Detail for 5 Industry Portfolios

Data

Dataset contains 5 Industry Portfolios monthly returns from July 1926 till February 2020.

Industry portfolios:

• Cnsmr - Consumer Durables, Nondurables, Wholesale, Retail, and Some Services (Laundries, Repair Shops)
• Manuf - Manufacturing, Energy, and Utilities
• HiTec - Business Equipment, Telephone and Television Transmission
• Hlth - Healthcare, Medical Equipment, and Drugs
• Other - Mines, Constr, BldMt, Trans, Hotels, Bus Serv, Entertainment, Finance

The data is fetched from Kenneth French Data Library

Preparation

To update the data run the process script locally:

python scripts/process.py

Several steps will be done to get the final data.

• It first hits the URL and download the XLS file to the archive directory
• It applies parsing on a sheet named 'Data' in the downloaded file.
• After cleaning and parsing, final output is genertated in a CSV file that is contained under 'data' directory and is named 'avg_value_weighted_returns.csv'.

License

Copyright 2020 Kenneth R. French