jan {pa}

Edited Barra data set in Jan. 2010.

Description

A modified version of the data set based on MSCI Barra GEM2 data set in year 2010.

Usage

data(jan)

Format

A data frame with 3000 observations on the following 15 variables.

barrid

barra id of a security

name

name of a security

return

a numeric vector

date

a Date

sector

an ordered factor with levels Energy < Materials < Industrials < ConDiscre < ConStaples < HealthCare < Financials < InfoTech < TeleSvcs < Utilities

momentum

a numeric vector

value

a numeric vector

size

a numeric vector

growth

a numeric vector

cap.usd

a numeric vector

yield

a numeric vector

country

a factor with levels ARE ARG AUS AUT BEL BHR BRA CAN CHE CHL CHN CHX COL CZE DEU DNK EGY ESP FIN FRA GBR GRC HKG HUN IDN IND IRL ISR ITA JOR JPN KOR KWT MAR MEX MYS NLD NOR NZL OMN PAK PER PHL POL PRT QAT RUS SAU SGP SWE THA TUR TWN USA ZAF

currency

a factor with levels AREC ARGC AUSC BHRC BRAC CANC CHEC CHLC CHNC COLC CZEC DNKC EGYC EMUC GBRC HKGC HUNC IDNC INDC ISRC JORC JPNC KORC KWTC MARC MEXC MYSC NORC NZLC OMNC PAKC PERC PHLC POLC QATC RUSC SAUC SGPC SWEC THAC TURC TWNC USAC ZAFC

portfolio

a numeric vector

benchmark

a numeric vector

Details

A subset of the data set year. jan contains all the information necessary to conduct a single-period Brinson analysis. date.var, cat.var, and return identify the columns containing the date, the factor to be analyzed, and the return variable, respectively. bench.weight and portfolio.weight specify the name of the benchmark weight column and that of the portfolio weight column in the data frame.

Examples

data(jan)
head(jan)