| --- |
| language: |
| - en |
| license: other |
| 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." |
| dataset_info: |
| features: |
| - name: datetime |
| dtype: string |
| - name: rpi |
| dtype: float64 |
| - name: w875rx1 |
| dtype: float64 |
| - name: dpcera3m086sbea |
| dtype: float64 |
| - name: cmrmtsplx |
| dtype: float64 |
| - name: retailx |
| dtype: float64 |
| - name: indpro |
| dtype: float64 |
| - name: ipfpnss |
| dtype: float64 |
| - name: ipfinal |
| dtype: float64 |
| - name: ipcongd |
| dtype: float64 |
| - name: ipdcongd |
| dtype: float64 |
| - name: ipncongd |
| dtype: float64 |
| - name: ipbuseq |
| dtype: float64 |
| - name: ipmat |
| dtype: float64 |
| - name: ipdmat |
| dtype: float64 |
| - name: ipnmat |
| dtype: float64 |
| - name: ipmansics |
| dtype: float64 |
| - name: ipb51222s |
| dtype: float64 |
| - name: ipfuels |
| dtype: float64 |
| - name: cumfns |
| dtype: float64 |
| - name: hwi |
| dtype: float64 |
| - name: hwiuratio |
| dtype: float64 |
| - name: clf16ov |
| dtype: float64 |
| - name: ce16ov |
| dtype: float64 |
| - name: unrate |
| dtype: float64 |
| - name: uempmean |
| dtype: float64 |
| - name: uemplt5 |
| dtype: float64 |
| - name: uemp5to14 |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: uemp27ov |
| dtype: float64 |
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| dtype: float64 |
| - name: payems |
| dtype: float64 |
| - name: usgood |
| dtype: float64 |
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| dtype: float64 |
| - name: uscons |
| dtype: float64 |
| - name: manemp |
| dtype: float64 |
| - name: dmanemp |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: bogmbase |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: busloans |
| dtype: float64 |
| - name: realln |
| dtype: float64 |
| - name: nonrevsl |
| dtype: float64 |
| - name: conspi |
| dtype: float64 |
| - name: s_p_500 |
| dtype: float64 |
| - name: s_p_div_yield |
| dtype: float64 |
| - name: s_p_pe_ratio |
| dtype: float64 |
| - name: fedfunds |
| dtype: float64 |
| - name: cp3mx |
| dtype: float64 |
| - name: tb3ms |
| dtype: float64 |
| - name: tb6ms |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: t10yffm |
| dtype: float64 |
| - name: aaaffm |
| dtype: float64 |
| - name: baaffm |
| dtype: float64 |
| - name: twexafegsmthx |
| dtype: float64 |
| - name: exszusx |
| dtype: float64 |
| - name: exjpusx |
| dtype: float64 |
| - name: exusukx |
| dtype: float64 |
| - name: excausx |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: wpsid62 |
| dtype: float64 |
| - name: oilpricex |
| dtype: float64 |
| - name: ppicmm |
| dtype: float64 |
| - name: cpiaucsl |
| dtype: float64 |
| - name: cpiappsl |
| dtype: float64 |
| - name: cpitrnsl |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: cusr0000sa0l2 |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: pcndx |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: impgsc1 |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: outms |
| dtype: float64 |
| - name: ipb51110sq |
| dtype: float64 |
| - name: ipb51220sq |
| dtype: float64 |
| - name: tcu |
| dtype: float64 |
| - name: uspriv |
| dtype: float64 |
| - name: usehs |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: ces9092000001 |
| dtype: float64 |
| - name: ces9093000001 |
| dtype: float64 |
| - name: civpart |
| dtype: float64 |
| - name: unratestx |
| dtype: float64 |
| - name: unrateltx |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: awhnonag |
| dtype: float64 |
| - name: hwix |
| dtype: float64 |
| - name: houst5f |
