CommonFactors: Factor set of several commonly used factors

In arorar/FactorAnalytics: Factor Analytics

Description

Collection of common factors as both monthly and quarterly time series

• SP500: S&P 500 composite index returns. (Yahoo)

• GS10TR: US Treasury 10y yields total returns from the yeild of the 10 year constant maturity. (FRED)

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

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

• TED.Spread: 3-Month Treasury Bill: Secondary Market Rate(TB3MS) - 3-Month Eurodollar Deposit Rate (MED3). (FRED)

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

• OILPRICE: Monthly returns of spot price of West Texas Intermediate. (FRED)

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

Usage

data(CommonFactors)

Format

xts time series object

factors.M

Jan-1997 through May-2014

factors.Q

Q1-1997 through Q1-2014

Source

• Federal Reserve Economic Data (FRED): http://research.stlouisfed.org/fred2/

• Yahoo Finance: http://finance.yahoo.com/

arorar/FactorAnalytics documentation built on May 10, 2019, 1:47 p.m.