Data Dictionary

Every dataset this book uses, documented in one place: the data provider, sample years and frequency, the build_data/ notebook that regenerates the file, and every page of the book that relies on it. Click any dataset in the tables below for its detail page.

Students access course data through the course Box folder linked from the course site — the repository and this site do not ship the data files themselves. These listings document where each dataset comes from and how it is rebuilt.

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Datasets

Click a dataset for its detail page: provider, sample, how to rebuild it, and every page that uses it.

Dataset	Source	Years	Freq	Vintage	Used by
carry_etf_data.xlsx	BB	2004-2025	M	rolling	1 page
crsp_corp_fin_2013.xlsx	CRSP	—	—	pinned	2 pages
crsp_market_data.xlsx	CRSP	1926-2024	M	rolling	2 pages
crsp_stock_data_1995.csv	CRSP	1995-2024	D	pinned	1 page
dfa_analysis_data.xlsx	French	1926-2025	M	rolling	2 pages
factor_pricing_data_{SAMPLING}.xlsx	French	1980-2026	per sampling (D/W/M)	rolling	6 pages
forensics_etf_data.xlsx	TBD	2014-2026	M	rolling	1 page
gmo_returns_weekly.xlsx	BB	1996-2025	W	rolling	1 page
market_expected_return.csv	Manual	—	Snap	rolling	1 page
momentum_data.xlsx	French	1927-2025	M	rolling	2 pages
multi_asset_etf_data.xlsx	Yahoo	2011-2025	M	rolling	2 pages
port_decomp_example.xlsx	Derived	2010-2025	M	rolling	1 page
private_equity_data.xlsx	Yahoo	2015-2025	W	rolling	1 page
risk_etf_data.xlsx	Yahoo	2017-2026	D	rolling	10 pages
sector_etf_data.xlsx	Yahoo	2000-2026	W	rolling	1 page
sector_etf_data_daily.xlsx	Yahoo	2000-2026	D	rolling	1 page
single_stock_data.xlsx	TBD	2015-2025	D	rolling	1 page
spx_data_weekly.xlsx	BB	2015-2025	W	rolling	1 page
spx_ret_1995.csv	CRSP	1995-2024	D	pinned	1 page
spx_returns_daily_full.parquet	Yahoo	2016-2026	D	rolling	1 page
spx_returns_weekly_legacy_2025.xlsx	BB	2015-2025	W	pinned	2 pages
spx_returns_{SAMPLING}.xlsx	BB	2015-2026	per sampling (D/W)	rolling	8 pages
spy_data_daily.xlsx	Yahoo	1994-2026	D	rolling	1 page
spy_forecasting_data.xlsx	BB	1993-2025	M	rolling	3 pages

Datasets by chapter

Chapter	Datasets
Risk and Return	multi_asset_etf_data · risk_etf_data · spx_returns_weekly_legacy_2025 · spx_returns_{SAMPLING}
Linear Factor Decomposition	port_decomp_example · private_equity_data · risk_etf_data · sector_etf_data · spx_returns_weekly_legacy_2025
Dynamics	risk_etf_data · sector_etf_data_daily · spx_returns_daily_full · spx_returns_{SAMPLING}
The CAPM	crsp_corp_fin_2013 · crsp_stock_data_1995 · dfa_analysis_data · market_expected_return · spx_ret_1995 · spx_returns_{SAMPLING}
Multifactor Pricing Models	crsp_corp_fin_2013 · dfa_analysis_data · factor_pricing_data_{SAMPLING} · momentum_data · spx_returns_{SAMPLING}
Forecasting Returns	crsp_market_data · factor_pricing_data_{SAMPLING} · gmo_returns_weekly · spy_forecasting_data
Carry and Forecasting	spx_data_weekly
Managed Funds	crsp_market_data · spy_data_daily
Projects	carry_etf_data · factor_pricing_data_{SAMPLING} · forensics_etf_data · multi_asset_etf_data · risk_etf_data · single_stock_data · spy_forecasting_data

Legend

• BB — Bloomberg Terminal

• CRSP — Center for Research in Security Prices (via WRDS)

• Derived — Derived from other course datasets

• French — Ken French Data Library (via pandas-datareader)

• Manual — Hand-collected

• TBD — Source not yet confirmed

• Yahoo — Yahoo Finance

• Frequency: D daily, W weekly, M monthly, Q quarterly, Snap point-in-time snapshot.

• Vintage: a dated filename is pinned — it freezes a specific pull as the permanent dataset for its pages; an undated filename is rolling — re-running its build notebook refreshes it.