Transcription
SURVIVOR-BIAS-FREEUS MUTUAL FUND GUIDEUpdated November 30, 2010
105 West Adams, Suite 1700Chicago, IL 60603Tel: 312.263.6400Fax: 312.263.6430Email: Support@crsp.ChicagoBooth.edu
Table of ContentsChapter 1: Introduction. 1Introduction to the CRSP SurvivorBias-Free US Mutual Fund Database.1File Overview.1Chapter 2: Data Descriptions. 3Data Model for the CRSP Survivor-Bias-FreeUS Mutual Fund Database.3Overview and table list.4Variable Listings within Tables.5Appendix A: Data Code Listing. . 15Appendix B: SAS Sample Programs. 30PORTFOLIO.SASSAS Sample Program 1. 30Companies Held by Growth Funds.SASSAS Sample Program 2. 31CLASS OBJ FREQ.SASSAS Sample Program 3. 33
Chapter 1: IntroductionIntroduction to the CRSP SurvivorBias-Free US Mutual Fund DatabaseThe CRSP Mutual Fund Database is designed tofacilitate research on the historical performance ofopen-ended mutual funds by using survivor-bias-free data.The CRSP Survivor-Bias-Free US Mutual Fund Databaseincludes a history of each mutual fund’s name, investmentstyle, fee structure, holdings, and asset allocation. Alsoincluded are monthly total returns, monthly total netassets, monthly/daily net asset values, and dividends.Additionally, schedules of rear and front load fees, assetclass codes, and management company contact informationare provided. All data items are for publicly traded open-endmutual funds and begin at varying times between 1962 and2008 depending on availability. The database is updatedquarterly and distributed with a monthly lag. It is deliveredin ASCII and SAS formats.Results were independently verified by a dedicated groupof database researchers which included random sampleselection when appropriate.Known Biases in mutual fund dataThe returns histories are sometimes duplicated in thedatabase. For example, if a fund started in 1962 and splitinto four share classes in 1993, each new share class of thefund is permitted to inherit the entire return/performancehistory. This can create a bias when averaging returns acrossmutual funds.A selection bias favoring the historical data files of the bestpast performing private funds that became public does exist.The SEC has recently begun permitting some funds (andeventually probably all funds) with prior returns historiesas private funds to add these returns onto the beginningof their public histories. The effect of this is that onlythe successful private fund histories are included in thedatabase.File Development and Data SourcesFile OverviewThe CRSP Mutual Fund Database was created in 3 stages.Data Accuracy for the CRSP Survivor-BiasFree Mutual Fund DatabaseThe CRSP Mutual Fund files are designed for research andeducational use. CRSP expends considerable resources inthe ongoing effort to check and improve data quality bothhistorically, and in each current update. Data corrections tohistorical information are made as errors are identified andare detailed in the release notes that accompany each datacut.Utilizing Lipper and other data as sources for the mutualfund database, CRSP is able to do extensive data crosschecking. Quality Assurance and Quality Controlprocedures have been used throughout the process ofupdating the CRSP mutual fund database with datafrom new sources. This included but was not limited todeveloping and carrying out testing plans based on processrequirements and design and assuring that all steps ofthe process are documented and executed accordingly.The original CRSP Mutual Fund Database contained openend mutual fund data beginning December 1961 throughDecember 1995. The database was developed by Mark M.Carhart for his 1995 dissertation submitted to the GraduateSchool of Business entitled, “Survivor Bias and Persistencein Mutual Fund Performance,” to fill a need for lacking datacoverage. Funding of the original project was provided byEugene F. Fama and the Center for Research in SecurityPrices.The Center for Research in Security Prices continued Mr.Carhart’s work after his graduation. Historical data in thedatabase were collected from printed sources, includingthe Fund Scope Monthly Investment Company Magazine, theInvestment Dealers Digest Mutual Fund Guide, Investor’s MutualFund Guide, the United and Babson Mutual Fund Selector, andthe Wiesenberger Investment Companies Annual Volumes.The data were compiled into an annual list of active mutualCRSP Survivor-Bias-Free US Mutual Fund Database Guide page 1
