assay: Assay Research rankings as of 2004-12-31

In portfolio: Analysing Equity Portfolios

Description

A universe of the 5000 largest global stocks as of 2004-12-31, and a flag indicating whether a security was ranked by Assay Research at that time.

Special thanks to Assay Research for granting us permission to release this data.

Usage

data(assay)

Format

A data frame with 5000 observations on the following 11 variables.

date

A vector containing a single Date: 2004-12-31.

id

A character vector of SEDOLs and CUSIPs.

symbol

A character vector of symbols.

name

A character vector of the names of the companies.

country

A factor with levels AUS AUT BEL CHE DEU DNK ESP FIN FRA GBR HKG ITA JPN NLD NOR NZL SGP SWE USA.

currency

A factor with levels AUD CHF DKK EUR GBP HKD JPY NOK NZD SEK SGD USD.

price

A numeric vector of prices.

sector

A factor with levels Communications Conglomerates Cyclicals Energy Financials Industrials Materials Staples Technology Utilities

sec

An alternative sector specification. This factor has levels CND, CNS, COM, ENE, FIN, HTH, IND, MAT, TEC and UTL.

ind

Industry specification. This factor has levels AERDF, AIRLN, AUTOP, AUTOS, BANKS, BEVGS, BIOTC, BUILD, CHEMS, CNENG, CNFIN, CNMAT, COMEQ, COMPT, COMSS, CONGL, CPMKT, DICNS, DISTR, DVFIN, DVTEL, ELEQI, ELEQT, ELUTL, ENEQS, FDPRD, FDRET, GSUTL, HEPSV, HEQSP, HETEC, HOTEL, HSDUR, HSPRD, INSUR, INTSS, IPPET, ITCAT, ITCON, LEISR, LFSCI, LOGIS, MACHN, MEDIA, METAL, MGFIN, MLRET, MLUTL, OFFIC, OILGS, PACKG, PAPER, PHARM, PRPRD, REALE, REDEV, REITS, RRAIL, SEMIP, SEMIS, SHIPS, SMOKE, SOFTW, SPRET, TEXAP, TRADE, TRINF, WIREL and WTUTL

liq

A numeric vector of liquidities.

on.fl

A logical vector indicating presence on the Assay Focus List as of 2004-12-31.

ret.0.1.m

A numeric vector of one-month forward returns

ret.0.3.m

A numeric vector of three-month forward returns

ret.0.6.m

A numeric vector of one-month forward returns

ret.1.0.m

A numeric vector of one-month prior returns

ret.6.0.m

A numeric vector of six-month prior returns

ret.12.0.m

A numeric vector of twelve-month prior returns

mn.dollar.volume.20.d

A numeric vector of mean dollar volumes of the past 20 days

md.dollar.volume.120.d

A numeric vector of median dollar volumes of the past 120 days

cap.usd

A numeric vector of market capitalisation in USD.

cap

A numeric vector of market capitalisation in local currency.

sales

Annual gross sales of the company.

net.income

Annual net income of the company.

common.equity

Annual common equity of the company.

Examples

data(assay)

Example output

Loading required package: grid
Loading required package: lattice
Loading required package: nlme

portfolio documentation built on July 10, 2021, 5:08 p.m.