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--- |
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language: |
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- en |
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license: other |
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extra_gated_prompt: "To get access to this dataset, you must subscribe to Papers With Backtest. To subscribe, go to https://paperswithbacktest.com/ > Login > Choose Your Plan > Subscribe." |
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dataset_info: |
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features: |
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dtype: string |
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|
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|
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|
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|
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dtype: float64 |
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dtype: float64 |
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dtype: float64 |
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- name: ttaabsnncbx |
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dtype: float64 |
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- name: tnwmvbsnncbx |
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dtype: float64 |
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- name: tnwmvbsnncbbdix |
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dtype: float64 |
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- name: tlbsnnbx |
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dtype: float64 |
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- name: tlbsnnbbdix |
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dtype: float64 |
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- name: tabsnnbx |
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dtype: float64 |
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|
- name: tnwbsnnbx |
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dtype: float64 |
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- name: tnwbsnnbbdix |
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dtype: float64 |
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- name: cncfx |
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dtype: float64 |
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--- |
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# Dataset Information |
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Monthly macroeconomic factor dataset curated by **SOV.AI**. This table contains the core set of |
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indicators that explains over 90% of the variance across common economic outcomes. Columns align to |
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the Federal Reserve Economic Data (FRED) series codes provided by SOV.AI, with more than 250 |
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indicators spanning labor, credit, housing, volatility, and fixed-income markets. |
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- **Coverage**: Over 250 macroeconomic indicators distilled from the macro features feed. |
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- **Update cadence**: Monthly, with quarterly features included at their most recent observations. |
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- **Access**: `import sovai as sov; df = sov.data("macro/features")` |
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## Data Source |
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Data provided by SOV.AI, derived from FRED time series. |
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## Sample Indicators |
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| FRED Code | Description | Granularity | |
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|-------------|------------------------------------------------------|-------------| |
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| CLAIMSx | Initial Unemployment Claims | Monthly | |
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| S&P PE ratio| S&P 500 Price-Earnings Ratio | Monthly | |
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| gs1 | 1-Year Treasury Constant Maturity Rate | Monthly | |
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| TB6SMFFM | 6-Month Treasury Bill Rate Minus Fed Funds Rate | Monthly | |
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| UMCSENTx | Consumer Confidence Index | Monthly | |
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| vxoclsx | CBOE S&P 500 Volatility Index (Close) | Monthly | |
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| A014RE1Q156NBEA | GDP Share: Private Investment Change (%) | Quarterly | |
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| A823RL1Q225SBEA | Govt. Spending & Investment Change: Federal (%) | Quarterly | |
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| gs1tb3m | Spread Between 1-Year Treasury and 3-Month T-Bill | Monthly | |
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| cpf3mtb3m | 3-Month Commercial Paper Minus 3-Month T-Bill | Monthly | |
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| DRIWCIL | Lending Willingness: Consumer Loans (%) | Quarterly | |
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| mrtggs10 | 10-Year Fixed Mortgage Rate | Monthly | |
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| UEMP5TO14 | Unemployed for 5-14 Weeks (000s) | Monthly | |
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| EXUSEU | US Dollar to Euro Exchange Rate | Monthly | |
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| T10YFFM | 10-Year Treasury Rate Minus Fed Funds Rate | Monthly | |
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| USEPUINDXM | US Economic Policy Uncertainty Index | Monthly | |
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| TLBSNNBBDIx | Business Sector Debt to Income Ratio (%) | Quarterly | |
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| CONSPI | Consumer Credit to Personal Income Ratio | Monthly | |
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| LNS14000025 | Unemployment Rate: Men Over 20 (%) | Monthly | |
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| PERMIT | New Housing Building Permits Issued (000s) | Monthly | |
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| AWHMAN | Avg Weekly Hours: Manufacturing Workers | Monthly | |
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| S_P_div_yield | S&P 500 Dividend Yield | Monthly | |
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| CES1021000001 | Employment in Mining & Logging (000s) | Monthly | |
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| HOUSTW | Housing Starts: West Region (000s Units) | Monthly | |
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| HOUSTNE | Housing Starts: Northeast Region (000s Units) | Monthly | |
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| EXCAUS | Canada / U.S. Foreign Exchange Rate | Monthly | |
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| HOUST | New Housing Starts (000s Units) | Monthly | |
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| S_P__indust | S&P 500 Industrial Sector Index | Monthly | |
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| MANEMP | Manufacturing Sector Employment (000s) | Monthly | |
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| LNS13023621 | Unemployment Level: Job Losers (000s) | Monthly | |
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For the complete description of each feature please refer to the **FRED** documentation referenced by |
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its series code. |
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