MultiAsset: Multi Asset Index Data

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

Month-end price data of stock and bond indices and gold.

Usage

data(MultiAsset)

Format

A data frame with 85 month-end observations of stock and bond indices and gold, represented by the ETF SPDR Gold. The sample starts at 2004-11-30 and ends in 2011-11-30.

Details

The data set has been obtained from Yahoo Finance and hereby the unadjusted closing prices have been retrieved. If a month-end value was not reported, the value of the previous day has been used. The Yahoo mnemonics with the respective item description are listed below:

GSPC

United States: S \& P 500 Index (Equity)

RUA

United States: Russell 3000 Index (Equity)

GDAXI

Germany: DAX (XETRA) Index (Equity)

FTSE

United Kingdom: FTSE 100 Index (Equity)

N225

Japan: Nikkei 225 Index (Equity)

EEM

iShares: MSCI Emerging Markets Index (Equity)

DJCBTI

United States: Dow Jones CBOT Treasury Index (Bonds)

GREXP

Germany: REX-Performance Index (Bonds)

BG05.L

United Kingdom: Gilt All Index (Bonds)

GLD

United States: SPDR Gold Shares (Commodities)

Source

http://finance.yahoo.com/

Examples

data(MultiAsset)

Example output

Loading required package: cccp
Loading required package: Rglpk
Loading required package: slam
Using the GLPK callable library version 4.52
Loading required package: timeSeries
Loading required package: timeDate
Financial Risk Modelling and Portfolio Optimisation with R (version 0.4-1)

FRAPO documentation built on May 2, 2019, 6:33 a.m.