CRSPSIFT Guide. CRSP s Securities Information Filtering Tool. A Research Center at the University of Chicago Graduate School of Business

Transcription

1 CRSPSIFT Guide CRSP s Securities Information Filtering Tool A Research Center at the University of Chicago Graduate School of Business

2 105 West Adams Street, Suite 1700 Chicago, IL Tel: Fax: Version CA

3 Using CRSPSift Overview of New Features in CRSPSift CRSPSift has many features that make it more powerful and easier to use than previous CRSP utilities. Many of the new functions are listed below. Is there something you would like to see in a future version of CRSPSift? CRSP wants to hear your ideas. Future development of the software will be based in large part on suggestions from the user community. New Graphical Interfaces The command line utilities in CRSPAccess stkprint, indprint, and cstprint have been replaced with intuitive new graphical interfaces in CRSPSift. Data Environments Using previous utilities, to access a different cut of CRSP data, you first had to modify environment variables in the CRSPAccess Client Environment application. CRSPSift introduces a more convenient method called data environments. You can create a data environment for each set of data you use. To use a different data set, simply select its environment from a menu and rerun your query. Multiple Queries CRSPSift allows you to edit and run up to ten queries simultaneously. Direct Edit Direct Edit is especially helpful for users switching to CRSPSift from the previous CRSPAccess utilities. You can type or paste an existing request file into a window and then save it as a

4 CRSPSift query. CRSPSift automatically updates its graphical interface to reflect your query options. Output Layout Given the three dimensional structure of ts_print reports, visualizing the output of a query can be difficult. CRSPSift features an animated report preview that suggests how your output will look. This saves you the time of running a query multiple times to find the right format. Company Selection CRSPSift features a new company lookup utility that makes it easier to find the security you are looking for. You can search and sort results by Company Name, PERMNO, ticker symbol, or other identifier. Filtering Options New filtering options are available in CRSPSift, including the ability to filter on Portfolio Assignments and on the NYSE Arca exchange. Additional filtering options will be available in future releases of the software.

5 CRSPSift System Requirements Microsoft Windows XP Professional SP 2 Display resolution of 1024 x 768 or higher Microsoft.NET Framework 2.0 * Adobe Flash Player 9.0 * Non legacy product o Supported data cuts: Monthly data cuts beginning For additional data cuts, contact CRSP Client Services: support@crsp.chicagogsb.edu * Included on CRSPSift installation media. If either product is missing from your computer, the CRSPSift installer will ask if you want it to install the required software for you. If you decline, the installation process will stop without installing anything.

6 Installing CRSPSift Choosing an Installation Type CRSPSift must be installed by a user with administrator privileges. This conforms to Microsoft recommendations and allows the greatest flexibility and security for the following three installation types: a single user on a single computer multiple users on a single computer multiple users on a network installation These installation types refer to the CRSPSift application itself and are independent of the location of your CRSP databases. In all cases, databases can be stored on either a local drive or a mapped network drive. Depending on your network resources, network access to data may be slower than local access. Before installing the CRSPSift application, choose which of the three installation types is right for you. Single user on a single computer. CRSPSift is installed on a local drive for use by a single user. This type of installation has been extensively tested and is fully supported. Multiple users on a single computer. CRSPSift is installed on a local drive for use by all users with accounts on that computer. The installation process creates Desktop and Start Menu shortcuts to the application for each user. In this case, each user can create his own private Data Environments, as well as work directories to store saved queries and output files associated with a Data Environment. Work directories must point to a location where the user has read and write privileges. This type of installation has been extensively tested and is fully supported. Multiple users on a network installation. CRSPSift is installed on a network drive and can be used at multiple workstations. In this scenario, a shortcut to the application must be created

7 manually on each workstation where it will be used. For example, if a workstation user has mapped the installation drive to X, his shortcut will point to the following location: X:\CRSP\CRSPSift\bin\ As with multiple users on a single computer, in this installation type each user creates his own private Data Environments and work directories in locations where he has read and write privileges. This type of installation has received only limited testing and is therefore not fully supported. For more information about this type of installation, refer to Appendix A: Installing CRSPSift for Multiple Users on a Network.

8 Installing the CRSPSift Application To launch the installation wizard, double click setup.exe on the CRSPSift installation disc. After a few moments the welcome screen will appear. Click Next to advance to the license agreement screen. When you have read and accepted the terms of the license agreement, click Next. Choose the installation type you would like, either for a single user or all users on the workstation. You can now select the destination folder where CRSPSift will be installed. If you are satisfied with the default folder, click Next. Otherwise, click the Change button, select your desired folder, and then click Next to continue. CRSPSift is now ready to be installed. If you wish to review or change installation settings, click the Back button. To stop installation, click the Cancel button. If you are ready to install, click the Install button. Once installation is complete, click the Finish button to exit the wizard.

