Wednesday, September 19, 2012
Financial Products News #2012 - 65
NASDAQ OMX to Begin Dissemination of Nine New CRSP Indexes on GIDS Effective October 1, 2012
Data Feeds Impacted:
What you need to know:
What are the new CRSP indexes?
The new CRSP Indexes blend advancements in academic research with current commercial practice under the premise that an index must reflect the way that money managers actually invest. CRSP's new series of transparent and investable real-time indexes provide the necessary foundation for the development of related research products. They are relevant to practitioners, academicians, and commercial entities.
CRSP is continuing to build out its real-time index offering with the addition of nine new value and growth style indexes. Similar to the recently released CRSP US market cap and industry sector indexes, these new indexes were developed with an objective and transparent rules-based methodology that maintains style purity while minimizing turnover, and thereby transaction costs. All of CRSP's indexes utilize breakpoints that are based on cumulative market capitalization.
How will the indexes be disseminated in GIDS 2.0?
Effective Monday, October 1, 2012, data recipients will receive real-time index information from the proprietary GIDS 2.0 data feed.
NASDAQ OMX will identify the indexes via the following data elements in GIDS 2.0:
|Instrument ID||Instrument Name||Currency||Frequency||FP Type||Brand|
|CRSPMEG1||CRSP US Mega Cap Growth Index||USD||"1S"||"I"||"GA"|
|CRSPMEV1||CRSP US Mega Cap Value Index||USD||"1S"||"I"||"GA"|
|CRSPLCG1||CRSP US Large Cap Growth Index||USD||"1S"||"I"||"GA"|
|CRSPLCV1||CRSP US Large Cap Value Index||USD||"1S"||"I"||"GA"|
|CRSPMIG1||CRSP US Mid Cap Growth Index||USD||"1S"||"I"||"GA"|
|CRSPMIV1||CRSP US Mid Cap Value Index||USD||"1S"||"I"||"GA"|
|CRSPSCG1||CRSP US Small Cap Growth Index||USD||"1S"||"I"||"GA"|
|CRSPSCV1||CRSP US Small Cap Value Index||USD||"1S"||"I"||"GA"|
|CRSPSX1||CRSP US Small Cap ex-REIT Index||USD||"1S"||"I"||"GA"|
- Equities Summary (Message Type F): Disseminated at the end of the U.S. and European trading session to relay the summary of the current trading day's activity for an equity index.
- Index Directory (Message Type R): Disseminated at the start of each day to relay basic index information.
How will the indexes be disseminated on GIDS?
Data recipients will receive real-time index information from the proprietary GIDS data feed. The index will be identified as NASDAQ OMX U.S. Family (Originator ID of "Q") in the message header field.
In addition to the real-time tick messages, NASDAQ OMX will support the following directory messages on GIDS:
- Index End of Day Summary (Category A - Type B): Disseminated at the end of the U.S. and European trading session to relay closing index summary data.
- Index Directory (Category A - Type C): Disseminated at the start of each day to relay basic index information.
Where can I find additional information?
- Please contact NASDAQ OMX Global Data Products at +1 301 978 5307 (Option #4).
- For additional information about the new CRSP Indexes, visit the CRSP website or call +1 312 263 6400.
- For more information about Interactive Data Corporation and its businesses, please visit the Interactive Data Corporation website.
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