SPIndustrials {PCRA}R Documentation

SPIndustrials

Description

Year-end data on the S&P Industrials® Index from 1967 to 2007 extracted from a paper copy of the S&P Analysts' Handbook.

Usage

data(SPIndustrials)

Format

A data frame with observations on the S&P Industrials® index from 1967 to 2007

Details

Data for the S&P® Industrials is taken from a paper copy of the S&P® Analysts' Handbook published in 2008. The average price level of the index in 1941-1943 was set to 100. See https://globalfinancialdata.com/the-sp-composite-before-1957 for a useful history of the various S&P® indices.

Source

S&P Dow Jones Indices. S&P®, S&P 400 Industrials®, S&P 425 Industrials®, S&P Industrials®and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC, and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. © 2023 S&P Dow Jones Indices LLC, #' its affiliates and/or its licensors. All rights reserved. Redistribution of the data is not permitted, and use of the data in derivative works is not permitted without the written permission of S&P Dow Jones Indices LLC.

References

Chapter 13 (Expected Returns) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.

Examples

 
data(SPIndustrials)
names(SPIndustrials)
head(SPIndustrials, 5)
tail(SPIndustrials, 5)

[Package PCRA version 1.2 Index]