9 Getting Started with CRSPSift Running CRSPSift The installation wizard places a shortcut to the application in your Start menu and an icon on your desktop. To launch CRSPSift, click the CRSPSift icon or click Start > All Programs > CRSPSift > CRSPSift 1.2. To create or change a data environment, select New Data Environments from the CRSPSift Welcome Screen.

10 Data Environment Setup Before working with CRSPSift, you must first create at least one data environment. A data environment stores information about the locations of your CRSPAccess databases. Creating multiple data environments allows you to query different cuts of CRSP data without re entering database settings each time. Click New to set up a new environment. First, give this data environment a descriptive name in the Description field. This name will appear in the list of data environments in CRSPSift s toolbar. Next, enter the locations of your Daily Stock, Monthly Stock, and CRSP/Compustat Merged databases in the fields provided. Finally, scroll down to enter a Working Directory location where CRSPSift will store saved queries and output files.

11 When you have finished, click the Save button. Your new data environment now appears in the list of environments on the left side of the window. To view, change, or delete a data environment, select its name from the list and make your desired changes. Click OK when you are ready to leave the Data Environment Setup window.

12 Overview of CRSPSift Queries With a data environment in place you can start creating queries. To create a new query, select the query tool that you wish to use: tsquery, StkQuery, IndQuery, and CCMQuery (available to CRSP Compustat Merged Database subscribers. See the Choosing a Query Tool tutorial for more information about each CRSPSift query tool. You can have up to ten queries open simultaneously for editing. Open queries appear in a list on the left side of the CRSPSift window, and in a row of tabs beneath the toolbar. To edit an open query, either double click its entry in the queries list or single click its tab.

13 For all query types, the task of creating a query definition is divided across a set of screens. Tabs for moving among the screens are located below the row of query tabs at the top of the CRSPSift window. When you have finished entering query parameters in one screen, move on by clicking the next screen s tab. Continue until all screens are complete. Once you have finished editing a query, you can execute it by clicking the Execute button in the toolbar. A status bar near the bottom of the CRSPSift window indicates the current activity. While executing, a Running Query message appears. If there are no errors in the query, the status message changes to Query Completed when execution has finished. To see the output of a successful query, click the View Output button in the toolbar. Your output will appear in the Microsoft Notepad application. A Sample tsquery Click the New Query button on the CRSPSift toolbar. Select the Data Environment you wish to use, highlight the tsquery icon, and then click the OK button. You can now fill out the screens required to define your query: entities, data items, date information, and report layout. CRSPSift Shortcut All open queries are shown in CRSPSift s Queries list. To go directly to a particular tab of a tsquery, double click the name of the tab. In the screen shown here, for example, double clicking Date would take you directly to the Date tab of the query NewQuery1.

14 Optionally, you can type or paste tsquery code directly into the Direct Edit screen. This is very useful for ts_print users who would like to use existing request files in the new interface. To use this feature, click the Direct Edit tab. Click the Edit button above the text area there, and then type or paste your query code, overwriting the template query code. When you are finished, click Save. If the syntax of your query is correct, CRSPSift automatically populates the appropriate fields in the other screens to reflect your query code. Step 1: add entities. Click the Entities tab of your tsquery if it is not the active tab. In the Entities screen, you select which securities, indices, or portfolios your query will use. To add an entity, select an entity type from the drop down menu and click the New button. Options for the entity type you chose will appear in the upper area of the screen. After setting appropriate options, click the Add button to add this entity to the hopper in the lower area of the screen.

15 Clicking an entity s row in the hopper displays the options and values you have set for it. Using this method, add as many entities as your query requires. If you wish to change the order in which entities appear in the hopper, click on a row and use the arrow buttons to move it up or down.

16 To go back and edit an entity click its row in the hopper, and then click the Edit button. When you have finished editing the entity, click the Save button to save your changes. To delete an entity from the hopper, select its row and click the Remove button. The Remove All button deletes all entities that you have added.

17 Step 2: add data items. Click the Data Items tab. Here you can select the CRSP data items relevant to your query. Select a database type from the drop down menu, either daily or monthly. When you choose a database type, a hierarchical menu of applicable data items appears. After selecting a data item, if you want to keep the default settings for field width, data length, header, data type, and alignment, click the Add button to add that item to the hopper below. Otherwise, click the Change Default Values box, modify the settings, and then click Add. Changing default settings affects the item report formatting. Field Width the allotted number of characters that an item will be given in the output file. Field Width must be greater than or equal to the Data Length for the requested item. Note that expanding Field Width does not increase a data item s numeric precision. Data Length CRSP recommends keeping the Data Length field consistent with the Field Width so that the item is not truncated. Header If column headers are used, more descriptive names may replace the default itemids.

