smif_aa: Collection of data relevent to SMIF Asset Allocation

In alec25/smif.package: SMIF Risk Team Function Storage

Description

Currently contains limited sub-datasets. More will be added in future iterations. Contact package administrator to suggest an addition.

Usage

data(smif_aa)

Format

A list of various datasets:

sectors

A data.frame containing the following columns: sectorName (sector names), sectorETF (corresponding sector ETFs)

benchmark

Character vector the ticker of our benchmark

Details

Sector ETFs as provided by SPDR are Select Sector SPDR ETFs with the exception of Telecommunications (see Note) which is sourced from SPDR S&P ETFs.

Data in sectors are character vectors, not factors.

Note

The sectors dataset does not include any non-equity sectors, such as REITs, nor any "miscellaneous" sector categorization such as "other." sectors and sectorETFs do contain data on the "Materials" sector, which we do not currently invest in.

Sector definitions conflict slightly with those specified by SPDR. They include "Real Estate" which we omit, while they do not have an entry for Telecommunications.

Source

Marco Gancitano ([e-mail]), http://www.sectorspdr.com/sectorspdr/sectors, Telecom: https://us.spdrs.com/en/etf/spdr-sp-telecom-etf-XTL

Examples

data(smif_aa)
smif_aa$sectors
smif_aa$benchmark

alec25/smif.package documentation built on May 22, 2019, 12:36 p.m.