2Chapter 1: Introductionfund names and attributes, along with organizationalhistory such as name changes, mergers, andliquidations. Monthly returns were calculated back toJanuary 1962. Funds that were not in the WiesenbergerInvestment Companies Annual Volumes or other printedmaterials were added, although instances of this wererare. As the last step in this second stage, the datawere checked against original and secondary sourcesfor any unusual entries and typographical errors.Beginning with the December 2007 iteration of thedatabase, current and historical data back to Augustof 1998 are provided electronically by Lipper andThomson Reuters. New fund style data items havebeen added to the original database.CRSP Survivor-Bias-Free US Mutual Fund Database Guide
Chapter 2: Data DescriptionsData Model for the CRSP Survivor-Bias-Free US Mutual Fund DatabaseThe below data model represents the relationships between the tables found in the database. Asdepicted, the Fund Header table is the central table for the database. This table contains the mostrecent information for all funds, both currently active and delisted. From this table researchers maybranch out to other tables where information is grouped into categories; for instance Fund Fees, MonthlyNAV, Holdings, and so on.Holdings arecomprised ofCompanies HeldHOLDINGS CO INFOCRSP Survivor-Bias-Free US Mutual Fund Database Guide page 3
4Overview and table listChapter 2: Data DescriptionsThe CRSP Survivor-Bias-Free US Mutual Fund Database provides open-ended mutual fund data beginningDecember 1961 for funds of all investment objectives, principally equity funds, taxable and municipal bondfunds, international funds and money market funds.The database consists of a group of tables listed in the Table Overview below. Following the Table Overview, alisting of variables and brief descriptions are provided for each individual table. Data availability differing fromthe December 1961 start date is noted where applicable.database tables overviewCRSP Survivor-Bias-Free US Mutual Fund Database GuideTableNameDefinitioncontact infoContact InformationCurrent and historical contact informationdaily navDaily Net Asset ValueNet Asset Value for each trading daydaily returnsDaily ReturnsReturns for each trading daydividendsDividendsFund dividendsfront load detFront Load DetailDetails of front load feesfront load grpFront Load GroupEffective dates for front load feesfund feesFund FeesFees associated with each fundfund hdrFund HeaderMost recent identification information for each fundfund hdr histHistorical Fund HeaderHistorical identification information for each fundfund styleFund StyleStyle attributes for each fundfund summaryFund SummarySummary data for each fundholdingsHoldingsPortfolio holding informationholdings co infoHoldings Company InformationInformation about companies held in portfolioscrsp portno mapCRSP PORTNO MapMap to portfolio for security holdings infomonthly navMonthly Net Asset ValueNet Asset Values as of the last trading day of each monthmonthly returnsMonthly ReturnsMonthly holding period returnsmonthly tnaMonthly Total Net AssetsTotal Net Assets as of the last trading day of each monthrear load detRear Load DetailDetails of rear load feesrear load grpRear Load GroupEffective dates for rear load fees
5Variable Listings within TablesIn the following tables, “*” designates items on which to key.Contact Information “CONTACT INFO”Chapter 2: Data DescriptionsNameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fundData Availability*chgdtDATEChange Date – beginning of range for contact informationchgenddtDATEChange End Date- end of range for contact informationaddress1VARCHAR(40)Management company address - Line 1Begins January 2000address2VARCHAR(40)Management company address - Line 2Begins January 2000cityVARCHAR(30)Management company cityBegins January 2000stateVARCHAR(2)Management company stateBegins January 2000zipCHAR(5)Management