The monthly returns of 5 industries: Consumer, Manufacturing, High Technology, Healthcare and Other.
xts object with 1,080 observations and 5 columns.
The data run from January, 1927 through December, 2016.
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:
The monthly returns of the Consumer industry, published as “Cnsmr”.
The monthly returns of the Manufacturing industry, published as “Manuf”.
The monthly returns of the Technology industry, published as “HiTec”.
The monthly returns of the Healthcare industry, published as “Hlth”.
The monthly returns of the Other industry, published as “Other”.
These are not the “ex dividend” returns series.
Steven E. Pav [email protected]
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_5_ind_port.html.
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