Portfolio Statistics and Assignment Time Series - port
Portfolio Statistics and Assignment Time Series is a set of portfolio time series. Each portfolio time series is based on a portfolio type defined by CRSP and contains a history of statistics and portfolio assignments for a security. Two variables are available for each calendar period:
Portfolio Statistic and Assignment Times Series Data
Each Portfolio Statistics and Assignment Time Series in the set is called a Portfolio Type. Portfolio Types are predefined groupings based on CRSP indices. The portfolio time series can be linked to CRSP index returns data to calculate excess returns of a security against its assigned index portfolio at any time during its history.
Each Portfolio Type represents a predefined index group with its own methodology and rebalancing period. The portfolio time series can be linked to different calendars based on the rebalancing frequency of the index. The timing and calculation of the statistic and assignment rules are also dependent on the index. Calendars used in portfolios are not the same calendars used with security price and returns data. Portfolio ranges and calendars can differ for all portfolio types. In a portfolio time series, the Data Subtype Code is set to the Permanent Index Identification Number, INDNO, of an index that contains the performance results of the group of index series built using the assignments.
The portfolio assignments for the CRSP Stock File Decile Capitalization Indices for NYSE/Amex/NASDAQ are provided with daily and monthly stock files. Additional Portfolio Types are available with the CRSP US Indices Database and Security Portfolio Assignment Module. Note that the portfolio information is a module of the associated CRSPAccess daily or monthly stock data. Portfolio assignment data for daily or monthly indices can be extracted through the stock utilities when the user subscribes to the appropriate stock and indices products. Indices based on the portfolios are included in the CRSP Indices File and Portfolio Assignments product.
See the Portfolio Types table for more details about the defined portfolios available in monthly and daily stock files.