18 Item Lag A new feature in CRSPSift, used to either lead or lag a data items. A positive number of periods will lag the data by the number of periods designated in the output calendar, while a negative number will lead the data item. For example, given a December 2006 date in an output file, prices requested with a two month lag will return the October 2006 values, and prices requested with a two month lead will return prices for February Data Type CRSP recommends that Data Type not be edited. What appears in the field is what CRSP has identified to be appropriate for the underlying data item. Repeat this process until all the data items of interest to you appear in the hopper at the bottom of the screen. As in the Entities screen, use the arrow buttons to the right of the hopper to change the order in which data items appear. To modify the settings for a data item in the hopper, double click its row. Change the data item settings to your liking, and then click the Update button. When you change an item s settings from the default, its entry in the hopper displays a Yes in the Customized? column. To cancel changes, click the Cancel button. To remove an item from the hopper, click the Remove button. To remove all items from the hopper, click the Remove All button.

19 Step 3: define date information. The Date screen sets the dates that will be used for the data items selected for each entity. You can define your own set of dates for a query, or you can select one of several predefined calendars. To use a predefined calendar, click the Calendar Name radio button and select a calendar Daily, Weekly, Monthly, Quarterly, or Annually from the menu.

20 You may want to create a custom calendar with dates for output that are not available in one of the Standard Calendar Name options. To create a custom calendar with only those dates of interest to you, select Calendar File from the Tools menu. In the Calendar File window, first specify a location to save the file. Type a path into the Output File text box, or click Browse to navigate to the desired directory.

21 Next, define the custom calendar s frequency and the date range for the frequency. In the Date Range for Frequency area, click the start date menu and select a date from the popup calendar. Then either specify an end date in the same manner, or choose to end after a certain number of occurrences. Occurrences refers to the frequency you define in the Frequency area below. For example, say you define a weekly frequency recurring on Wednesdays, and choose to end after twelve occurrences. The query report will include data only from the twelve Wednesdays subsequent to the start date you specified. With the date range in place, define the frequency of dates your query will access. In the Frequency area, select a frequency from the list at the left. If your query will use only individual dates with no regular interval, select None. You can then select those dates in the Custom Dates area below the Frequency area. If your query s calendar will have some regular frequency, select one of the other options: Daily, Weekly, Monthly, or Yearly. When you select one, controls appear to the right allowing you to customize the frequency. Customization options are as follows. Daily: Specify the frequency of days in the calendar, e.g., every day, every five days, etc.

22 Weekly: Specify the frequency of weeks in your calendar, and select which days of the week will be included in a query report. For example, a calendar might include only the Monday and Friday of every third week between the start and end dates. Monthly: A monthly frequency provides two options. One is to select the frequency of months and specify which day of the month to include for instance, the tenth day of every other month. The other also allows you specify the frequency of months, the type of day to include (e.g., Weekday, Weekend Day, or Thursday), and when that day occurs in the month (e.g., Third or Last). For example, a calendar might specify the second weekend day of every month, or the last Thursday of every third month.

23 Yearly: The yearly frequency offers options similar to those of the monthly. A calendar might include March 3 rd of every year, or the first weekend day in January of every year. In addition to, or in place of, a specified frequency, a calendar can include specific custom dates. To add specific dates, click the menu on the left in the Custom Dates area. Use the popup calendar control to find and select a date, and then click the Add Date button to add it to the list on the right. To remove a date from the list, click the Remove Date button. When you are finished defining a custom calendar, click the Run button at the bottom of the Calendar File window to create the file. If you would like to view the generated file, click the View File button in the dialog box that appears. If not, click the Done button. The calendar file is now saved in the location you specified. To dismiss the Calendar File window, click the Close button. When you have finished creating the file, you can then click the Calendar File radio button and browse to the location where you saved it.

24 Date usage is linked to any date information entered in the Entities screen. If an event date is assigned to an issue, either in the Entities screen, or included in the list entity input file and identified through formatting, Relative Date Range should be selected. A relative date range specifies a window of time, in days, based on the event date chosen in the Entities screen. Take, for example, an event date of October 18, We would like to limit the results of our query to information from the five trading days preceding, but not including, the event date. To accomplish this, we first set the date range type to Relative. Then, in the Relative Event Date Range controls, we set the first parameter to five trading days before and the second parameter to one trading day before. The query will now return information only from October 13, 2005 to October 17, Similarly, depending on your needs, you could set the range to a window of days either surrounding or after a selected event date. If beginning and ending dates are identified in the Entities screen, Fixed Date Range should be selected in the Date screen. Note that Fixed Date Range acts as an umbrella to the beginning and ending dates selected and identified in the Entities screen, and must cover all dates requested. For example, if you used the following list entity input file, the Fixed Date Range set in the Date screen would need to span IBM Microsoft Step 4: select a report layout. Click the Layout tab. The Layout screen lets you specify the physical layout of your query s output. In the default report format, X, Y, and Z correspond to the Data Item, Date, and Entity information added to the query. The preview pane of the Layout screen shows an animated preview of how your report will appear, allowing you to visualize it

