fPortfolioPackage: fPortfolio Data Sets
In fEcofin: Rmetrics - Economic and Financial Data Sets
PortfolioData R Documentation
fPortfolio Data Sets
Description
Data sets used in the examples of the 'fPortfolio'
package.
The data sets are:
altInvest Monthly Alternative Investment Data Set,
annualInvest Annual Investment Data Set,
assetsCorr US Asset Correlation Matrix,
berndtInvest Berndt's Investment Data Set,
jobstCov Covariance Matrix of 30 Stocks,
largecap.ts Monthly US Largecap Equities,
microcap.ts Monthly US Microcap Equities,
midcap.ts Monthly US Midcap Equities,
smallcap.ts Monthly US Smallcap Equities,
midcapD.ts Daily US Midcap Equities,
returns.three.ts Returns,
SWXLP Swiss Pension Fund LPP-2000,
LPP2005REC Swiss Pension Fund LPP-2005.
equityFunds Equity Funds.
Format
Time series files are in CSV Excel spreadsheet format.
The delimiter is a semicolon.
Details
Monthly Alternative Investment Data Set:
altInvest
is a monthly investment data set comparing equity and bond returns
with an alternative investment in hedge funds.
The data set ranges from 1996-07-01 to 2003-11-01.
The columns are named: FUSEX, FBIDX, VANUS.
FUSEX is the "Fidelity Spartan US Equity Index Inv" Fund.
The investment seeks to provide investment results that correspond
to the total return performance of common stocks publicly traded
in the US. The fund normally invests at least 80% of assets in
common stocks included in the Standard and Poor's 500 index, which
broadly represents the performance of common stocks publicly traded
in the US. In addition, the fund lends securities to earn
income [Google].
FBIDX is the "Fidelity US Bond Index" Fund.
The investment seeks to provide investment results that correspond
to the total return of the bonds in the Lehman Brothers Aggregate
Bond index. The fund normally invests at least 80% of total assets
in bonds included in the Lehman Brothers Aggregate Bond index. It
uses statistical sampling techniques based on duration, maturity,
interest rate sensitivity, security structure, and credit
quality [Google].
VANUS is the Van Global Hedge Fund Index.
Annual Investment Data Set:
annualInvest
is a monthly investment data set.
The data set ranges from 1973-12-31 to 1994-12-31.
The columns are named: TBills3m, LongBonds, SP500, Wilshire5000, NASDAQ,
LehmanBonds, EAFE, Gold.
Source:
US Asset Correlation Matrix:
assetsCorr
is an upper correlation matrix of US investments.
The columns are named: LargeStocksUS, SmallStocksUS, CorporateBondsUS,
TreasuryBondsUS, RealEstateUS, StocksCanada, StocksUK, StocksGermany,
StocksSwitzerland, StocksEmergingMarkets.
Source:
Berndt's Investment Data Set:
berndtInvest
is a monthly data set of US equities including market risk free
returns.
The data set ranges from 1978-01-01 to 1987-12-01.
The columns are named: CITCRP, CONED, CONTIL, DATGEN, DEC, DELTA,
GENMIL, GERBER, IBM, MARKET, MOBIL, PANAM, PSNH, TANDY, TEXACO,
WEYER, RKFREE.
Source:
Covariance Matrix of 30 Stocks:
jobstCov
is a covariance data set of 30 Stocks.
The columns are named: Stock01, ..., Stock30.
Source:
US Largecap Equities:
largecap.ts
is a monthly data set of US largecap equities.
The data set ranges from 1997-01-31 to 2001-12-31.
The columns are named: AMAT, AMGN, CAT, DD, G, GENZ, GM, HON, KR, LLTC,
MSFT, ORCL, PG, PHA, SO, TXN, UTX, WM, WYE, YHOO, market, t90.
Source:
US Microcap Equities:
microcap.ts
is a monthly data set of US microcap equities.
The data set ranges from 1997-01-31 to 2001-12-31.
