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CRSP PRODUCT
RANGE OVERVIEW
CRSP® PRODUCT OVERVIEW
Who we are….
A financial research center at The University of Chicago, Graduate School of Business.
CRSP maintains the most comprehensive historical data files available on US Equities.
Data file accuracy has made CRSP a stapleof academic and commercial research since1960.
What we offer….Equity, Indices, Mutual Fund and Treasury Data is collected from various sources and collated after researching and comparing sources so as to provide premiere financial databases for investment research analysis. We provide mainly subscription databases to the academic and corporate investment community
Custom datasets and 10K SEC Filings are also available.
Why use CRSP Data?
Complete Records A unique identifier to track stock events/changes over time
Deep History (Data since 1925)
Constant Data Data is constantly being updated Monitoring by our research team
Data Access CRSP software utilities
SAS, C, FORTRAN
Wharton’s web interface
1959
Louis Engel (Vice President at Merrill Lynch, Pierce, Fenner & Smith) wanted to illustrate portfolio performance to clients. He called Professor James Lorie at the University of Chicago. Professor Lorie and a colleague compiled the first machine-readable file:
Month-end prices & total returns on all NYSE listed stocks (1926 – 1960).
This was the start of the Center for Research in Security Prices. Since then CRSP has historically had notable directors including Larry Fischer, Roger Ibbotson, and Ken French.
CRSP Origins
CRSP Board of DirectorsChairman Eugene F. FamaRobert R. McCormick Distinguished Service Professor of Finance.
Douglas W DiamandMerton H. Miller Distinguished Service Professor of Finance.
John HuizingaWalter David "Bud" Fackler Professor of Economics.
Steven Neil KaplanNeubauer Family Professor of Entrepreneurship and Finance.
Robert W. VishnyEric J. Gleacher Distinguished Service Professor of Finance.
Mark E. ZmijewskiLeon Carroll Marshall Professor of Accounting, Deputy Dean for the Part-Time M.B.A. Programs.
Our clients…Corporate and AcademicAcademicCorporate
Asset/Money Managers/Analysts
Lawyers
Consultants, Accountants, Investment Bankers, and Brokers
Federal Reserve
Banks
GovernmentAgencies
Universities and Colleges
Columbia UniversityDuke UniversityHarvard UniversityJohns Hopkins UniversityMassachusetts Institute of TechnologyNorthwestern UniversityStanford UniversityUniversity of PennsylvaniaYale UniversityCornell UniversityNew York UniversityPrinceton UniversityUniversity of ChicagoUniversity of Southern CaliforniaWashington UniversityVanderbilt UniversityCase Western Reserve UniversityUniversity of Rochester
Baylor CollegeBostonCarnegie MellonEmoryDartmouth CollegeGeorgetown UniversityRice UniversityUniversity of MiamiUniversity of California – BerkeleyUniversity of California – LAUniversity of Michigan – Ann Arbor University of North Carolina – Chapel HillPennsylvania State University – University ParkUniversity of FloridaUniversity of Illinois – Urbana-ChampaignUniversity of Minnesota – Twin CitiesUniversity of Washington – SeattleUniversity of Wisconsin - Madison
Our clients…Academic….CRSP has a strong presence in the university market…
Our subscriber base includes a number of top tier private and public universities.
Our clients…Academic….Some International schools outside of USBelow are schools based on Financial Times 100 Top schools Survey
Insead FranceLondon Business School UK University of Western Ontario: Ivey Canada Manchester Business School UKMc Gill University CanadaUniversity of Toronto CanadaHong Kong University of Scienceand Technology ChinaHEC CanadaMelbourne Business School AustraliaThe University of BritishColumbia CanadaStrathclyde Graduate SchoolOf Business UKQueens School of Business CanadaNational University of Singapore SingaporeLancaster University Management UKSchoolUniversity of Otago New ZealandUniversity of Alberta CanadaConcordia University Canada
Other International Schools University of Western Australia AustraliaKOC University TurkeyMaastricht University NetherlandsTilburg University NetherlandsNational Cheng Kung University Taiwan, R.O.C.National Chung Cheng Universit TaiwanNational Chung-hsing UnivTaiwanFeng Chia University TaiwanYuan Ze University TaiwanAomori Public College JapanDeutsche Morgan Grenfell JapanTsukuba, University JapanTel Aviv University IsraelDigix IsraelPierre Mendes France, Univ of FrancePixTech, Inc. FranceHelsinki School of Economics & FinlandHelsinki, University of FinlandSeoul National University KoreaNamur, University of BelgiumUniversidade Do Porto PortugalUniversite de Neuchatel SwitzerlandUniversity of Cyprus Cyprus
Many of these firms are clients of CRSP
Our Clients…Corporate
From a Pension and Investment Survey of Top 250 firms ranked by total assets, the top 15 include:
Fidelity Investments Northern Trust Prudential
Barclays Global Putnam Capital Research
State Street Global Alliance Capital Scudder Kemper
Deutsche Asset SSBCiti Merrill Lynch
Vanguard J.P. Morgan Morgan Stanley
Subscription Databases
Proxy Peer Group Performance Graphs - 10K SEC Filings
Custom Data Sets
Stock Data
Mutual Fund Data
Treasury Data
Indice data
CRSP/ COMPUSTAT Merged Database
CRSP – Product Distribution
Our Products….