25 without first having to execute the query. This saves time and enhances the readability of your output. If, for instance, your query uses only a few entities, you may wish to place Entity on the report s X axis. If it uses many, you may prefer to place it along the Y or Z axis to limit the output s physical width. The nature of your query will determine the proper report layout. Use the controls to the left of the preview pane to test various scenarios. To see how a report will look given particular settings, modify the layout controls, and then click the Preview button. The contents of the pane will reorganize to reflect your settings, and the axes will briefly flash with color to identify themselves: X is purple, Y is green, and Z is red. It may also be helpful to think of X as rows, Y as columns, and Z as page. When you have found a suitable layout, click the Browse button next to the Output Location and File Name field. Navigate to where you want to save your report, give it a descriptive file name, and then click the Save button. When you execute the query, CRSPSift will save the report in this file.

26 A Sample StkQuery Click the New Query button on the CRSPSift toolbar. Select your data environment, then highlight the StkQuery icon, and then click the OK button. You can now complete the steps needed to define your query. Optionally, you can type or paste StkQuery options into the Direct Edit screen. This feature will be welcome to longtime users of the stk_print utility who are familiar with its command line syntax. To define a query using this method, click the Direct Edit button on the StkQuery toolbar. Type or paste query options into the text area, and then click Enter. The various StkQuery screens will automatically be filled in to reflect the options you specified. Steps 1 3: select a database, date range, and report format. Locate the StkQuery toolbar below the main CRSPSift toolbar. In the Database field, select which CRSP database your query will use, daily or monthly. Next, specify a date range. Enter dates using one of the following formats: YYYYMMDD, YYYYMM, or YYYY. The following table shows some examples of how to use the various formats. Start End Result all data from the beginning of September through December of (empty) all data in the year all data from the beginning of 1994 until June 15, (empty) data only on the date December 31, 1996 Finally, choose whether you would like the output of your query formatted for viewing, or in pipe delimited format, useful for importing into external applications.

27 Step 4: select securities. From the drop down menu in the Security Selection area, specify what key, such as PERMNO or Active Ticker symbol, your query will use. Next, identify the issue or issues of interest. If you know an identifier, you can enter it directly. For example, the ticker symbol of Apple Computer is AAPL. Given that knowledge, you can set the key to Active Ticker and enter AAPL as the identifier. If you do not know an identifier, click the Find button to open the Company Lookup window.

28 Use the search form to locate a particular company in the CRSP database. Companies matching your search criteria appear in a table, initially sorted by PERMNO, in the bottom part of the window. If your search yields many matches, click the column labels to re sort the table in the order most useful to you. When you have found the company you want, click its row in the table, and then click the Select button. The PERMNO of that company will appear in the identifier field. You may also choose to access all issues in the database, or issues you specify in an input file. In either case, choose the Active Key you will use. To search all issues, click All Issues in the Security Selection area. To use an input file, create a text file with an entry for each issue, one per row, using the active key you selected. For example, to search for Apple and Microsoft by PERMNO using an input file, select PERMNO from the Active Key menu. Next create and save the following two line text file:

29 Click Input File in the Security Selection area, and then click the Browse button to locate the input file you created. Step 5: select header and adjustment options. Click the Header / Adjustment Options tab if it is not the active tab. In this screen, select what stock header information you want in your report and how it should appear. You can also choose whether you would like raw or adjusted values for price, volume, or shares.

30 Step 6: select event data. Click the Event Data tab. Check the boxes corresponding to the event data your query will use.

31 Step 7: select time series data options. Click the Time Series tab. This screen lets you specify time series data options. Leave None if your query uses no time series data. To select from a list of commonly used combinations of time series data, click Pre Defined and click the option you want.

32 You can also build your own combination from all the available data items. To do so, click Individual. Click an item you want from the list of available items, and then click the right arrow to move it to the list of selected items. Control click names to select multiple items. Then click the right arrow to move them over as a group. When you have selected the items you want, click the up and down arrows to organize them in the order you prefer.

33 Step 8: select portfolios. Click the Portfolios tab. The Portfolios screen provides a list of predefined portfolios. Choose one or more of them to view the performance of an issue or issues over time, using the selected portfolios as benchmarks.

34 Step 9: select groups. Click the Groups tab. The groups screen allows you to view an issue s historical inclusion in selected groups. The S&P 500 is the only group currently available.

