If I create a portfolio based on a list of PERMNOs and one or more of the securities associated with those PERMNOs were delisted prior to the end of the given period, how are the returns for the remainder of the period calculated?
Once delisted, an issue is given no weight in the portfolio. The returns reflect the value- or equal-weighted average of the returns of the remaining securities.
EXAMPLE:
We create two portfolios. Port1 has two PERMNOs (10106 and 10107) and Port2 contains only one PERMNO 10107. PERMNO 10106 was delisted on 19950105.
PERMNO
Begdt
- Enddt
10106
19860312
- 19950105
PERMNO
Begdt
- Enddt
10107
19860313
- 20071130
Beginning 19950106, the first day PERMNO 10106 is no longer in the portfolio and the returns in Port1 match the returns on Port2.
Weight
Usdcnt
Ret
port1 19950103
35565600.00
2
-0.015290
port1 19950104
35021812.50
2
0.007232
port1 19950105
35275100.00
2
-0.016467
port1 19950106
34642125.00
1
0.016771
port1 19950109
35223125.00
1
-0.006186
port1 19950110
35005250.00
0.012448
Weight
Usdcnt
Ret
Port2 19950103
35513625.00
1
-0.015337
Port2 19950104
34968937.50
1
0.007269
Port2 19950105
35223125.00
1
-0.016495
Port2 19950106
34642125.00
1
0.016771
Port2 19950109
35223125.00
1
-0.006186
Port2 19950110
35005250.00
1
0.012448
What is the coding scheme for the CRSP stand-alone index files?
Referencing the following coding scheme will allow users to determine file names in the stand-alone index files. For example, the file DSIX.xls, is the Excel spreadsheet containing the daily indexes for the NYSE, NYSE American, and NASDAQ exchanges.
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If I create a portfolio based on a list of PERMNOs and one or more of the securities associated with those PERMNOs were delisted prior to the end of the given period, how are the returns for the remainder of the period calculated?
Once delisted, an issue is given no weight in the portfolio. The returns reflect the value- or equal-weighted average of the returns of the remaining securities.
EXAMPLE:
We create two portfolios. Port1 has two PERMNOs (10106 and 10107) and Port2 contains only one PERMNO 10107. PERMNO 10106 was delisted on 19950105.
Beginning 19950106, the first day PERMNO 10106 is no longer in the portfolio and the returns in Port1 match the returns on Port2.
What is the coding scheme for the CRSP stand-alone index files?
Referencing the following coding scheme will allow users to determine file names in the stand-alone index files. For example, the file DSIX.xls, is the Excel spreadsheet containing the daily indexes for the NYSE, NYSE American, and NASDAQ exchanges.
First character represents the frequency
Second and third characters represent the data
Fourth character represents the exchange