mind10: Monthly Fama French 10 Industry Returns

In shabbychef/aqfb_data: Data for the AQFB Book and Package

Description

The monthly returns of 10 industries: Nondurable goods, durable goods, Manufacturing, Energy, High Technology, Telecom, Retail, Healthcare, Utilities and Other.

Usage

mind10

Format

An xts object with 1,104 observations and 10 columns. The data run from January, 1927 through December, 2018. As in the upstream source, the data are given in percents, meaning a value of 1.00 corresponds to a 1% movement. Note also that returns presumably are ‘simple’ returns, not log returns, though this is not clarified by the upstream source. The columns are defined as follows:

NondurableGoods

The monthly returns of the nondurable goods industry, published as “NoDur”.

DurableGoods

The monthly returns of the durable goods industry, published as “Durbl”.

Manufacturing

The monthly returns of the Manufacturing industry, published as “Manuf”.

Energy

The monthly returns of the Energy industry, published as “Enrgy”.

Technology

The monthly returns of the Technology industry, published as “HiTec”.

Telecom

The monthly returns of the Telecommunications industry, published as “Telcm”.

Retail

The monthly returns of the Retail industry, published as “Shops”.

Healthcare

The monthly returns of the Healthcare industry, published as “Hlth”.

Utilities

The monthly returns of the Utilities industry, published as “Utils”.

Other

The monthly returns of the Other industry, published as “Other”.

Note

These are not the “ex dividend” returns series.

Author(s)

Steven E. Pav [e-mail]

Source

Kenneth French data library. See http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html, data description at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_10_ind_port.html.

Examples

## Not run: 
data(mind10)
str(mind10)

## End(Not run)

shabbychef/aqfb_data documentation built on June 16, 2019, 1:07 a.m.