35 Step 10: saving query output and history. StkQuery output is shown in the output area at the bottom of the window. By default, the output of the last query execution is shown there. The Save Output and Clear Output buttons at the top of the output area allow you to save output to a text file or to clear it away. Clicking the History tab shows you the output of every query execution since the query was opened. When you switch to the query history view, the buttons above the output area change to Save History and Clear History. Save History allows you to capture the output of an entire StkQuery session. You can select a new security, or different data or options related to the same security. Each time you click Execute the new output is saved in the history. Then, by clicking Save History, you can save all the output to one text file.

36 A Sample CCMQuery Click the New Query button on the CRSPSift toolbar. Select a data environment that identifies a CRSP\Compustat database, as designated by the C in the Type column. Highlight the CCMQuery icon, enter a descriptive name, and then click the OK button. You can now complete the steps needed to define your query. Optionally, you can type or paste CCMQuery options into the Direct Edit screen. This feature will be welcome to longtime users of the cst_print utility who are familiar with its command line syntax. To define a query using this method, click the Direct Edit button on the CCMQuery

37 toolbar. Type or paste query options into the text area, and then click Enter. The various CCMQuery screens will automatically be filled in to reflect the options you specified. Steps 1 3: select date range, date display, and report format. Locate the CCMQuery toolbar below the main CRSPSift toolbar. First specify a date range for your query. Enter dates using one of the following formats: YYYYMM, or YYYY. The following table shows some examples of how to use the various formats. Start End Result all data from the beginning of September through December of (empty) all data in the year 1990 Next, from the Date Display menu, choose either Fiscal Period (the default) or Calendar. Finally, choose whether you would like the output of your query formatted for viewing, or in pipe delimited format, useful for importing into external applications.

38 Step 4: select companies. From the drop down menu in the Company Selection area, specify what key, such as GVKEY or PERMNO, your query will use. Next, identify the issue or companies of interest. If you know an identifier, you can enter it directly. For example, the GVKEY of Apple Computer is Given that knowledge, you can set the key to GVKEY and enter 1690 as the identifier. If you do not know an identifier, click the Find button to open the Company Lookup window.

39 Use the search form to locate a particular company in the CRSP database. Companies matching your search criteria appear in a table, initially sorted by PERMNO, in the bottom part of the window. If your search yields many matches, click the column labels to re sort the table in the order most useful to you. When you have found the company you want, click its row in the table, and then click the Select button. The PERMNO of that company will appear in the identifier field. You may also choose to access all companies in the database, or companies you specify in an input file. In either case, choose the Active Key you will use. To search all companies, click All Companies in the Company Selection area. To use an input file, create a text file with an entry for each company, one per row, using the active key you selected. For example, to search for Apple and Microsoft by GVKEY using an input file, select GVKEY from the Active Key menu. Next create and save the following two line text file:

40 Click Input File in the Company Selection area, and then click the Browse button to locate the input file you created. Step 5: specify header identification and link data. From the Header and Link tab, choose what header identification and link data you want at the beginning of your query report.

41 Step 6: specify industrial, bank, and Business Information (BIF) segment data items and options. The nature of your query will dictate your choice of data categories and data items. Industrial and Bank Data The interfaces for selecting industrial and bank data items are essentially the same. Click the Industrial tab. Here you can select what annual and quarterly data your query will use. If you know the data item numbers you want, you can enter them directly into the Data Item Numbers field. Separate multiple item numbers, or ranges of item numbers, with commas. For example, to enter items 1, 3 and 5 through 10, enter 1,3,5 10 in the Data Item Numbers field.

42 If you do not know the data item numbers, click the Find button to open the data item selection window. The data item selection window displays all available data items. Select an item from the list, and then click the Add Item(s) button to move it to the Selected Data Items list below. You can also select and move items in groups. For example, to select the first five items, click the first item, and then click the fifth item while holding the Shift key. To select only the first, third, and fifth items, click each one in turn while holding the Control key. Then click Add Item(s) to move the group to the Selected Items list. To narrow the list of available items displayed, use the Filter Options controls. Items can be filtered by either name or item number. For example, to see only items related to dividends, select Name from the Filter By menu, and then type dividends in the Filter Text field. The list of available items will show only those containing the word dividends. Alternately, to see only those items whose item numbers start with 2, select Item # from the Filter By menu. Next, select Starts With from the Filter Type menu, and then type 2 in the Filter Text field.

