A note on portfolio composition variables (CRSP Mutual Funds).

Portfolio composition variables come from two different data sources. Portfolio composition variables can be found in the annual summary file and also in the annual supplemental file. The supplemental file offers more granularity in the types of securities covered. In other words, there are more portfolio composition variables found in the annual supplemental file than in the annual summary file. The data in the supplemental file starts in the in the mid 90’s and goes forward. Prior to the mid 90’s only the annual summary file is available. Up to the point when CRSP started receiving the supplemental information, the data was collected as of the end of the calendar year. Once the time series from the supplemental file starts, the data in both the annual summary and the annual summary supplemental is valid as of the AC_DATE (Date For Which Asset Composition Applies). After 12/31/99, CRSP starts doing quarterly updates. It is worthwhile mentioning that some funds are better than others in terms of reporting asset allocation so one might find multiple supplemental records with the same AC_DATE. Part of the reason for the apparent staleness of the data is that funds were only required to report holdings every 6 months. Also based on our exchange with CRSP, it is worth mentioning that the distinction between “STOCKS” and “AC_COMMON” is that “STOCKS” includes common stocks and the warrant category, whereas AC_COMMON includes only common stocks.