| | --- |
| | 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 |
| | - name: uemp15ov |
| | dtype: float64 |
| | - name: uemp15t26 |
| | dtype: float64 |
| | - name: uemp27ov |
| | dtype: float64 |
| | - name: claimsx |
| | dtype: float64 |
| | - name: payems |
| | dtype: float64 |
| | - name: usgood |
| | dtype: float64 |
| | - name: ces1021000001 |
| | dtype: float64 |
| | - name: uscons |
| | dtype: float64 |
| | - name: manemp |
| | dtype: float64 |
| | - name: dmanemp |
| | dtype: float64 |
| | - name: ndmanemp |
| | dtype: float64 |
| | - name: srvprd |
| | dtype: float64 |
| | - name: ustpu |
| | dtype: float64 |
| | - name: uswtrade |
| | dtype: float64 |
| | - name: ustrade |
| | dtype: float64 |
| | - name: usfire |
| | dtype: float64 |
| | - name: usgovt |
| | dtype: float64 |
| | - name: ces0600000007 |
| | dtype: float64 |
| | - name: awotman |
| | dtype: float64 |
| | - name: awhman |
| | dtype: float64 |
| | - name: houst |
| | dtype: float64 |
| | - name: houstne |
| | dtype: float64 |
| | - name: houstmw |
| | dtype: float64 |
| | - name: housts |
| | dtype: float64 |
| | - name: houstw |
| | dtype: float64 |
| | - name: permit |
| | dtype: float64 |
| | - name: permitne |
| | dtype: float64 |
| | - name: permitmw |
| | dtype: float64 |
| | - name: permits |
| | dtype: float64 |
| | - name: permitw |
| | dtype: float64 |
| | - name: acogno |
| | dtype: float64 |
| | - name: amdmnox |
| | dtype: float64 |
| | - name: andenox |
| | dtype: float64 |
| | - name: amdmuox |
| | dtype: float64 |
| | - name: businvx |
| | dtype: float64 |
| | - name: isratiox |
| | dtype: float64 |
| | - name: m1sl |
| | dtype: float64 |
| | - name: m2sl |
| | dtype: float64 |
| | - name: m2real |
| | dtype: float64 |
| | - name: bogmbase |
| | dtype: float64 |
| | - name: totresns |
| | dtype: float64 |
| | - name: nonborres |
| | 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 |
| | - name: gs1 |
| | dtype: float64 |
| | - name: gs5 |
| | dtype: float64 |
| | - name: gs10 |
| | dtype: float64 |
| | - name: aaa |
| | dtype: float64 |
| | - name: baa |
| | dtype: float64 |
| | - name: compapffx |
| | dtype: float64 |
| | - name: tb3smffm |
| | dtype: float64 |
| | - name: tb6smffm |
| | dtype: float64 |
| | - name: t1yffm |
| | dtype: float64 |
| | - name: t5yffm |
| | 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 |
| | - name: wpsfd49207 |
| | dtype: float64 |
| | - name: wpsfd49502 |
| | dtype: float64 |
| | - name: wpsid61 |
| | 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 |
| | - name: cpimedsl |
| | dtype: float64 |
| | - name: cusr0000sac |
| | dtype: float64 |
| | - name: cusr0000sad |
| | dtype: float64 |
| | - name: cusr0000sas |
| | dtype: float64 |
| | - name: cpiulfsl |
| | dtype: float64 |
| | - name: cusr0000sa0l2 |
| | dtype: float64 |
| | - name: cusr0000sa0l5 |
| | dtype: float64 |
| | - name: pcepi |
| | dtype: float64 |
| | - name: ddurrg3m086sbea |
| | dtype: float64 |
| | - name: dndgrg3m086sbea |
| | dtype: float64 |
| | - name: dserrg3m086sbea |
| | dtype: float64 |
| | - name: ces0600000008 |
