| File |
File
Extension |
Contents |
| Asset Risk
Characteristics |
RSK |
All factor exposures plus
predicted and historical beta, predicted specific and total risk, price, capitalization,
yield, and index membership for all assets |
| Covariance
Matrix |
COV |
Square variance/ covariance
matrix for each month expressed in annualized % squared |
| Factor
Returns |
FRT |
Monthly factor returns |
| Daily Factor
Returns |
DFR |
Daily factor returns |
| Asset Total
Returns |
RET |
Monthly total returns for
all assets |
| Asset Betas |
BET |
Predicted and historical
beta for all assets |
| Global Exchange Rates |
XRT |
Exchange rates between US Dollars and all other GEM currencies |
| Industry
Weights |
IND |
Multiple industry allocation
for all assets |
| Asset Specific Returns |
SRT |
Monthly specific returns, the return net of common factor return |
| Mini-Industry Weights |
MIN |
Assignments to mini-industries (i.e. sub-industries) for all assets |
| Valuation
Signals |
VAL |
Monthly Alphabuilder signals
from Barra proprietary models for all assets |
| Market Impact Model |
MIM |
Daily breakpoints and slopes
for all assets |
| Float Capitalization |
FLO |
Float capitalizations of assets |
| Linked Specific Risk |
LSR |
Root asset specific risk and the elasticity to the root |
Notes: 1. For most models 2. Complete history in each installment 3. Subset of RSK data |