company zip codeBegins January 2000phone numberVARCHAR(12)Management company phone numberBegins January 2000fund toll freeVARCHAR(12)Fund company toll free numberBegins January 2000websiteVARCHAR(256)Website adress of fund or managment companyBegins January 2008CRSP Survivor-Bias-Free US Mutual Fund Database GuideDaily Net Asset Value “DAILY NAV”NameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*caldtDATECalendar date for which daily NAV appliesdnavFLOATDaily Net Asset Value per share at the end of the trading dayData AvailabilityBegins September 2, 1998Daily Returns “DAILY RETURNS”NameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*caldtDATECalendar date for which return data appliesdretFLOATTotal daily return per share associated with given dateData AvailabilityBegins September 2, 1998
6Note about returns:Daily and monthly returns values are calculated as a change in NAV including reinvested dividends from one period to the next. Navs are net of all management expensesand 12b-fees. Front and rear load fees are excluded.Chapter 2: Data DescriptionsReturns are calculated as follows: Nav t * cumfact Rt 1Nav t 1 Where t-1 may be up to 3 periods prior to t. The cumfact variable is calculated for the period in the following manner:For each fund we calculate a total adjustment factor for each day the fund trades. The total adjustment factor starts out as 1 for a given day and then ismodified depending on the types of dividends found for that fund and day.Adjustment factors for each dividend on a given day are calculated as follows:If first letter of dis type is either C or D then adj dis amt/reinvest navwhere from the Dividends table,adj Adjustment Factordis amt Distribution amountCRSP Survivor-Bias-Free US Mutual Fund Database Guidereinvest nav Reinvestment amount of daily or monthly NAVIf the first letter of dis type is a S then adj 1/spl ratiowhere from the Dividends table,adj Adjustment Factorspl ratio Split RatioThe total adjustment factor, totadj, for a given day is updated for each dividend as follows:If the dis type S then totadj totadj * adjIf the dis type C or D then the totadj totadj adjThe dividend file is sorted in distribution type order which implies that when splits and cash dividends occur on the same day, the cash dividends are processed first.Finally cumfact starts with the value of 1 and is calculated for the period of the return in the following manner: For each day in the holding period, cumfact cumfact *totadj.
7Dividends “DIVIDENDS”Chapter 2: Data DescriptionsNameDatatypeDefinitionData Availability*crsp fundnoINTEGERUnique identifier for fundBegins December 1961*caldtDATECalendar date for which dividend applies*dis typeVARCHAR(2)dis typeCCBCHCJCLCMCOCPCQCRCSCTCUDescriptionCapital Gain No indication of termQualified Short Term Capital GainNon-Qualified Short Term Capital GainPre-JGTRAA (The Jobs and Growth Tax Relief Reconcilliation Act of 2003) LongTerm Capital GainLong-Term Capital GainMedium-Term Capital Gain (ends 199808)CollectiblesSuper-Long-Term Capital Gain (For securities held more than 5 years)Section 1202 Capital Gain (Small Business Stock Exclusion & Rollover of GainExclusion)Return of CapitalShort-Term Capital GainREIT Section 1250 Capital GainUndistributed Capital GainCRSP Survivor-Bias-Free US Mutual Fund Database GuideLong-Term (CL), Short-Term (CS), and Mid-Term (CM) Capital Gain codes are defined by thetax code. Most often the short-term gain is for an investment sold at a profit that was heldfor less than a year. Mid-term capital gain is defined as an investment sold at a profit thatwas held for more than one year. Mid-term capital gain is effective for the period betweenJuly 29, 1997- December 31, 1997, for investments held for more than one year but less than18 months. In this same period, long-term capital gain is declared on those investments heldfor more than 18 months.dis typeDDDDEDGDTDUDWDYSDescriptionIncome Dividend (ends 199808)Qualified Income DividendExempt Income DividendNon-Qualified Income DividendIncome DividendUntaxed dividends (ends 199808)Sum of Daily Accrual DividendsInterest Income DividendSplit dividendIn some cases, a fund may have both Taxable (DT) and Untaxed (DU or DE) Dividends. Taxexempt funds may have a small portion of a taxable dividend. For tax-exempt funds, most ifnot all income dividends are exempt from federal income tax. However, it is possible that atax-exempt fund could earn taxable interest income that would be distributed to shareholdersas taxable income dividends.dis amtFLOATDistribution AmountIf dis type S (Split), dis amt 0reinvest navFLOATReinvestment Price as reported by the fund. Represents the fund’s NAV at whichdistributions are reinvested.If dis type S (Split), reinvest nav 0spl ratioFLOATSplit ratio