The columns are named: GHI, PBCI, BY, SPNC, ZIF, NHC, NXR, HMSY, MPR,
PRCP, EVST, XLA, WSTL, GAIT, JOUT, IIVI, DMCO, FNIS, IOMT, FBCI,
market, t90.
Source:
US Midcap Equities:
midcap.ts
is a monthly data set of US midcap equities.
The data set ranges from 1997-01-31 to 2001-12-31.
The columns are named: MAT, EMN, LEG, AAPL, UTR, HB, BNK, APA, LNCR,
BMET, DBD, FAST, AF, CPWR, EC, SNV, HSY, TXT, APCC, LXK, market,
t90.
Source:
US Smallcap Equities:
smallcap.ts
is a monthly data set of US smallcap equities.
The data set ranges from 1997-01-31 to 2001-12-31.
The columns are named: MODI, MGF, MEE, FCEL, OII, SEB, RML, AEOS, BRC,
CTC, TNL, IBC, KWD, TOPP, RARE, HAR, BKE, GG, GYMB, KRON, market,
t90.
Source:
Daily US Midcap Equities:
midcapD.ts
is a daily data set of US midcap equities.
The data set ranges from 2000-01-03 to 2001-12-31.
The columns are named: LSCC, CSGS, EC, NYB, ALTR, APH, CLS, NET, SBUX,
AYE, ASBC, SBL, PCZ, OSI, TRP, ROH, SU, MTD, RAD, GUC, market.
Source:
Monthly Returns:
returns.three.ts
is a monthly data set of returns.
The data set ranges from 1991-02-28 to 1995-12-29.
The columns are named: RAL, GMH, IVX.
Source:
Swiss Pension Fund LPP-2000:
SWXLP
is a daily data set of the Swiss pension fund benchmark LPP-2000.
The data set ranges from 2000-01-03 to 2007-05-08.
The columns are named: SBI, SPI, SII, LP25, LP40, LP60.
Source:
Swiss Pension Fund LPP-2005:
LPP2005REC
is a daily data set of the Swiss pension fund benchmark LPP-2005.
The data set ranges from 2005-11-01 to 2007-04-11.
The columns are named: SBI, SPI, SII, LMI, MPI, ALT, LPP25, LPP40,
LPP60.
Source:
Equity Funds:
equityFunds
is a daily data set of Equity Funds.
The data set ranges from 2002-01-01 to 2007-05-31.
The columns are named: EASTEU, LATAM, CHINA, INDIA, ENERGY, MINING,
GOLD, WATER.
Source:
Van Hedge Fund Indices:
The Van Hedge Fund Indices were one of the first performance
benchmarks based on a large and representative sample of hedge fund
returns. Published from 1995 until now, the Van Indices reflect the
average performance of hedge funds back to 1988. The Indices are
produced on a monthly basis. They represent the average performance
of hedge funds around the world and therefore tracks the performance
of the overall hedge fund universe.
All Index returns are based on hedge funds returns that are net of
fees. They are simple non-dollar-weighted averages. Indexes for
different time periods may be based on different funds, depending
on the hedge funds reporting to VAN at the time. The database, used
in construction of the Indices, contains information on approximately
5,300 hedge funds.
The Van Global Hedge Fund Index is reported on a percentage-change
basis. The Index was set at an initial value of 1,000 as of its
January 1, 1988 inception.
The csv data file consists of 16 columns, the first with the date
entries formatted as "%m/%d/%Y", followed by 14 columns with the
Index, and the last column with the Global Hedge Fund Index.
The Indexes are:
AggressiveGrowth
DistressedSecurities
EmergingMarkets
FundofFunds
Income
Macro
MarketNeutralArbitrage
MarketNeutralHedging
MarketTiming
Opportunistic
SeveralStrategies
ShortSelling
SpecialSituations
Value
VanGlobalHedgeFundIndex
Source: With permission from Van Hedge Fund Advisors International, Inc.
http://hedgefund.com/
Examples
## -
fEcofin documentation built on Sept. 9, 2022, 3:01 p.m.