43 To control the order in which your report will display data items, use the up and down arrows to the right of the Selected Data Items list. Click an item or group of adjacent items, and then click the up or down arrow to reorganize the list. To remove an item or group of items, select them from the list and click the X button, located below the arrow buttons. Click the Annual Period Descriptors (for industrial data items) and Include Footnotes checkboxes to include that information in your report. Business Information Segment Data Click the Segment tab. In the Business Information (BIF) Segment Options area, click the checkboxes by the options relevant to your query. Next select what segment item data your query will use. If you know the item numbers, you can enter them directly into the field, in a comma delimited list.

44 If you do not know the item numbers, click the Find button to open the Compustat Segment Item Data window. Select an item from the Available Segment Items list at left, and then click the right arrow to move it to the Selected Segment Items list. You can also select and move items in groups. For example, to select the first five items, click the first item, and then click the fifth item while holding the Shift key. To select only the first, third, and fifth items, click each one in turn while holding the Control key. Then click the right arrow to move the group to the Selected Items list. To control the order in which your report will display data items, use the up and down arrows to the right of the Selected Data Items list. Click an item or group of adjacent items, and then click the up or down arrow to reorganize the list. Click OK when you are finished selecting data items. You may wish to restrict your query s output to one or more of the four possible segment types. To do so, click the checkboxes next to your desired types in the Segment Type Restriction Area. In the Segment Selection Qualifiers area, select what qualifiers, if any, to apply to your query. Segment Year Flag is an option to be used with data in which there are cases of multiple source years for any given calendar data year. Segment Item Identifier Restriction is an option that can be used to restrict query output to select Segment IDs. Possible values are between 0 and 99.

45 Step 7: select price, dividend, and earnings time series data items. Click the PDE tab. Here you can select the time series data items that are relevant to your query. Select an item from the Available Items list at left, and then click the right arrow to move it to the Selected Items list. You can also select and move items in groups. For example, to select the first five items, click the first item, and then click the fifth item while holding the Shift key. To select only the first, third, and fifth items, click each one in turn while holding the Control key. Then click the right arrow to move the group to the Selected Items list. To control the order in which your report will display data items, use the up and down arrows to the right of the Selected Data Items list. Click an item or group of adjacent items, and then click the up or down arrow to reorganize the list.

46 A Sample IndQuery Click the New Query button on the CRSPSift toolbar. Select a data environment, highlight the IndQuery icon, and then click the OK button. You can now complete the steps needed to define your query. Optionally, you can type or paste IndQuery options into the Direct Edit screen. This feature will be welcome to longtime users of the cst_print utility who are familiar with its command line syntax. To define a query using this method, click the Direct Edit button on the IndQuery toolbar. Type or paste query options into the text area, and then click Enter. The various IndQuery screens will automatically be filled in to reflect the options you specified. Steps 1 4: select database, INDNO Type, date range, and report format. Locate the IndQuery toolbar below the main CRSPSift toolbar. First select whether your query will use the Daily or Monthly database from the Database menu. Next, in the Indno Type menu, specify whether your query will access an individual index or a group of portfolios. Now specify a date range for your query. Enter dates using one of the following formats: YYYYMMDD, YYYYMM, or YYYY. The following table shows some examples of how to use the various formats. Start End Result all data from the beginning of September through December of (empty) all data in the year all data from the beginning of 1994 until June 15, (empty) data only on the date December 31, 1996

47 Finally, choose whether you would like the output of your query formatted for viewing, or in pipe delimited format, useful for importing into external applications. Step 5: select Indices. If you know the INDNO of an index, you can type it directly in the Enter INDNO box.

48 Otherwise, click the Find button to open the Find INDNO window. If your query will access an individual daily index, make sure you have selected Single Series from the INDNO Type menu. From the Available Index Groups menu, select the index group that contains the index you want. Click the table row containing your target index, and then click the Select button. That index s INDNO will now appear in the Enter INDNO box.

49 If you selected Group of Portfolios from the INDNO Type menu, the Find INDNO window will instead look like this: Simply click to choose the index group you want, and then click the Select button. The index group s INDNO will appear in the Enter INDNO box. You may also choose to access all indices in the database, or indices you specify in an input file. To search all indices, click All Indices in the Index Selection area. To use an input file, create a text file and enter the INDNO of each index your query will use, one per line. For example, to specify that your query will access the CRSP NYSE Value Weighted Market Index (INDNO ) and the CRSP AMEX Value Weighted Market Index (INDNO ), create and save the following two line text file:

50 Click Input File in the Index Selection area, and then click the Browse button to locate the input file you created. Step 6: specify header information. From the Header tab, choose what header information you want at the top of your query report. Options include standard index header information, header information with date ranges in YYYYMMDD format, or no header information.

51 Step 7: select time series data items. Click the Time Series tab. Here you can select the time series data items that are relevant to your query. Select an item from the Available Items list at left, and then click the right arrow to move it to the Selected Items list. You can also select and move items in groups. For example, to select the first five items, click the first item, and then click the fifth item while holding the Shift key. To select only the first, third, and fifth items, click each one in turn while holding the Control key. Then click the right arrow to move the group to the Selected Items list.

