The closing ask price on a trading day. /pa
askhi (Ask/High) [daily]
DAILY The highest trading price during the day or the closing ask price on days when a closing price is not available. /ph
askhi (Ask/High) [monthly]
MONTHLY The highest daily Price or Bid/Ask Average during the month. /ph
An associated index is a single predefined index series chosen as a benchmark when comparing performance results of a security, user portfolio, or other index. Examples of associated indexes are the S&P 500 Composite or the CRSP Cap-Based 9-10 Portfolio on the NYSE/NYSE MKT/NASDAQ National Market.
Associated Portfolio Type
An associated portfolio type is a predefined index group of portfolios chosen as a benchmark when comparing performance results of a security, user portfolio, or other index. When an associated portfolio type is used as a benchmark, the security portfolio assignment for the portfolio is used to determine which portfolio series to use as a benchmark at each point in time. An example of associated portfolios is the CRSP Cap-Based Portfolios on the NYSE/NYSE MKT/NASDAQ National Market.
The closing bid price on a trading day. /pb
bidlo (Bid/Low) [daily]
DAILY The lowest trading price during the day, or the closing bid price on days when a closing price is not available. /pl
bidlo (Bid/Low) [monthly]
MONTHLY The lowest daily Price or Bid/Ask Average during the month. /pl
Capital appreciation is another name for Returns without Dividends. It is the return for a security or index with ordinary dividends excluded.
Corporate actions is another name for Dividend and Delisting information.
A Decile Index is a Market Segment Index with the market divided into ten portfolios each period.
Delisting events in the history of a security. /de
Distributions made to shareholders of a security from company profits. /di
Dividend Yield is another name for Income Return. It is the ratio of the ordinary dividends of a security or index to the previous price.
In an equal-weighted portfolio or index, the same amount is invested in all securities each period. A daily equal-weighted portfolio is reweighted each day, while a monthly equal-weighted portfolio is reweighted each month. Therefore compounded daily index returns over a month are not equivalent to monthly index returns for an equal-weighted portfolio. An equal-weighted portfolio incurs large transaction costs in practice, especially if maintained daily, since shares must be bought and sold each period as prices change to maintain weighting.
A fractile index is a general name for a Market Segment Index covering segmentation of the market into a selected number of portfolios.
A market index is a portfolio of all eligible issues in the market, where the market is defined using constant universe restrictions each period based on some identification or data restriction.
NASDAQ National Market Screening
NASDAQ National Market screening is used to further restrict NASDAQ data based on The NASDAQ Stock Market listings of The NASDAQ National Market and the NASDAQ SmallCap Market.
Non-ordinary distributions are distributions made to shareholders of a security representing the return of capital. These are factored into the capital appreciation of the security. Any criteria not included in the Ordinary Distribution description (Page 138) are considered non-ordinary.
numtrd (Num Trades)
Daily only: The number of trades made on the NASDAQ Stock Market each date for a security. /pn
Daily only: The first trade after a market opens. /po
Ordinary distributions are distributions made to shareholders of a security from company profits. These represent income to the shareholder and are not included in the capital appreciation of the security. CRSP returns calculations use the distribution codes to determine whether a distribution is ordinary or non-ordinary. A distribution is considered ordinary if any of the following conditions are true:
- First digit of the Distribution Code is 1 (1***, where *=anything)
- First digit of the Distribution Code is 2, third digit is anything but 3, and fourth digit is 2 or 8 (2*‡2, 2*‡8 where *=anything and ‡=anything except 3)
- Any Distribution Code with a Factor to Adjust Price of either 0 or -1
- First digit of the Distribution Code is 6 and the fourth digit is 2 or 8 (6**2, 6**8 where *=anything)
Rebalancing refers to the act of reforming a portfolio according to rules in the portfolio methodology. This periodic event involves reapplying the rules of the portfolio to buy, sell, or keep issues in the portfolio.
porttypes (Portfolio Data)
Statistics and assignments relative to a predefined index group of portfolios available as a benchmark. /dy
The closing price of a security at the end of a calendar period. If unavailable, the number in the price field is replaced with a bid/ask average (marked by a leading dash). /pp
Observation of publicly held shares of a security, including only observations directly reported by the company or source. Recorded in 1000s. /sh
The change in the total value of an investment in a security over some period of time per dollar of initial investment. /pr
retx (Ret w/o Divs)
The capital appreciation of a security. Ordinary dividends and certain other regularly taxable dividends are excluded from the returns calculation. /px
A selected index is an index where the universe of eligible issues is supplied by an outside source, with given issues or companies and the ranges of membership for each. Selection criteria are dependent on the specific index methodology.
Observations of publicly held shares of a security, including observations directly reported by the company or source, or imputed from distribution events. Recorded in 1000s. /sa
shrout (Shares Out)
The unadjusted number of publicly held shares on NYSE, NYSE MKT, and the NASDAQ stock exchange, recorded in 1000s. /ps
siccd (SIC Code)
A code used to group companies with similar products or services. /ky siccd
The difference between the closing bid and ask quotes for a security, or a secondary price if only bid or only ask is available. /p2
ticker (Active Ticker)
An alphabetic symbol assigned to a security by an exchange. /ky ticker
In a value-weighted portfolio or index, securities are weighted by their market capitalization. Each period the holdings of each security are adjusted so that the value invested in a security relative to the value invested in the portfolio is the same proportion as the market capitalization of the security relative to the total portfolio market capitalization.
vol (Volume) [daily]
DAILY The integer raw number of shares traded during the day, expressed in units of one share. /pv
vol (Volume) [monthly]
MONTHLY The integer raw number of shares traded during the month, Expressed in units of one hundred shares. /pv