PortfolioData            package:fEcofin            R Documentation

_f_P_o_r_t_f_o_l_i_o _D_a_t_a _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_F_o_r_m_a_t:

     Time series files are in CSV Excel spreadsheet format.  The
     delimiter is a semicolon.

_D_e_t_a_i_l_s:

     *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/_

_E_x_a_m_p_l_e_s:

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