Daily and Monthly CRSP US Stock Databases
CRSP US Indices and Security Portfolio Assignment (its constituents)
CRSP/Compustat Merged Database (Associated Balance sheet Information/Fundamental data)
Daily and Monthly CRSP US Treasury Databases
CRSP Survivor Bias Free US Mutual Fund Database
Proxy/10k SEC Filings
Our Products….Daily and Monthly CRSP US Stock Databases
NYSE, AMEX, Nasdaq common stocks
Basic stock indices (Value- and equal-weighted indices with or without dividends; S&P 500 Composite index and returns; Nasdaq Composite index and returns
End of day and Month End Data
Event and time series data; price, volume, return, distribution, and name history data
History: NYSE - monthly data begins December 1925, daily July 1962.
AMEX - both monthly and daily data beginJuly 1962
Nasdaq - both monthly and daily data begins December, 14 1972
Distribution Information: All distributions, dividend amounts, factors to adjust price and shares, declarations, ex-distributions, record and payment dates, and security and company linking information
CRSP US Indices Database
Indices on a daily, monthly, quarterly and annual frequency
CRSP Basic Indices: (as highlighted on previous slide)
CRSP US Market Cap-Based Portfolios:
NYSE stocks ranked by market capitalization
Divided into 10 equally populated portfolios
AMEX and Nasdaq National Market stocks placed into deciles according to their respective capitalizations, using the NYSE breakpoints
CRSP Market Capitalization Portfolios:
The universe of 10 equally populated portfolios is comprised of NYSE, AMEX and Nasdaq stocks are used as decile breakpoints for all stocks
Our Products….
CRSP US Indices Database..
CRSP Indices for the S&P 500 Universe
Daily and monthly filesValue- and equal-weighted returnsWith and without dividends
CRSP US Treasury and Inflation Series
Monthly files Returns and index levels on US Treasuries,US Government Consumer Price Index and index level
Our Products….
Our Products….
CRSP/COMPUSTAT Merged Database
• Provides a unique and historical link matching CRSP security data (PERMNO/PERMCO) with COMPUSTAT fundamental company data (GVKEY).
• A subscription to both CRSP stock data and select COMPUSTAT data files are prerequisite subscriptions for this database.
• The COMPUSTAT data is provided reformatted as a CRSPAccess database with the link for easier data integration on CD-ROM.
CRSP US Treasury Databases
Complete historical descriptive information and market data; Prices, yields, and durations Month-end data since 1925 and daily data since 1961
Daily Data: Daily quote dates, delivery dates, 1-, 3-, and 6-month CD rates, 30- and 60-, and 90-day commercial paper rates, and Federal funds effective rate.
Monthly Data: Monthly quote and delivery dates with date information provided in multiple formats to facilitate date arithmetic
Supplemental These include files designed by Eugene F. Fama, Robert R. McCormick Files: Distinguished Service Professor of Finance, The University of Chicago
Graduate School of Business. These files extract term structures and risk-free rates.
There are four groups of supplemental files.
The Treasury Bill Term Structure FilesThe Fama-Bliss Discount Bond Files The Risk-Free Rates File The Maturity Portfolio Returns File
Our Products….
CRSP Survivor-Bias Free US Mutual Fund Database
Developed by Mark M. Carhart for his 1995 Ph.D. dissertation from the Graduate School of Business at the University of Chicago
“Survivor Bias and Persistence in Mutual Fund Performance”
In his dissertation, he noted that “there has been a disappearance of many funds through merger, liquidation and other means that …this data is often not reported and ...in most cases is (electronically) purged from current databases.”
The result is a selection bias on the mutual fund data available to researchers: only survivors are included.
Records the fund name and organizational history and holdings information
Tracks monthly returns, monthly total net assets, monthly net asset values and monthly distributions
Contains open-ended U.S. mutual funds from January 1, 1962
Updated quarterly, with a quarterly lag
Primary data source: Standard & Poor’s® Fund Services
Our Products….
Phone:
Sales: 773.834.4606Support: 773.834.1025
Fax: 773.702.3036
Website: www.crsp.uchicago.edu
Email:Sales: [email protected]: [email protected]
Address: CRSPUniversity of Chicago, Graduate School of Business725 South Wells Street, Suite 800Chicago, Illinois 60607-4501
Office Hours: Monday – Friday, 8:30 AM – 5:00 PM Central TimeSupport Hours: Monday – Friday, 9:30 AM – 2:00 PM Central Time
How to contact us?