8Front Load Detail “FRONT LOAD DET”Chapter 2: Data DescriptionsNameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*front group noINTEGERFront Group Number - Unique identifier for the front load group. This item allows a scheduleof front load fees to be grouped together.*dollar amtINTEGERDollar Amount of sales charge. Represents a breakpoint in a schedule of generally decliningfront load fees. If missing, front load is the maximum front load for the fund.front loadFLOATFront load for investments represents maximum sales charge at breakpoint (represented indecimal format i.e. .075 7.5%)Data AvailabilityBegins 1992Front Load Group “FRONT LOAD GRP”NameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*front group noINTEGERFront Group Number – Unique identifier for the front load group. This item allows aschedule of front load fees to be grouped together.begdtDATELoad effective date range beginning and ending datesenddtDATEData AvailabilityCRSP Survivor-Bias-Free US Mutual Fund Database GuideLoad Detail and Load Group Data Structures:The data model uses a group and detail structure to allow efficiency in storing data and to allow the modeling of a schedule of fees. For instance, when a fund offers aschedule of different fees, front load fees often change with the level of investment, each breakpoint in that fee structure will have the same group identifier. A new groupfor a particular CRSP Fund Number is created only when the fees change. During each update, if the fund continues to charge the same fees, the only change is to the “enddate” of the group.Fund Fees “FUND FEES”NameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fundData Availability*begdtDATEBeginning of date range for fee information. For annual data, information is valid for theyear portion of the begin date.enddtDATEEnd of date range for fee informationactual 12b1FLOATReported as the ratio of the total assets attributed to marketing and distribution costs.Represents the actual fee paid in the most recently completed fiscal year as reported in theAnnual Report Statement of Operations. Represented in decimal format. -99 & 0 (prior to 1998) are used when no 12b-1 fee is reported.Begins 1992max 12b1FLOATMaximum contractual 12b-1 fee. Represented in decimal format. A fund with an actual 12b-1 value of -99 may have a max 12b1 fee indicating themaximum even though none is currently being reported. Null values are used when no maximum value is reported.Begins 1998exp ratioFLOATExpense Ratio as of the most recently completed fiscal year. Represented in decimal format.Ratio of total investment that shareholders pay for the fund’s operating expenses, whichinclude 12b-1 feesexp ratio may include waivers and reimbursements, causing it to appear to be less than thefund management fee.mgmt feeFLOATManagement fee ( )/ Average Net Assets ( )The fee is calculated using ratios based on the line items reported in the Statement ofOperations. The management fee can be offset by fee waivers and/or reimbursementswhich will make this value differ from the contractual fees found in the prospectus.Reimbursements can lead to negative Management Fees.Begins 1998
