A modified version of the data set based on MSCI Barra GEM2 data set in year 2010.
data(jan)A data frame with 3000 observations on the following 15 variables.
barridbarra id of a security
namename of a security
returna numeric vector
datea Date
sectoran ordered factor with levels Energy < Materials < Industrials < ConDiscre < ConStaples < HealthCare < Financials < InfoTech < TeleSvcs < Utilities
momentuma numeric vector
valuea numeric vector
sizea numeric vector
growtha numeric vector
cap.usda numeric vector
yielda numeric vector
countrya 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
currencya 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
portfolioa numeric vector
benchmarka numeric vector
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.