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| PortfolioData | R Documentation |
fPortfolio Data Sets
Description
Data sets used in the examples of the 'fPortfolio'
package.
The data sets are:
altInvest | Monthly Alternative Investment Data Set, |
annualInvest | Annual Investment Data Set, |
assetsCorr | US Asset Correlation Matrix, |
berndtInvest | Berndt's Investment Data Set, |
jobstCov | Covariance Matrix of 30 Stocks, |
largecap.ts | Monthly US Largecap Equities, |
microcap.ts | Monthly US Microcap Equities, |
midcap.ts | Monthly US Midcap Equities, |
smallcap.ts | Monthly US Smallcap Equities, |
midcapD.ts | Daily US Midcap Equities, |
returns.three.ts | Returns, |
SWXLP | Swiss Pension Fund LPP-2000, |
LPP2005REC | Swiss Pension Fund LPP-2005. |
equityFunds | Equity Funds. |
Format
Time series files are in CSV Excel spreadsheet format. The delimiter is a semicolon.
Details
Monthly Alternative Investment Data Set:
altInvest
is a monthly investment data set comparing equity and bond returns
with an alternative investment in hedge funds.
The data set ranges from 1996-07-01 to 2003-11-01.
The columns are named: FUSEX, FBIDX, VANUS.
FUSEX is the "Fidelity Spartan US Equity Index Inv" Fund.
The investment seeks to provide investment results that correspond
to the total return performance of common stocks publicly traded
in the US. The fund normally invests at least 80% of assets in
common stocks included in the Standard and Poor's 500 index, which
broadly represents the performance of common stocks publicly traded
in the US. In addition, the fund lends securities to earn
income [Google].
FBIDX is the "Fidelity US Bond Index" Fund.
The investment seeks to provide investment results that correspond
to the total return of the bonds in the Lehman Brothers Aggregate
Bond index. The fund normally invests at least 80% of total assets
in bonds included in the Lehman Brothers Aggregate Bond index. It
uses statistical sampling techniques based on duration, maturity,
interest rate sensitivity, security structure, and credit
quality [Google].
VANUS is the Van Global Hedge Fund Index.
Annual Investment Data Set:
annualInvest
is a monthly investment data set.
The data set ranges from 1973-12-31 to 1994-12-31.
The columns are named: TBills3m, LongBonds, SP500, Wilshire5000, NASDAQ,
LehmanBonds, EAFE, Gold.
Source:
US Asset Correlation Matrix:
assetsCorr
is an upper correlation matrix of US investments.
The columns are named: LargeStocksUS, SmallStocksUS, CorporateBondsUS,
TreasuryBondsUS, RealEstateUS, StocksCanada, StocksUK, StocksGermany,
StocksSwitzerland, StocksEmergingMarkets.
Source:
Berndt's Investment Data Set:
berndtInvest
is a monthly data set of US equities including market risk free
returns.
The data set ranges from 1978-01-01 to 1987-12-01.
The columns are named: CITCRP, CONED, CONTIL, DATGEN, DEC, DELTA,
GENMIL, GERBER, IBM, MARKET, MOBIL, PANAM, PSNH, TANDY, TEXACO,
WEYER, RKFREE.
Source:
Covariance Matrix of 30 Stocks:
jobstCov
is a covariance data set of 30 Stocks.
The columns are named: Stock01, ..., Stock30.
Source:
US Largecap Equities:
largecap.ts
is a monthly data set of US largecap equities.
The data set ranges from 1997-01-31 to 2001-12-31.
The columns are named: AMAT, AMGN, CAT, DD, G, GENZ, GM, HON, KR, LLTC,
MSFT, ORCL, PG, PHA, SO, TXN, UTX, WM, WYE, YHOO, market, t90.
Source:
US Microcap Equities:
microcap.ts
is a monthly data set of US microcap equities.
The data set ranges from 1997-01-31 to 2001-12-31.