9NameDatatypeDefinitionturn ratioFLOATFund Turnover Ratio. Minimum (of aggregated sales or aggregated purchases of securities),divided by the average 12-month Total Net Assets of the fund.Data AvailabilityChapter 2: Data DescriptionsRatio is expressed as a percentage of the fund. For example, .54 represents 54% turnover.Almost all the funds with a 0 turnover ratio are money market funds. A few funds that havea passive management style may also show very low or 0 turnover ratios.fiscal yearendDATEEffective date used for feesFund Header “FUND HDR”NameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*crsp portnoINTEGERPortfolio NumberData AvailabilityUnique identifier for a security or a group of securities held in the fund’s portfolio. Aportfolio may be held by one or many different funds.fund nameVARCHAR(140)The full name of the fundnasdaqVARCHAR (5)NASDAQ ticker symbol. Available for NASDAQ listed funds only.ncusipVARCHAR(9)Fund CUSIP. Available for internal use by client only. Go to www.crsp.ChicagoBooth.edu/crsp/policies/index.html for CUSIP licensing information.CRSP Survivor-Bias-Free US Mutual Fund Database Guidefirst offer dtDATEDate when the fund was first offeredmgmt nameVARCHAR(80)Management Company Namemgmt cdVARCHAR(4)Management Company Code. An identifier for the Management Company.mgr nameVARCHAR(30)Portfolio Manager Namemgr dtDATEDate that the current portfolio manager assumed responsibility for the portfolioadv nameVARCHAR(40)Fund Advisor NameDecember 1999open to invVARCHAR(1)Identifies if the fund is open to investors:Y YesN NoDecember 1999retail fundVARCHAR(1)Identifies if a fund is a retail fund or not:Y YesN NoDecember 1999Inst fundVARCHAR(1)Identifies if a fund is an institutional fund:Y YesN NoDecember 1999m fundVARCHAR(1)Identifies if a fund was originally a “M” fund:Y YesN NoNote: “M” funds are “dead” funds that were introduced to the database when originallybuilt by Mark Carhart in order to eliminate survivor bias.index fund flagVARCHAR(3)Identifies if a fund is an index fund:B Index-based fund - utilizes indices as its primary filter for the purchase and sale ofsecurities. This is accomplished by investing in the components of one or more indices, orby investing in a small percentage of securities within the index in an attempt to capturethe best performers. In each case, the option to invest a portion of assets outside thesecurities held by the index is left open.D Pure Index fund - objective is to match the total investment performance of a publiclyrecognized securities market index. The fund will hold virtually all securities in the notedindex with weightings equal to those in the index.E Index fund enhanced - objective is to exceed the total investment performance ofa publicly recognized securities market. This is accomplished by investing primarily inderivatives based on the index itself and/or the securities within the index, or by utilizingdifferent weightings for the securities held by the indexDecember 1999June 2008
10NameDatatypevau fundet flagDefinitionData AvailabilityY Fund is a variable annuity underlying fundN Fund is not a variable annuity underlying fundVARCHAR(1)Chapter 2: Data DescriptionsIdentifies if a fund is an ETF or ETN:F ETFN ETNend dtDATEDate of latest NAV datadead flagVARCHAR(1)Identifies if a fund is dead or still active:Y YesN Nodelist cdVARCHAR(3)Identifies the reason for the fund delisting:Delisting Codes (Post September 1998)CodeLMDescriptionLiquidationMergedDelisting Codes(Prior to September 1998)CRSP Survivor-Bias-Free US Mutual Fund Database Guide?CECLOLL?MM?RRTOTFEVASmerge fundnoINTEGERDon’t know what happened to this fundConverted to close-endClosed to new investment – not currently reportingLiquidatedProbably LiquidatedMergedProbably MergedRemoved at fund requestFund or data for this fund was removed from the database (Data should nothave been included)Tax Free Exchange Fund (data was from Wiesenberger)Variable annuity vehicleCRSP Fundno of the fund that acquired the assets of the delisted fundFund Header History “FUND HDR HIST”NameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*chgdtDATEDate that the header information was activechgenddtDATEDate that the header information became inactive*crsp portnoINTEGERPortfolio NumberUnique identifier for a security or a group of securities held in the fund’s portfolio. Aportfolio may be held by one or many different funds.Data AvailabilityAvailable for funds activeanytime since July 2003fund nameVARCHAR(140)The full name of the fundnasdaqVARCHAR (5)NASDAQ ticker symbol. Available for NASDAQ listed funds only.ncusipVARCHAR(9)Fund CUSIP. Available for internal use by client only. Go to www.crsp.ChicagoBooth.edu/crsp/policies/index.html for CUSIP licensing information.first offer dtDATEDate when the fund was first offered.mgmt nameVARCHAR(80)Management Company NameBegins 1993mgmt cdVARCHAR(4)Management Company Code. An identifier for the Management Company.Begins December 1999Begins 2001mgr nameVARCHAR(30)Portfolio Manager NameBegins 1993mgr dtDATEDate that the current manager took control and assumed responsibility for the portfolioBegins 1993
