CommonFactors: Factor set of several commonly used factors

In R-Finance/FactorAnalytics: factor analysis

Description

10 monthly and quarterly common factors xts data from 1997-01-31 to 2013-07-31.

• SP500 is SP500 returns from FRED,

• GS10TR US Treasury 10y yields total returns from the yeild of the 10 year constant maturity from FRED,

• USD.Index Trade Weighted U.S. Dollar Index: Major Currencies - TWEXMMTH. from FRED

• Term.Spread Yield spread of Merrill Lynch High-Yield Corporate Master II Index minus 10-year Treasury. from FRED

• TED.Spread 3-Month Treasury Bill: Secondary Market Rate(TB3MS) - 3-Month Eurodollar Deposit Rate (London) (MED)3. from FRED.

• DJUBSTR DJUBS Commodities index.

• dVIX the first difference of the end-of-month value of the CBOE Volatility Index (VIX).

• OILPRICE ""OILPRICE" from FRED.

• TB3MS 3-Month Treasury Bill: Secondary Market Rate(TB3MS) from FRED

Usage

data(CommonFactors)

Format

A data frame with 0 observations on the following 2 variables.

x

a numeric vector

y

a numeric vector

Source

• FRED

• http://www.djindexes.com/mdsidx/downloads/xlspages/ubsci_public/DJUBS_full_hist.xls

• http://www.cboe.com/publish/ScheduledTask/MktData/datahouse/vixarchive.xls

R-Finance/FactorAnalytics documentation built on May 8, 2019, 3:51 a.m.