of Item  
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess/CRSPSift
Product Type STK
Utility Usage ts_print
TsQuery
ind_print
indquery
Daily ITEMID ilvl iind
Monthly ITEMID milvl miind
Header Iind Iind
SUBNO 0  
C Usage
Object iind_ts[ ]
Array iind[ ] [ ]
Element n/a
FORTRAN-95 Usage
Type or Subtype iind_ts
Member and/or Array iind(,)
Element n/a

Income Return on Index

Index Income Return is the ordinary dividend return of an index. See “Index Returns” in the Definitions & Calculations section for details on how CRSP index returns are calculated. Index Capital Appreciation Return is available for CRSP-generated indexes.

General Information
Primary Concepts Index Time Series
Data Type Floating Point
Unit of Item Ratio
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess/CRSPSift
Product Types IND
Utility Usage ts_print
TsQuery
ind_print
indquery
ts_print Daily Usage reti  
ts_print Monthly Usage mreti  
Header iret miret
C Usage
Object iret_ts[ ]  
Array iret[ ][ ]  
Element n/a  
FORTRAN-95 Usage
Type or Subtype iret_ts  
Member and/or Array iret(,)  
Element n/a  

Total Index Level w/ Divs

Index Total Return Index Level is the value of an index, including all distributions, relative to its value at one fixed point in time. See “Index Levels” in the Calculations section for details on how CRSP index levels are calculated. Index Total Return Index Level is only available for CRSP-generated indexes. Index levels for the CRSP Stock File Indexes and the CRSP CTI Indexes are set to an initial value of 100.00 on 19721229. Index levels for the Cap-Based Portfolios are set to 1.00 on 19251231.

General Information
Primary Concepts Index Time Series
Data Type Floating Point
Unit of Item Ratio
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess/CRSPSift
Product Types IND
Utility Usage ts_print
TsQuery
ind_print
indquery
ts_print Daily Usage tlvl tind
ts_print Monthly Usage mtlvl mtind
Header Tind Tind
C Usage
Object tind_ts[ ]
Array tind[ ][ ]
FORTRAN-95 Usage
Type or Subtype tind_ts
Member and/or Array tind(,)

Total Count

Count Available as of Rebalancing is the total count of entities available in the universe eligible for a portfolio at the beginning of a rebalancing period. It is set to zero if unavailable.

General Information
Primary Concepts Index Rebalancing History Arrays
Data Type Integer Number
Unit of Item Count
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess/CRSPSift
Product Types IND
Utility Usage ts_print
TsQuery
ind_print
indquery
ts_print Daily Usage tcnt totcnt
ts_print Monthly Usage mtcnt mtotcnt
Header TotCnt TotCnt
C Usage
Object rebal_arr[ ]
Array rebal[ ] [ ]
Element totcnt
FORTRAN-95 Usage
Type or Subtype rebal_arr()
Member and/or Array rebal(,)
Element totcnt

Total Value of Index

Index Total Value is the total market value of the non-ADR securities in the index universe, in $1000s, with valid prices and shares outstanding amounts on the selected Calendar Trading Date. See the Index Methodologies section for information including rebalancing frequency and universe inclusion for specific indexes.

General Information
Primary Concepts Index Time Series
Data Type Floating Point
Unit of Item USD
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess/CRSPSift
Product Types STK, IND
Utility Usage ts_print
TsQuery
ind_print
indquery
ts_print Daily Usage tcap totval
ts_print Monthly Usage mtcap mtotval
Header TotVal TotVal
C Usage
Object totval_ts[ ]
Array totval[ ][ ]
Element /tv
FORTRAN-95 Usage
Type or Subtype totval_ts
Member and/or Array totval(, )

 

Total Return on Index

Index Total Return is the return, including all distributions, of an index. See “Index Returns” in the Calculations section for details on how CRSP index returns are calculated. Index Total Return is only available for CRSP-generated indexes.

General Information
Primary Concepts Index Time Series
Data Type Floating Point
Unit of Item Ratio
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess/CRSPSift
Product Types STK, IND
Utility Usage ts_print
TsQuery
ind_print
indquery
ts_print Daily Usage ret tret
ts_print Monthly Usage mret mtret
Header Tret Tret
C Usage
Object tret_ts[ ]
Array tret[ ][ ]
FORTRAN-95 Usage
Type or Subtype tret_ts
Member and/or Array tret(,)

Used Count

Count Used as of Rebalancing is the count of entities in a portfolio as of the beginning of a rebalancing period. It is set to zero if unavailable.

General Information
Primary Concepts Index Rebalancing History Arrays
Data Type Integer Number
Unit of Item Count
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess/CRSPSift
Product Types IND
Utility Usage ts_print
TsQuery
ind_print
indquery
ts_print Daily Usage tcnt usdcnt
ts_print Monthly Usage intcnt musdcnt
Header Usdcnt Usdcnt
C Usage
Object rebal_arr
Array rebal
Element usdcnt
FORTRAN-95 Usage
Type or Subtype rebal_arr()
Member and/or Array rebal(,)
Element usdcnt

Used Value

Index Used Value is the beginning total market value, in $1000s, of all securities that are used in an index on the selected Calendar Trading Date. In a CRSP value-weighted index the Index Used Value is the weight of the index.

For standard CRSP market indexes the beginning total market value is calculated using prices and shares from the previous trading day. In these indexes a security cannot be an ADR and must have prices and shares on the current and previous trading dates. See “Index Returns” in the Calculations Section, and see the Index Methodologies Section.

General Information
Primary Concepts Index Time Series
Data Type Floating Point
Unit of Item Ratio
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess/CRSPSift
Product Types STK, IND
Utility Usage ts_print
TsQuery
ind_print
indquery
ts_print Daily Usage cap usdval
ts_print Monthly Usage mcap musdval
Header Usdval Usdval
C Usage
Object usdval_ts[ ]
Array usdval[ ][ ]
FORTRAN-95 Usage
Type or Subtype usdval_ts
Member and/or Array usdval(, )