New from CRSP - May 2012
CRSP Style Code
The CRSP US Survivor-Bias-Free Mutual Funds database includes style and objective codes from three different sources over the life of the database. No single source exists for its full-time range.
- Wiesenberger Objective codes are populated between 1962 – 1993.
- Strategic Insight Objective codes are populated between 1993 – 1998.
- Lipper Objective codes begin 1998.
CRSP has decided to build continuity within the database by building our own style code that is based on and is consistent with those codes provided by our different sources.
The CRSP Style Code consists of up to four characters, with each position defined. Reading Left to Right, the four codes represent an increasing level of granularity. For example, a code for a particular mutual fund is EDYG, where:
E = Equity, D = Domestic, Y = Style, G = Growth
Codes with less than four characters exist, and it simply means that they are defined to a less granular level.
CRSP invites you to review the codes and share your thoughts with us here. Comments, recommendations, and questions can be directed to Alan Myers and Ben Miller at CRSP. Our timeline for implementation of a new style code schema is short, with a targeted initial release in the next quarterly shipment in July 2012.
Visualize historical risk and return data with CRSP
CRSP has partnered with Investments Illustrated, a leading financial illustration firm, to present a series of charts on long-run risk and return performance in an interactive and visually compelling format.
This new series begins with a comparison of the long-run return performance of major asset classes. CRSP data underpin the 86 year history for stock and treasury bill performance beginning with 1926.
The commonly used 1926 starting point for historical data is a result of the initial study by Chicago Booth Professors James Lorie and Lawrence Fisher and their seminal research paper Rates of Return on Investments in Common Stock. More information about the development of CRSP can found here.
To learn more about their digital and print-based financial illustration services, please contact Investments Illustrated.
job opportunities at crsp
Despite the challenging economy, CRSP is growing! We have opportunities located in our Chicago Loop Financial District office. See more here. >>
Chicago Booth Blog
The Chicago Booth faculty recently created a blog on the Bloomberg website called Business Class. This blog is written by a variety of Chicago Booth faculty members. The blog discusses money, the market, and public policy. Click here to view the blog. >>
In the Press
CRSP Board Members
BLOOMBERG NEWS: Professor Steven Kaplan published an op-ed titled Jobs, Not the 1%, Are What Make Americans Fret. “It is suggested that growth in income inequality has been a significant contributor to the current financial crisis and the slow recovery,” he wrote. “If those concerns are valid, it would be reasonable to expect that increased inequality at the top should be associated with a decline in household well-being. That isn’t the case. In fact, household well-being is much more closely related to unemployment that it is to the increase in pretax-income inequality. This implies that policies that focus on reducing inequality at the top, but don’t reduce unemployment, aren’t likely to improve well-being,” Professor Kaplan wrote. Read the article >>
MARKETPLACE RADIO: Professor Kaplan was featured in a story about the Say on Pay vote by Citigroup shareholders over CEO pay. Even though the vote isn’t legally binding, it carries a lot of weight, Professor Kaplan said. “There’s no doubt boards (of directors) pay attention. No doubt,” he said. Listen to broadcast >>
BLOOMBERG NEWS: Professors John Cochrane, Douglas Diamond and Anil Kashyap contributed to an op-ed by members of the Squam Lake Group titled SEC Beware, Money Funds Can Bring System Down. “News reports suggest that the Securities and Exchange Commission may be backing away from a reform of money-market funds,” they wrote. “This would be a mistake.” Read the article >>
CNN INTERNATIONAL: Professor John Cochrane discussed austerity in Europe and what’s needed to fix the U.S. economy during a broadcast interview. “A lot of austerity is raising taxes in ways that loudly say ‘don’t start a business here, don’t hire somebody here,’” he said. The U.S. meanwhile, should “get rid of taxes that are preventing hiring, clean up our ridiculous tax code and get rid of the nanny regulators.”
ESPN: Professor Tobias Moskowitz discussed the research that went into his book Scorecasting: The Hidden Influences Behind How Sports Are Played and Games Are Won. Home field advantage is highest in soccer and basketball, and lowest in baseball, he found. Watch the video >>
| May 6-9 | CFA Institute Annual Conference –Chicago, IL |
| May 16 | Monthly US Stock and Index Database Ship Date |
| May 29 | Monthly CRSP/Compustat Merged Database Ship Date |
| May 31 | Monthly CRSP/Ziman Real Estate Data Series Ship Date |
| June 18 | Monthly US Stock and Index Database Ship Date |
| June 27-29 | Quant Invest Conference – Chicago, IL |
| June 28 | Monthly CRSP/Compustat Merged Database Ship Date |
| June 29 | Monthly CRSP/Ziman Real Estate Data Series Ship Date |