52 Step 8: specify portfolio group options. The Portfolio Group Options tab is enabled only if you have selected Group of Portfolios from the INDNO Type menu. Here you can select portfolio range and rebalancing options for your query.

53 Troubleshooting The following tables list error messages you may encounter while running CRSPSift. Included for each message is the error code, the text of the message, and the cause of the error. CRSPSift Application Error Message Error SIFT101: Only {0} queries are allowed to be open simultaneously. Please close one or more queries before creating a new one. Error SIFT102: You must create at least one data environment before running queries for this vendor. Error SIFT103: Query type '{0}' is not supported in SIFT Cause of Error A maximum of ten queries can be open at one time. This used to be caught on the old New Query form, but it will never occur with the new welcome screen implementation. We will phase it out in future releases The user attempted to open a non-query file in CRSPSift. Data Environments Error Message Error SC100: Could not locate the settings for the selected data environment Error SC101: Cannot open the specified file Error SC102: Data environment already exists with that name. Please provide another name Error SC103: You must provide a name for the data environment Error SC107: Vendor node is missing from the resource file Cause of Error The selected data environment could not be found in the CRSP resource file. occurs when user tries to open a SIFT file that is not one of our supported products (i.e. resources.kls) An existing data environment has the same name as the one being created. A name for the data environment was not provided. Resource file corruption. Only here until we implement the new code Error SC108: Unable to locate database resource files. Call CRSP for assistance Error SC111: '{0}' does not contain a valid CRSP database Required resource files are missing from the distribution folder or local database folder. generic invalid data directory handler

54 Error Message Error SC112: Could not find {0} folder Error SC114: This method is only licensed for use with the SIFT interface Error SC120A: Support may be available upon request. Call CRSP Error SC120B: Support may be available upon request. Call CRSP Error SC120C: Support may be available upon request. Call CRSP Error SC121A: Daily path does not point to a daily stock database Error SC121B: Monthly path does not point to a monthly stock database Error SC121C: CCM path does not point to a CCM database Error SC122A: Invalid daily and monthly database combination. Call CRSP Error SC122B: Invalid daily and monthly database combination. Call CRSP Error SC122C: Invalid daily and monthly database combination. Call CRSP Error SC122D: Invalid daily and monthly database combination. Call CRSP Error SC123A: Cannot validate monthly stock database. Call CRSP Error SC123B: Cannot validate monthly stock database. Call CRSP Error SC123C: Cannot validate monthly stock database. Call CRSP Error SC123D: Cannot validate monthly stock database. Call CRSP Error SC123E: Cannot validate monthly stock database. Call CRSP Cause of Error The specified folder path is invalid. protects us from unauthorized access to the resource.kls file kls file location unknown for stock and user chose database between 1/1/2006 and 8/1/2006 The StkQuery kls file could not be found. The CCMQuery kls file could not be found. The daily stock database could not be found in the location provided. The monthly stock database could not be found in the location provided. The CCM database could not be found in the location provided. 2 different months or years mixing of x and y data cuts product mismatch databases are not compatible for some other reason show_crsp_db_info failed on monthly stock database invalid product code for monthly stock database invalid sub product code for monthly stock database invalid data cut for monthly stock database no crsp_config.bin found in monthly stock directory

55 Error Message Error SC124A: Monthly path does not point to a monthly stock database Error SC124B: Monthly path does not point to a monthly stock database Error SC125A: Daily path does not point to a daily stock database Error SC125B: Daily path does not point to a daily stock database Error SC126A: Cannot validate daily stock database. Call CRSP Error SC126B: Cannot validate daily stock database. Call CRSP Error SC126C: Cannot validate daily stock database. Call CRSP Error SC126D: Cannot validate daily stock database. Call CRSP Error SC126E: Cannot validate daily stock database. Call CRSP Error SC127A: CCM path does not point to a CCM database Error SC127B: CCM path does not point to a CCM database Error SC128A: Cannot validate CCM database. Call CRSP Error SC128B: Cannot validate CCM database. Call CRSP Error SC128C: Cannot validate CCM database. Call CRSP Error SC128D: Cannot validate CCM database. Call CRSP Error SC128E: Cannot validate CCM database. Call CRSP Error SC129: Both daily and monthly stock paths are invalid Cause of Error The folder path to a monthly stock database was not provided. The folder path to the monthly database is invalid. The folder path to a daily stock database was not provided. The folder path to the daily database is invalid. show_crsp_db_info failed on daily stock database The product code for the daily stock database is invalid. The sub product code for the daily stock database is invalid. The data cut for the daily stock database is invalid. The file crsp_config.bin was not found in daily stock directory. The folder path to a CCM database was not provided. The folder path provided does not point to a valid CCM database. show_crsp_db_info failed on ccm database The product code for the CCM database is invalid. The sub product code for the CCM database is invalid. The data cut for the CCM database is invalid. The file crsp_config.bin was not found in the CCM directory. problem with both daily and monthly stock databases

