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3 CONTENTS CHAPTER 1: INTRODUCTION... 1 CHAPTER 2: INSTALLATION AND SETUP... 2 CHAPTER 3: TSQUERY: TIME SERIES ACCESS... 7 ENTITIES...7 DATA ITEMS DATE LAYOUT DIRECT EDIT...22 EXECUTING A QUERY...22 TS_QUERY DATA ITEMS...23 CHAPTER 4: STKQUERY: STOCK DATA ACCESS SECURITY SELECTION...39 HEADER IDENTIFICATION...40 DATA ITEMS...40 GLOBAL OPTIONS DATA GROUPS...42 PORTFOLIOS...43 OUTPUT OPTIONS...43
4 CHAPTER 5: INDQUERY: INDEX DATA ACCESS INDEX SELECTION...46 HEADER IDENTIFICATION TIME SERIES DATA PORTFOLIO GROUP OPTIONS OUTPUT OPTIONS...48 CHAPTER 6: CCMQUERY: CRSP/COMPUSTAT MERGED DATABASE ACCESS THE CCMQUERY TOOLBAR...50 COMPANY SELECTION...50 DATA ITEMS AND GROUPS CHAPTER 7: TRSQUERY: TREASURIES DATA ACCESS QUERY DATE RANGE SPECIFICATION TREASURY SELECTION...60 DATA ITEM SELECTION...62 DATA GROUPS...63 OUTPUT OPTIONS...64 CHAPTER 8: MUTQUERY: US SURVIVOR-BIAS-FREE MUTUAL FUND DATABASE ACCESS SECURITY SELECTION...66 DATA ITEMS DATA GROUPS...68
5 OUTPUT OPTIONS...69 OUTPUT FILE SUFFIXES...70 CHAPTER 9: TOOLS CALENDAR FILE WIZARD REFERENCE DATA...72 APPENDIX A: AVAILABLE CURRENCY CODES CHAPTER 10: CRSPSIFT OPTIONS CRSPSIFT OPTIONS - ENVIRONMENT SCANNER CRSPSIFT OPTIONS - SERVICES...79 CRSPSIFT OPTIONS - QUERY QUEUE... 79
6 Chapter 1: INTRODUCTION CRSPSift, CRSP s Securities Information Filtering Tool, lets you extract data from your Stock & Index, CRSP/ Compustat Merged, US Treasury, and Mutual Fund databases. In addition to an updated interface, CRSPSift offers many features designed to make accessing CRSP databases easier. Some of these features include: Data Environments: 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: Edit and run up to ten queries simultaneously. Direct Edit: Type or paste an existing request file from a command-line utility into a window and then save it as a CRSPSift query. CRSPSift automatically updates its graphical interface to reflect your query options. Output Layout Preview: TsQuery 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: A company lookup utility. Search and sort results by Company Name, PERMNO, ticker symbol, or other identifier. the CRSP US Stock or Stock & Index Databases. CCMQuery enables you to access all Compustat data from the CRSP/Compustat Merged Database link history data by using Compustat s GVKEY and IID identifiers. TrsQuery is a tool for accessing CRSP Daily and Monthly US Treasury Databases. MutQuery provides access to the CRSP Mutual Funds database containing fund and holdings data items. CRSPSIFT MINIMUM SYSTEM REQUIREMENTS FOR THE PROFESSIONAL EDITION Microsoft Windows 7 32-bit and 64-bit, and Windows 8 64-bit Display resolution of 1024 x 768 or higher Adobe Flash Player 11 Note: CRSP recommends using CRSPSift Professional with a local system account, on databases installed locally. Filtering Options: A point-and-click interface to simplify filtering query results by exchange, share type, NASDAQ Market Tiers, portfolio assignments, SIC Code, or group membership. CRSPSIFT UTILITIES TsQuery is a tool for extracting time-series data based in fixed and relative ranges for the CRSP security universe, CRSP Indexes, and CRSP/Compustat linked companies (for Compustat subscribers). StkQuery is an access tool for CRSP security data. Use it to extract event histories for name and identifier changes, distributions, delisting. It can also perform time-series extractions. IndQuery is an access tool for CRSP Indexes included in PAGE 1
7 Chapter 2: INSTALLATION AND SETUP This chapter shows you how to install the CRSPSift software on your computer and describes the configuration options available when you launch it for the first time. INSTALLING CRSPSIFT CRSPSift is available for download through CRSP s IPSwitch MoveIT account at 1. Login and go to cloud folder: /Utility_Uploads/CRSPSift_Professional 2. This file is available: CRSP_Sift_Professional_Ver*.zip 3. File is downloaded from cloud to local machine 4. File is unzipped on local machine 5. Run setup.exe to install SIFT: PAGE 2
8 3 LAUNCHING CRSPSIFT FOR THE FIRST TIME Chapter 2: Installation and Setup The install creates a shortcut to the CRSPSift application on your Desktop. Double-click the shortcut icon to launch CRSPSift. Before you can use CRSPSift you must tell it the location of your installed CRSP databases. The first time you run the application you are presented with the Environment Startup Scanner. Using this tool you create what are known as data environments. A data environment is a collection of one or more compatible database products. FINDING ENVIRONMENTS Upon launch, the Environment Startup Scanner automatically searches the default CRSP database installation directory (C:\crspdata). It builds and displays environments for the most recent databases found. If your CRSP databases are installed in a directory other than the default, click the disclosure triangle next to Scan Folder Hint Paths under Scan Options.
