SPIndustrials: SPIndustrials

In PCRA: Companion to Portfolio Construction and Risk Analysis

SPIndustrials

Description

Year-end data on the S&P Industrials® Index from 1967 to 2007 extracted from a paper copy of the S&P Analysts' Handbook.

Usage

data(SPIndustrials)

Format

A data frame with observations on the S&P Industrials® index from 1967 to 2007

• Date: type 'Date'. End of year date formatted as YYYY-12-31. Useful when creating a time series object for exploratory time series plots. Convert the data frame to an xts object using xts::as.xts(SP500).

• Year: type 'num'. Year corresponding to Date.

• Sales: type 'num'. Revenues per share for the S&P Industrials® for the calendar year.

• Operating_Profit: type 'num'. Operating Income per share for the S&P Industrials® for the calendar year.

• Profit_Margin_Pct: type 'num'. Ratio of Operating_Profit to Sales for the S&P Industrials® from 1993 to 2007 expressed as a percentage. Definition currently unknown for earlier years.

• Depreciation: type 'num'. Depreciation expense per share for the S&P Industrials® for the calendar year.

• Income_Tax: type 'num'. Tax expense per share for the S&P Industrials® for the calendar year.

• Cash_Flow: type 'num'. Cash Flow per share for the S&P Industrials® for the calendar year.

• Diluted_EPS: type 'num'. Fully Diluted As-Reported Earnings per share for the S&P Industrials® for the calendar year.

• Earnings_Pct_of_Sales: type 'num'. Ratio of Diluted_EPS to Sales for the S&P Industrials® from 1993 to 2007 expressed as a percentage. Definition currently unknown for earlier years.

• Dividends_Per_Share: type 'num'. Dividends per share for the S&P Industrials® for the calendar year.

• Dividends_Pct_of_Earnings: type 'num'. Ratio of Dividends_Per_Share to Diluted_EPS for the S&P Industrials®, expressed as a percentage.

• Price_High: type 'num'. Highest price level achieved by the S&P Industrials® Index during the calendar year.

• Price_Low: type 'num'. Lowest price level achieved by the S&P Industrials® Index during the calendar year.

• Price_Close: type 'num'. Year-end (12/31) price of the S&P Industrials® Index.

• PE_Ratio_High: type 'num'. Ratio of Price_High to Diluted_EPS for the S&P Industrials® Index.

• PE_Ratio_Low: type 'num'. Ratio of Price_Low to Diluted_EPS for the S&P Industrials® Index.

• PE_Ratio_Close: type 'num'. Ratio of Price_Close to Diluted_EPS for the S&P Industrials® Index.

• Dividend_Yld_High: type 'num'. Ratio of Dividends_Per_Share to Price_High for the S&P Industrials® Index.

• Dividend_Yld_Low: type 'num'. Ratio of Dividends_Per_Share to Price_Low for the S&P Industrials® Index.

• Dividend_Yld_Close: type 'num'. Ratio of Dividends_Per_Share to Price_Close for the S&P Industrials® Index.

• Total_Return_Index: type 'num'. Cumulative total return of the S&P Industrials® Index including both dividends and price return. Start date for the series is not known.

• Book_Value_Per_Share: type 'num'. Year-end (12/31) Book Value (or Shareholders' Equity) per share for the S&P Industrials® Index.

• Book_Value_Pct_Return: type 'num'. Definition Unknown.

• Price_to_Book_Ratio: type 'num'. Ratio of Price_Close to Book_Value_Per_Share for the S&P Industrials® Index.

Details

Data for the S&P® Industrials is taken from a paper copy of the S&P® Analysts' Handbook published in 2008. The average price level of the index in 1941-1943 was set to 100. See https://globalfinancialdata.com/the-sp-composite-before-1957 for a useful history of the various S&P® indices.

Source

S&P Dow Jones Indices. S&P®, S&P 400 Industrials®, S&P 425 Industrials®, S&P Industrials®and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC, and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. © 2023 S&P Dow Jones Indices LLC, #' its affiliates and/or its licensors. All rights reserved. Redistribution of the data is not permitted, and use of the data in derivative works is not permitted without the written permission of S&P Dow Jones Indices LLC.

References

Chapter 13 (Expected Returns) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.

Examples

 
data(SPIndustrials)
names(SPIndustrials)
head(SPIndustrials, 5)
tail(SPIndustrials, 5)

PCRA documentation built on July 15, 2026, 9:06 a.m.