56 Error Message Error SC130: Unable to validate CRSP databases. Call CRSP for assistance Cause of Error The file crsp_show_db_info.exe could not be found. CCMQuery Error Message Error CST100: 'crsp_cst' environment database path not found. Set database path for the current data environment before proceeding. Error CST101: Missing Company Error CST102: Missing Input File Error CST103: Unable to execute query due to an invalid data environment Cause of Error The path to the CCM database was not found in the current data environment settings. Add a valid CCM database path to the current database or switch to a data environment that includes a valid CCM database path to solve this error. The company identifier is missing from the CCMQuery. Enter a company identifier that is of the type indicated by the active key drop down menu in the company selection text box. The input file specified in the company selection is not found or the file path is missing. The current data environment does not have a valid CCM database path defined. Enter a valid CCM database path for the current data environment or choose a data environment that has a CCM database defined. IndQuery Error Message Cause of Error Error IND100: No CRSP databases found Error IND101: No Data Environment Found Error IND102: Missing Indno The path to the daily and/or monthly stock database not defined in the current data environment. Enter a valid daily and/or monthly stock database path for the current data environment. The data environment is not defined for the indquery. Choose a valid data environment. Missing the INDNO to find in the index selection text box. Enter a valid INDNO.

57 Error Message Cause of Error Error IND103: Missing Input File Error IND104: The Decile Numbers for Index Group is in an incorrect format. Error IND105: The Portfolio Numbers for rebalance information is in an incorrect format. Error IND106: The Portfolio Numbers for rebalance information are missing. Error IND107: Select an Indno from the list. Error IND108: Unable to execute query due to an invalid data environment The input file specified in the index selection was not found or the file path was not provided. The pattern for the decile numbers should be #[,#-#] and when a range is specified (#-#) the first number must be less than the second number. The pattern for the portfolio numbers should be #[,#-#] and when a range is specified (#-#) the first number must be less than the second number. The Rebalance Information option was checked, but no portfolio numbers were provided. Select an Indno from the list on the Indno search screen before clicking the Select button. The current data environment does not have a daily and monthly stock database defined. Edit the current data environment to include a valid daily and monthly database. StkQuery Error Message Cause of Error Error STK100: Adjusted base date missing Error STK101: Unable to execute query due to an invalid data environment Error STK102: No CRSP databases found Error STK103: No Data Environment Found Error STK104: Missing Identifier The adjusted value option was checked, but a base date was not given. The current data environment is missing the working directory or stock database path. The current data environment does not have a daily and monthly stock database defined. Edit the current data environment to include a valid daily and monthly database. Data environment not found for current query. Missing the identifier in the security selection area. The identifier must be of the type specified by the active key.

58 Error Message Cause of Error Error STK105: Missing Input File Error STK106: Missing Base Amount for the Price and Index Levels Pre-Defined Time Series data option. Error STK107: Missing Base Date for the Price and Index Levels Pre-Defined Time Series data option. The input file specified in the index selection is not found or the file path is missing. The base amount is required for the Price and Index Levels Pre-Defined Time Series data option in stkquery. Enter a base amount. The base date is required for the Price and Index Levels Pre-Defined Time Series data option in stkquery. Enter a base date. TsQuery Error Message Cause of Error Error TSC100: Missing index id for index entity. Error TSC101: Missing key type for list entity. Error TSC102: Missing record id for list entity. Error TSC103: Missing data format option in {0} entity. Error TSC104: File format should be either F1 or F2 Error TSC105: Missing weight option in portfolio entity Error TSC106: Could not determine entity type for query Error TSC107: Missing file path option in File entity Error TSC108: Key is missing from File entity Error TSC109: Could not get key value for File entity index entity was passed to the tsprint parser without indno list entity was passed to the tsprint parser without a key occurs if the record id (i.e. ticker, permno, etc.) was not passed into the tsprint parser for a list entity calendar section was passed to tsprint parser without range/relative option an invalid option was passed to tsprint parser for list file or portfolio file format portfolio weight option was not passed to the tsprint parser invalid entity type was passed to the tsprint parser file path was not passed to the tsprint parser for list file or list portfolio entity file key was not passed to the tsprint parser for a list file or list portfolio entity occurs if the user left out the key value (i.e. permno, ticker, etc.) for a file entity that is being processed by the tsprint parser