factorDataSPGMI: Fundamental factor scores from S&P Global Market Intelligence
In kecoli/PCRM: Companion to Portfolio Construction and Risk Management
factorDataSPGMI R Documentation
Fundamental factor scores from S&P Global Market Intelligence
Description
S&P Global Market Intelligence has kindly provided firm fundamentals data
referred to as scores or alpha factors for educational use in the open source factorAnalytics
R package. The data is contained in the R data frame object factorDataSPGMI
consisting of the following cross-section of scores for approximately 300 stocks from 1990 to
2015: AccrualRatioCF, AnnVol12M, Beta60M, BP, Chg1YEPS, DivP, EBITDAEV, EP, EQ-style,
LogMktCap, PM12M1M, ROE. This data greatly facilitates the educational value to users of the
fundamental factor model in factorAnalytics. The package developers wish to thank S&P Global
Market Intelligence for contributing this data to the factorAnalytics package.
Usage
data("factorDataSPGMI")
Source
S&P Global Market Intelligence
kecoli/PCRM documentation built on May 7, 2022, 9:33 a.m.
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| factorDataSPGMI | R Documentation |
Fundamental factor scores from S&P Global Market Intelligence
Description
S&P Global Market Intelligence has kindly provided firm fundamentals data referred to as scores or alpha factors for educational use in the open source factorAnalytics R package. The data is contained in the R data frame object factorDataSPGMI consisting of the following cross-section of scores for approximately 300 stocks from 1990 to 2015: AccrualRatioCF, AnnVol12M, Beta60M, BP, Chg1YEPS, DivP, EBITDAEV, EP, EQ-style, LogMktCap, PM12M1M, ROE. This data greatly facilitates the educational value to users of the fundamental factor model in factorAnalytics. The package developers wish to thank S&P Global Market Intelligence for contributing this data to the factorAnalytics package.
Usage
data("factorDataSPGMI")
Source
S&P Global Market Intelligence
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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