12_Industry_Portfolios

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Unformatted text preview: This file was created by CMPT_IND_RETS using the 201112 CRSP database. It contains value- and equal-weighted returns for 12 industry portfolios. The portfolios are constructed at the end of June. The annual returns are from January to December. Missing data are indicated by -99.99 or -999. Average Value Weighted Returns -- Monthly NoDur Durbl Manuf Enrgy Chems BusEq Telcm Utils Shops Hlth Money Other 192607 1.43 15.61 3.61 -1.17 7.79 3.16 0.83 7.10 -2.81 1.64 0.16 2.20 192608 4.00 3.64 2.41 3.31 5.05 1.97 2.17 -1.74 -0.54 4.51 4.38 4.36 192609 1.20 4.88 -0.01 -3.37 5.33 -0.34 2.41 1.96 0.14 0.61 -1.36 0.36 192610 -1.34 -8.22 -3.12 -0.78 -4.58 -5.38 -0.11 -2.67 -5.31 -0.73 -5.09 -2.76 192611 5.15 -0.20 3.84 -0.01 5.24 4.79 1.63 3.76 4.05 5.53 2.29 2.12 192612 0.84 9.91 3.65 2.81 5.17 -1.79 1.99 -0.12 2.89 0.15 2.79 3.41 192701 -0.64 -0.91 -0.35 1.20 0.31 -0.77 1.88 -1.78 -3.19 4.91 -2.48 1.68 192702 3.37 8.88 4.60 1.42 9.50 4.60 3.97 4.57 4.55 1.65 2.77 5.13 192703 2.71 1.65 0.32 -5.95 6.14 0.55 5.56 0.44 2.85 0.88 1.41 1.26 192704 3.31 3.17 0.17 -5.11 2.81 6.20 -2.13 1.65 2.21 3.25 3.76 0.80 192705 8.17 5.92 5.39 4.80 4.28 7.71 3.35 9.31 0.63 4.01 10.25 6.25 192706 -1.74 -2.95 -2.59 -3.20 -1.80 2.88 -2.14 -3.64 0.21 0.45 0.44 -2.19 192707 4.81 13.13 10.11 2.90 17.10 12.96 3.73 5.31 9.46 9.84 7.82 6.09 192708 2.74 7.02 3.02 0.00 2.11 6.81 0.43 3.43 13.08 0.28 1.46 -1.35 192709 5.31 5.73 4.28 3.33 5.84 1.12 6.53 8.29 5.12 5.65 5.95 4.69 192710 -0.81 -4.38 -6.67 -2.06 -6.93 -7.11 -2.09 -4.34 -6.01 5.13 4.47 -4.24 192711 6.78 6.35 11.36 4.15 9.00 10.96 2.83 6.32 10.92 3.68 7.42 4.36 192712 2.47 7.78 3.70 0.89 -0.05 2.04 1.33 2.24 -0.18 -0.46 11.72 1.41 192801 0.57 -3.34 -0.58 -1.86 -0.39 -0.45 0.30 5.87 -0.56 2.69 0.34 -1.27 192802 -3.99 1.28 -2.61 -0.21 0.90 -0.82 -0.30 -0.68 -1.67 -1.38 -2.25 -1.92 192803 4.36 27.63 6.42 5.37 12.58 22.13 1.96 6.62 8.78 10.54 8.85 5.86 192804 -0.45 1.42 2.02 15.12 0.05 2.32 3.22 10.94 0.52 2.35 6.93 3.89 192805 0.88 5.64 3.97 -5.26 2.62 2.02 6.61 1.51 3.97 9.27 3.40 -0.15 192806 -4.35 -4.04 -5.57 -4.05 -2.72 -5.46 -5.22 -3.43 -4.10 -3.15 -9.27 -3.85 192807 1.84 0.87 2.18 0.98 1.96 -0.07 -1.28 -1.15 4.85 2.68 -0.21 -0.34 192808 5.95 9.06 8.08 2.38 8.89 11.56 4.55 6.46 11.68 15.11 5.56 4.69 192809 1.22 7.78 3.61 5.21 4.54 1.38 0.15 3.35 1.54 -1.50 12.21 0.87 192810 0.79 0.14 3.91 1.91 5.05 1.94 2.97 -1.64 4.05 -0.08 3.20 -0.64 192811 6.57 4.47 12.77 17.29 12.87 21.84 6.68 21.98 14.19 5.05 9.83 10.08 192812 -0.46 -1.25 3.20 -4.34 1.95 8.20 -0.38 1.52 -1.42 -0.28 1.39 0.39 192901 3.46 1.27 7.07 -7.68 21.75 11.53 13.38 12.96 -4.30 3.25 8.72 5.38 192902 -2.53 -0.11 4.76 -0.03 -0.54 -0.95 -1.15 -2.10 -2.51 -0.16 0.04 -0.06 192903 -4.51 -1.83 -1.27 11.04 -3.48 5.41 4.29 -3.10 -5.76 -1.93 -1.56 -2.28 192904 1.85 -1.02 1.93 0.74 3.53 1.78 3.39 5.26 3.03 1.55 1.17 0.51 192905 -3.97 -15.03 -10.43 -5.55 -7.16 0.84 -8.77 5.17 -7.35 -7.67 -2.77 0.37 192906 5.32 6.93 10.72 1.14 19.50 18.04 13.70 23.43 8.03 4.13 6.50 5.75 192907 3.21 3....
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This note was uploaded on 02/29/2012 for the course FINA 6275 taught by Professor Gerganajostova during the Spring '12 term at GWU.

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