Comments on: Anyone using CRSP?

By: WorldBeta

WorldBeta — Wed, 08 Jul 2009 21:34:31 +0000

1920s

By: Don

Don — Wed, 08 Jul 2009 20:14:24 +0000

How far you want to go back?

By: WorldBeta

WorldBeta — Wed, 08 Jul 2009 16:34:31 +0000

1920s

By: Don

Don — Wed, 08 Jul 2009 15:14:24 +0000

How far you want to go back?

By: Nahtanoj

Nahtanoj — Mon, 06 Jul 2009 09:58:29 +0000

Some of the Bridgeway funds are designed to track CRSP indices. For example the “Ultra Small Market” fund (BRSIX) tracks the CRSP 9th and 10th deciles (smallest market cap). The tracking is not exactly, however, because Bridgeway tries to be tax efficient. I understand that is why the fund is not marketed as an index fund.

By: linc c.

linc c. — Fri, 03 Jul 2009 05:09:59 +0000

Looking @ CRSP… I've been looking for something similar, but with CRSP can you limit selection by country, region, sector, etc?

By: eber terandts

eber terandts — Thu, 02 Jul 2009 15:17:10 +0000

Zacks database is essentially useless for backtesting. It has nearly all types of biass existing, including back filling, survivorship, etc. Not recommended.
If you are looking at data after 2001, a very clean database is Portfolio123.

By: Marvin KLine

Marvin KLine — Thu, 02 Jul 2009 13:45:44 +0000

I use zacks data & backtesting software which is less expensive than cRSP

By: KF

KF — Thu, 02 Jul 2009 00:05:34 +0000

I have a library card to NYU and through that I can access WRDS. WRDS (through Wharton) let's you access compustat and CRSP. I would recommend calling around to local universities and checking to see if they have access to any of those databases and how much to obtain a library card. You could probably get one for <300.

By: nick gogerty

nick gogerty — Wed, 01 Jul 2009 19:27:03 +0000

you may want to ask reuters about their new point in time database offering. The skews from fundamental data and when this is disclosed is pretty significant and the need for lags is large. I don't know anything about CRSP, but I am sure reuters might help explain the CRSP database in the point and time context of their new offering.