11Chapter 2: Data DescriptionsNameDatatypeDefinitionData Availabilityadv nameVARCHAR(40)Fund Advisor NameDecember 1999open to invVARCHAR(1)Identifies if the fund is open to investors:Y YesN NoDecember 1999retail fundVARCHAR(1)Identifies if a fund is a retail fund or not:Y YesN NoDecember 1999inst fundVARCHAR(1)Identifies if a fund is an institutional fund:Y YesN NoDecember 1999m fundVARCHAR(1)Identifies if a fund was originally a “M” fund:Y YesN Noindex fund flagVARCHAR(3)Identifies if a fund is an index fund:B Index-based fundD Index fundE Index fund enhancedvau fundet flagJune 2008Y Fund is a variable annuity underlying fundN Fund is not a variable annuity underlying fundVARCHAR(1)CRSP Survivor-Bias-Free US Mutual Fund Database GuideIdentifies if a fund is an ETF or ETN:F ETFN ETNFund Style “FUND STYLE”NameDatatypeDefinitionData Availability*crsp fundnoINTEGERUnique identifier for fund*begdtDATEBeginning date in range for fund style informationenddtDATEEnd date for range for fund style informationsi obj cdVARCHAR(3)Strategic Insight objective codeBegins 1993Ends September 1998accrual fundVARCHAR(1)Yes or No flag identifying if fund is an accrual fund.Yes if there are daily accrualsBegins 1999sales restrictVARCHAR(1)Yes or No flag identifying if fund has sales restrictions.Yes if it is an affinity or employee-only fundBegins 1999wbrger obj cdVARCHAR(5)Wiesenberger Objective Code used to identity fund strategy. See AppendixA, page 15.Available through 1993policyVARCHAR(6)Types of securities held by the fund identified by character codesAvailable through 1990lipper classVARCHAR(4)Lipper classification codeBegin December 31, 1999lipper class nameVARCHAR(42)lipper obj cdVARCHAR(3)lipper obj nameVARCHAR(42)lipper asset cdVARCHAR(2)2 character codeEQ - Equity FundsTX - Taxable Fixed Income FundsMB - Tax Free Fixed Income FundsBegin December 31, 1999lipper tax cdVARCHAR(10)“Taxable” or “tax exempt”Begin December 31, 1999Begin December 31, 1999Lipper prospectus objective codeBegin December 31, 1999Begin December 31, 1999
12Fund Summary “FUND SUMMARY”Chapter 2: Data DescriptionsNameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*caldtDATEEffective date for summary datasummary periodVARCHAR(1)A AnnualQ QuarterlyM Monthlynav latestFLOATLatest Month-end NAVData AvailabilityBegins 1961 with year-endvaluesSwitches to quarterly valuesin 2000nav latest dtDATELatest Month-end NAV datetna latestFLOATLatest Month-end TNABegins 1961Reported in millions, by convention, .01 reflects all total net asset values 100,000.tna latest dtDATELatest Month-end TNA dateyieldFLOATIncome yieldCalculated as the ratio of income distributions and NAV at the end of theperiodBegins 1961with year-endvaluesSwitches to quarterly valuesin 2000CRSP Survivor-Bias-Free US Mutual Fund Database Guidediv ytdFLOATCalendar year-to-date dividend sumcap gains ytdFLOATCalendar year-to-date capital gains sumnav 52w hFLOAT52 week high NAVBegins 1998nav 52w h dtDATEDate of 52 week high NAVBegins 1998nav 52w lFLOAT52 week low NAVBegins 1998nav 52w l dtDATEDate of 52 week low NAVBegins 1998unrealized app depFLOATUnrealized appreciation/depreciation reported in thousandsBegins 1998unrealized app dtDATEEffective date for unrealized appreciation/depreciationBegins 1998asset dtDATEEffective date of the asset allocationsper comFLOATAmount of fund invested in common stocksper prefFLOATAmount of fund invested in preferred stocksper convFLOATAmount of fund invested in convertible bondsper corpFLOATAmount of fund invested in corporate bondsper muniFLOATAmount of fund invested in municipal bondsper