Description Usage Format Note Author(s) Source Examples
The monthly returns of 5 industries: Consumer, Manufacturing, High Technology, Healthcare and Other.
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An xts
object with 1,104 observations and 5 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:
Consumer
The monthly returns of the Consumer industry, published as “Cnsmr”.
Manufacturing
The monthly returns of the Manufacturing industry, published as “Manuf”.
Technology
The monthly returns of the Technology industry, published as “HiTec”.
Healthcare
The monthly returns of the Healthcare industry, published as “Hlth”.
Other
The monthly returns of the Other industry, published as “Other”.
These are not the “ex dividend” returns series.
Steven E. Pav steven@gilgamath.com
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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