Package 'tsrsa'

Title: Data and code for the book, The Sharpe Ratio: Statistics and Applications
Description: Publicly available Market data, mostly compiled by Kenneth French, and loaded from Quandl.
Authors: Steven E. Pav [aut, cre]
Maintainer: Steven E. Pav <[email protected]>
License: LGPL-3
Version: 0.1.1
Built: 2024-11-21 02:48:28 UTC
Source: https://github.com/shabbychef/tsrsa

Help Index

Daily Fama French 4 Factor Returns

Description

The daily returns of the 4 Fama French Factors: Market, the cap factor SMB, the growth factor HML, and the momentum factor UMD.

Usage

dff4

Format

An xts object with 24,795 observations and 5 columns. The data run from January, 1927 through December, 2020. 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:

Mkt

The Market daily return. Note that the risk free rate has been added back to the excess returns published by the upstream source.

SMB

The cap factor daily return.

HML

The growth factor daily return.

UMD

The momentum factor daily return.

RF

The risk-free rate, presumably as an daily rate, though note that no corrections have been made for weekend effects when adding the risk-free rate back to the market rate.

Author(s)

Steven E. Pav [email protected]

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/f-f_factors.html.

Examples

## Not run: 
data(dff4)
str(dff4)

## End(Not run)

Daily VIX Close

Description

The daily closing value of the CBOE VIX index.

Usage

dvix

Format

An xts object with 7,809 observations and 1 columns. The data run from January, 1990 through December, 2020. The columns are defined as follows:

VIX

The closing value of the VIX index. From January 2004 onward, the data are from the modern definition of the VIX index. The data from before 2004 are sourced from the back-computed data archive on CBOE.

Author(s)

Steven E. Pav [email protected]

Source

CBOE. See http://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-index/vix-historical-data.

Examples

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

## End(Not run)

Goyal Welch Equity Premium Data.

Description

The yearly excess returns of the Market, aligned with a number of lagging independent variables which have been posited to be predictive of the excess returns.

Usage

gw

Format

An xts object with 215 observations and 23 columns. The data are annual and span from 1802 through 2016. As in the upstream source, the data are given in percents, meaning a value of 1.00 corresponds to a 1% movement. The columns are defined in the paper, but are roughly as follows:

cpi

The Consumer price index

gold

The spot price of gold

infl

Inflation as a percent?

tbill

The Treasury bill rate?

ltyld10

???

ltrate

???

callmoney

????

aaa

????

baa

????

corprate

????

corprate.i

????

sp500index

The closing value of the S&P 500 index.

sp500d12

????

sp500e12

????

vwm

????

vwx

????

svar

????

bkmk

????

ntis

????

eqis

????

csp

????

cay

????

ik

????

Author(s)

Steven E. Pav [email protected]

Source

Ivo Welch's data page, http://www.ivo-welch.info/professional/goyal-welch/.

References

Welch, Ivo and Goyal, Amit. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction." The Review of Financial Studies 21 , no. 4 (2007): 1455-1508. https://doi.org/10.1093/rfs/hhm014

Examples

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

## End(Not run)

Monthly Fama French 4 Factor Returns

Description

The monthly returns of the 4 Fama French Factors: Market, the cap factor SMB, the growth factor HML, and the momentum factor UMD.

Usage

mff4

Format

An xts object with 1,128 observations and 5 columns. The data run from January, 1927 through December, 2020. 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:

Mkt

The Market monthly return. Note that the risk free rate has been added back to the excess returns published by the upstream source.

SMB

The cap factor monthly return.

HML

The growth factor monthly return.

UMD

The momentum factor monthly return.

RF

The risk-free rate, presumably as a monthly rate. The average value is arround 0.28, corresponding to an annualized rate of around 3.3%.

Author(s)

Steven E. Pav [email protected]

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/f-f_factors.html.

Examples

## Not run: 
data(mff4)
str(mff4)

## End(Not run)

Monthly Fama French 6 Factor Returns

Description

The monthly returns of the 6 Fama French Factors: Market, the cap factor SMB, the growth factor HML, the momentum factor UMD, the profitability factor RMW, and the invesment factor CMA.

Usage

mff6

Format

An xts object with 690 observations and 7 columns. The data run from July, 1963 through December, 2020. 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:

Mkt

The Market monthly return. Note that the risk free rate has been added back to the excess returns published by the upstream source.

SMB

The cap factor monthly return.

HML

The growth factor monthly return.

UMD

The momentum factor monthly return.

RMW

The profitability factor monthly return.

CMA

The investment factor monthly return.

RF

The risk-free rate, presumably as a monthly rate. The average value is arround 0.39, corresponding to an annualized rate of around 4.7%.

Author(s)

Steven E. Pav [email protected]

Source

Kenneth French data library. See http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html, and data description at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_5_factors_2x3.html.

Examples

## Not run: 
data(mff6)
str(mff6)

## End(Not run)

Monthly Fama French 10 Industry Returns

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 1,128 observations and 10 columns. The data run from January, 1927 through December, 2020. 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 [email protected]

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)

Monthly Fama French 5 Industry Returns

Description

The monthly returns of 5 industries: Consumer, Manufacturing, High Technology, Healthcare and Other.

Usage

mind5

Format

An xts object with 1,128 observations and 5 columns. The data run from January, 1927 through December, 2020. 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”.

Note

These are not the “ex dividend” returns series.

Author(s)

Steven E. Pav [email protected]

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_5_ind_port.html.

Examples

## Not run: 
data(mind5)
str(mind5)

## End(Not run)