govtFLOATAmount of fund invested in government bondsper othFLOATAmount of fund invested in other securitiesper cashFLOATAmount of fund invested in cashper bondFLOATAmount of fund invested in all bonds. Field is zero when a more granularbreakdown of bond investments is availableper absFLOATAmount of fund invested in Asset-Backed SecuritiesBegins October, 2010per mbsFLOATAmount of fund invested in Mortgage-Backed SecuritiesBegins October, 2010per eq othFLOATAmount of fund invested in other equitiesBegins October, 2010per fi othFLOATAmount of fund invested in other fixed-income securitiesBegins October, 2010maturityFLOATWeighted average maturity in yearsmaturity dtDATEEffective date of Weighted average maturity value
13Holdings “HOLDINGS”Chapter 2: Data DescriptionsNameDatatypeDefinition*crsp portnoINTEGERPortfolio number is the unique identifier for a security or a group ofsecurities held in a fund’s portfolio*report dtDATEDate of holdings as reported by CRSP’s sources*security rankINTEGERRank associated with the percentage of total net assets within the portfolioeff dtDATEDate holdings information was received from CRSP’s vendor. As a result,all effective dates are equal to or more current than report dates in thedatabase.percent tnaFLOATSecurity’s percentage of the total net assets in the portfolio. Value on whichthe security rank is calculated.nbr sharesINTEGERNumber of the security’s shares held in the portfoliomarket valFLOATMarket value of the security as of the effective date shown on the record*crsp company keyINTEGERUnique identifier for company information associated with holdings fileData AvailabilityBegins September 2003Holdings Company Information “HOLDINGS CO INFO”CRSP Survivor-Bias-Free US Mutual Fund Database GuideNameDatatypeDefinition*crsp company keyINTEGERUnique identifier for company information associated with holdings filesecurity nameVARCHAR(200)Name of the security heldcusipVARCHAR(10)CUSIP associated with the securitypermnoINTEGERCRSP’s permanent stock issue identifier. Available for issues covered in theCRSP universe.permcoINTEGERCRSP’s permanent company identifier. Available for companies covered inthe CRSP universe.tickerVARCHAR(6)Ticker symbol given by the exchangecouponFLOATBond coupon ratematurity dtDATEDate of bond maturityData AvailabilityCRSP PORTNO Mapping “CRSP PORTNO MAP”NameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*crsp portnoINTEGERPortfolio number is the unique identifier for a security or a group ofsecurities held in a fund’s portfoliobegdt*DATEBeginning date for which the map is validenddtDATEEnding date for which the map is validData AvailabilityMonthly Net Asset Value “MONTHLY NAV”NameDatatypeDefinitionData Availability*crsp fundnoINTEGERUnique identifier for fund*caldtDATECalendar date for which monthly NAV appliesmnavFLOATMonthly Net Asset Value per share, net of fund operating expensesBegins December 1961Data AvailabilityMonthly Returns “MONTHLY RETURNS”NameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*caldtDATECalendar date for which monthly returns data applymretFLOATTotal return per share as of month endNote about returns: Please see the note with Daily Returns on page 6.Begins December 1961
14Monthly Total Net Assets “MONTHLY TNA”Chapter 2: Data DescriptionsNameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*caldtDATECalendar date for which monthly TNA appliesmtnaFLOATTotal Net Assets as of month-end. Reported in millions of dollars.Beginning in September 1998, 0.1 reflects all total net asset values 100,000.Data AvailabilityBegins December 1961,annual data points through1969, Quarterly through 1990then MonthlyRear Load Detail “REAR LOAD DET”NameDatatypeDefinition*crsp fundnoINTEGERUnique identifier for fund*rear group noINTEGERRear Group Number - Unique identifier for the rear load group. This it
The CRSP Survivor-Bias-Free US Mutual Fund Database provides open-ended mutual fund data beginning December 1961 for funds of all investment objectives, principally equity funds, taxable and municipal bond funds, international funds and money market funds. The database consists of a group of tables listed in the Table Overview below.