The columns are named: GHI, PBCI, BY, SPNC, ZIF, NHC, NXR, HMSY, MPR,
PRCP, EVST, XLA, WSTL, GAIT, JOUT, IIVI, DMCO, FNIS, IOMT, FBCI,
market, t90.
Source:
US Midcap Equities:
midcap.ts
is a monthly data set of US midcap equities.
The data set ranges from 1997-01-31 to 2001-12-31.
The columns are named: MAT, EMN, LEG, AAPL, UTR, HB, BNK, APA, LNCR,
BMET, DBD, FAST, AF, CPWR, EC, SNV, HSY, TXT, APCC, LXK, market,
t90.
Source:
US Smallcap Equities:
smallcap.ts
is a monthly data set of US smallcap equities.
The data set ranges from 1997-01-31 to 2001-12-31.
The columns are named: MODI, MGF, MEE, FCEL, OII, SEB, RML, AEOS, BRC,
CTC, TNL, IBC, KWD, TOPP, RARE, HAR, BKE, GG, GYMB, KRON, market,
t90.
Source:
Daily US Midcap Equities:
midcapD.ts
is a daily data set of US midcap equities.
The data set ranges from 2000-01-03 to 2001-12-31.
The columns are named: LSCC, CSGS, EC, NYB, ALTR, APH, CLS, NET, SBUX,
AYE, ASBC, SBL, PCZ, OSI, TRP, ROH, SU, MTD, RAD, GUC, market.
Source:
Monthly Returns:
returns.three.ts
is a monthly data set of returns.
The data set ranges from 1991-02-28 to 1995-12-29.
The columns are named: RAL, GMH, IVX.
Source:
Swiss Pension Fund LPP-2000:
SWXLP
is a daily data set of the Swiss pension fund benchmark LPP-2000.
The data set ranges from 2000-01-03 to 2007-05-08.
The columns are named: SBI, SPI, SII, LP25, LP40, LP60.
Source:
Swiss Pension Fund LPP-2005:
LPP2005REC
is a daily data set of the Swiss pension fund benchmark LPP-2005.
The data set ranges from 2005-11-01 to 2007-04-11.
The columns are named: SBI, SPI, SII, LMI, MPI, ALT, LPP25, LPP40,
LPP60.
Source:
Equity Funds:
equityFunds
is a daily data set of Equity Funds.
The data set ranges from 2002-01-01 to 2007-05-31.
The columns are named: EASTEU, LATAM, CHINA, INDIA, ENERGY, MINING,
GOLD, WATER.
Source:
Van Hedge Fund Indices:
The Van Hedge Fund Indices were one of the first performance
benchmarks based on a large and representative sample of hedge fund
returns. Published from 1995 until now, the Van Indices reflect the
average performance of hedge funds back to 1988. The Indices are
produced on a monthly basis. They represent the average performance
of hedge funds around the world and therefore tracks the performance
of the overall hedge fund universe.
All Index returns are based on hedge funds returns that are net of fees. They are simple non-dollar-weighted averages. Indexes for different time periods may be based on different funds, depending on the hedge funds reporting to VAN at the time. The database, used in construction of the Indices, contains information on approximately 5,300 hedge funds.
The Van Global Hedge Fund Index is reported on a percentage-change basis. The Index was set at an initial value of 1,000 as of its January 1, 1988 inception.
The csv data file consists of 16 columns, the first with the date entries formatted as "%m/%d/%Y", followed by 14 columns with the Index, and the last column with the Global Hedge Fund Index.
The Indexes are:
AggressiveGrowth
DistressedSecurities
EmergingMarkets
FundofFunds
Income
Macro
MarketNeutralArbitrage
MarketNeutralHedging
MarketTiming
Opportunistic
SeveralStrategies
ShortSelling
SpecialSituations
Value
VanGlobalHedgeFundIndex
Source: With permission from Van Hedge Fund Advisors International, Inc.
http://hedgefund.com/
Examples
## -
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