9 4 Chapter 2: Installation and Setup A folder hint path serves as a guide telling the Environment Scanner where to look for CRSP databases. The default locations are already listed. To add your own, click the Add button and navigate to the directory where your CRSP databases are installed. Then click the Start Scan button to scan again with the new directory included. The Environments screen is where you can manage the environments detected by CRSPSift on its initial launch. To manage your environments, select Options... from the Tools menu to open the CRSPSift Options window. Then click Environments in the list of options categories on the left. A list of all your saved environments appears in the main area of the screen. And at the bottom of the screen are controls for managing them. You can edit or delete existing environments, as well as create new ones. ADDING A NEW ENVIRONMENT To add a new environment, click the Load Environment button. Provide the environment with a name, and check the Set as Default box if you want this to the the default environment for new queries. All Stock Databases and CRSP/Compustat Merged Databases, for Compustat subscribers, are detected by CRSPSift and will appear in the lists below. When you select a Stock Database, The Select CRSP/Compustat table below displays Compustat databases compatible with it, if any are installed. Select a database from the list if you wish to include CRSP/Compustat data in your environment. Finally, click the Browse button to select a working directory where input and output files for this environment will be directed. Click the Save button to save the new environment. Only the environments that reflect the newest data cuts will automatically be displayed. Additional combinations can be created. EDITING AN EXISTING ENVIRONMENT You can also edit an existing environment to change its name and working directory, add or remove Compustat data, or modify the environment s combination of daily and monthly stock databases. To modify an environment, select it in the environments list and then click the Edit Environment button. The procedure for editing an environment is the same as that for creating a new one. Refer to the discussion above for instructions. ENVIRONMENT DETAILS The Environment Details area displays the properties of the environment currently selected in the New Environments Found list. Some of these properties may be changed, including an environment s name, its default status, and the working directory where query output files are saved.
10 5 To make an environment the default for new queries, first select its row in the list. Next, in the Environment Details area, click the False value next to the Default option. Chapter 2: Installation and Setup Select True to make this environment the default for new queries. Likewise for the Name and Working Directory properties. Click the value next to the property name and change it to the desired setting. Note: CRSP provides default environment names that we believe to be intuitive. We encourage you to edit names so that they are meaningful to you for your purposes. LOADING ENVIRONMENTS Once installed databases have been scanned and combined into environments, and each environment s properties are set appropriately, you can select which environments you wish to load into CRSPSift. For each environment you wish to load, click the checkbox in the Load column to the left of its name. Click the Add button to load the selected environments. When the progress message below the environments list displays Finished uploading, click the Close button to close the Startup Environment Scanner window.
12 Chapter 3: TSQUERY: TIME SERIES ACCESS TsQuery is designed to generate output from a combination of database frequencies, and varying types of data into different formats and layouts that serve a range of purposes. Click the New Query button on the CRSPSift toolbar. Select the Data Environment you wish to use and highlight the TsQuery icon. Optionally give your query a name in the Query Name field, and then click the OK button. You may now fill out the screens required to define your query: entities, data items, date information, and report layout. ENTITIES In the Entities screen, you select which securities, indexes, or portfolios your query will use. To add an entity, select an entity type from the drop-down menu and click the New button. List, the default, is meant for entering a single security, or a small number of securities, manually. List All calls the full universe of securities in the database selected. List File accesses securities specified in a user-created input file. Portfolio All allows the user to create an equal- or value-weighted portfolio from the full universe. Portfolio File accepts a user-created input file of securities in a portfolio. LIST Once the Entity Type Selection is made, a series of options become available. Under List, a menu of identifier keys is available from the drop down menu. Next, identify the issue/issues of interest. If you know the identifier, you may type it in, or you may click on Find... to do a search. 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. If your search yields many matches, click the column labels to resort the table in the order most useful to you. When you have found the company/companies you want, click its row in the table, and then click the Select button. To select more than one company, hold down the Ctrl key while making selections. PAGE 7
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