| dtype: float64 |
| - name: rsafsx |
| dtype: float64 |
| - name: acognox |
| dtype: float64 |
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| dtype: float64 |
| - name: pcectpi |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: ahetpix |
| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
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| dtype: float64 |
| - name: tnwmvbsnncbbdix |
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|
|
| --- |
| # Dataset Information |
|
|
| Monthly macroeconomic factor dataset curated by **SOV.AI**. This table contains the core set of |
| indicators that explains over 90% of the variance across common economic outcomes. Columns align to |
| the Federal Reserve Economic Data (FRED) series codes provided by SOV.AI, with more than 250 |
| indicators spanning labor, credit, housing, volatility, and fixed-income markets. |
|
|
| - **Coverage**: Over 250 macroeconomic indicators distilled from the macro features feed. |
| - **Update cadence**: Monthly, with quarterly features included at their most recent observations. |
| - **Access**: `import sovai as sov; df = sov.data("macro/features")` |
|
|
| ## Data Source |
| Data provided by SOV.AI, derived from FRED time series. |
|
|
| ## Sample Indicators |
|
|
| | FRED Code | Description | Granularity | |
| |-------------|------------------------------------------------------|-------------| |
| | CLAIMSx | Initial Unemployment Claims | Monthly | |
| | S&P PE ratio| S&P 500 Price-Earnings Ratio | Monthly | |
| | gs1 | 1-Year Treasury Constant Maturity Rate | Monthly | |
| | TB6SMFFM | 6-Month Treasury Bill Rate Minus Fed Funds Rate | Monthly | |
| | UMCSENTx | Consumer Confidence Index | Monthly | |
| | vxoclsx | CBOE S&P 500 Volatility Index (Close) | Monthly | |
| | A014RE1Q156NBEA | GDP Share: Private Investment Change (%) | Quarterly | |
| | A823RL1Q225SBEA | Govt. Spending & Investment Change: Federal (%) | Quarterly | |
| | gs1tb3m | Spread Between 1-Year Treasury and 3-Month T-Bill | Monthly | |
| | cpf3mtb3m | 3-Month Commercial Paper Minus 3-Month T-Bill | Monthly | |
| | DRIWCIL | Lending Willingness: Consumer Loans (%) | Quarterly | |
| | mrtggs10 | 10-Year Fixed Mortgage Rate | Monthly | |
| | UEMP5TO14 | Unemployed for 5-14 Weeks (000s) | Monthly | |
| | EXUSEU | US Dollar to Euro Exchange Rate | Monthly | |
| | T10YFFM | 10-Year Treasury Rate Minus Fed Funds Rate | Monthly | |
| | USEPUINDXM | US Economic Policy Uncertainty Index | Monthly | |
| | TLBSNNBBDIx | Business Sector Debt to Income Ratio (%) | Quarterly | |
| | CONSPI | Consumer Credit to Personal Income Ratio | Monthly | |
| | LNS14000025 | Unemployment Rate: Men Over 20 (%) | Monthly | |
| | PERMIT | New Housing Building Permits Issued (000s) | Monthly | |
| | AWHMAN | Avg Weekly Hours: Manufacturing Workers | Monthly | |
| | S_P_div_yield | S&P 500 Dividend Yield | Monthly | |
| | CES1021000001 | Employment in Mining & Logging (000s) | Monthly | |
| | HOUSTW | Housing Starts: West Region (000s Units) | Monthly | |
| | HOUSTNE | Housing Starts: Northeast Region (000s Units) | Monthly | |
| | EXCAUS | Canada / U.S. Foreign Exchange Rate | Monthly | |
| | HOUST | New Housing Starts (000s Units) | Monthly | |
| | S_P__indust | S&P 500 Industrial Sector Index | Monthly | |
| | MANEMP | Manufacturing Sector Employment (000s) | Monthly | |
| | LNS13023621 | Unemployment Level: Job Losers (000s) | Monthly | |
| |
| For the complete description of each feature please refer to the **FRED** documentation referenced by |
| its series code. |
| |