| | dtype: float64 |
| | - name: ces2000000008 |
| | dtype: float64 |
| | - name: ces3000000008 |
| | dtype: float64 |
| | - name: umcsentx |
| | dtype: float64 |
| | - name: dtcolnvhfnm |
| | dtype: float64 |
| | - name: dtcthfnm |
| | dtype: float64 |
| | - name: invest |
| | dtype: float64 |
| | - name: vixclsx |
| | dtype: float64 |
| | - name: gdpc1 |
| | dtype: float64 |
| | - name: pcecc96 |
| | dtype: float64 |
| | - name: pcdgx |
| | dtype: float64 |
| | - name: pcesvx |
| | dtype: float64 |
| | - name: pcndx |
| | dtype: float64 |
| | - name: gpdic1 |
| | dtype: float64 |
| | - name: fpix |
| | dtype: float64 |
| | - name: y033rc1q027sbeax |
| | dtype: float64 |
| | - name: pnfix |
| | dtype: float64 |
| | - name: prfix |
| | dtype: float64 |
| | - name: a014re1q156nbea |
| | dtype: float64 |
| | - name: gcec1 |
| | dtype: float64 |
| | - name: a823rl1q225sbea |
| | dtype: float64 |
| | - name: fgrecptx |
| | dtype: float64 |
| | - name: slcex |
| | dtype: float64 |
| | - name: expgsc1 |
| | dtype: float64 |
| | - name: impgsc1 |
| | dtype: float64 |
| | - name: dpic96 |
| | dtype: float64 |
| | - name: outnfb |
| | dtype: float64 |
| | - name: outbs |
| | 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 |
| | - name: usinfo |
| | dtype: float64 |
| | - name: uspbs |
| | dtype: float64 |
| | - name: uslah |
| | dtype: float64 |
| | - name: usserv |
| | dtype: float64 |
| | - name: usmine |
| | dtype: float64 |
| | - name: ces9091000001 |
| | dtype: float64 |
| | - name: ces9092000001 |
| | dtype: float64 |
| | - name: ces9093000001 |
| | dtype: float64 |
| | - name: civpart |
| | dtype: float64 |
| | - name: unratestx |
| | dtype: float64 |
| | - name: unrateltx |
| | dtype: float64 |
| | - name: lns14000012 |
| | dtype: float64 |
| | - name: lns14000025 |
| | dtype: float64 |
| | - name: lns14000026 |
| | dtype: float64 |
| | - name: lns13023621 |
| | dtype: float64 |
| | - name: lns13023557 |
| | dtype: float64 |
| | - name: lns13023705 |
| | dtype: float64 |
| | - name: lns13023569 |
| | dtype: float64 |
| | - name: lns12032194 |
| | dtype: float64 |
| | - name: hoabs |
| | dtype: float64 |
| | - name: hoams |
| | dtype: float64 |
| | - name: hoanbs |
| | dtype: float64 |
| | - name: awhnonag |
| | dtype: float64 |
| | - name: hwix |
| | dtype: float64 |
| | - name: houst5f |
| | dtype: float64 |
| | - name: rsafsx |
| | dtype: float64 |
| | - name: acognox |
| | dtype: float64 |
| | - name: invcqrmtspl |
| | dtype: float64 |
| | - name: pcectpi |
| | dtype: float64 |
| | - name: pcepilfe |
| | dtype: float64 |
| | - name: gdpctpi |
| | dtype: float64 |
| | - name: gpdictpi |
| | dtype: float64 |
| | - name: ipdbs |
| | dtype: float64 |
| | - name: dgdsrg3q086sbea |
| | dtype: float64 |
| | - name: ddurrg3q086sbea |
| | dtype: float64 |
| | - name: dserrg3q086sbea |
| | dtype: float64 |
| | - name: dndgrg3q086sbea |
| | dtype: float64 |
| | - name: dhcerg3q086sbea |
| | dtype: float64 |
| | - name: dmotrg3q086sbea |
| | dtype: float64 |
| | - name: dfdhrg3q086sbea |
| | dtype: float64 |
| | - name: dreqrg3q086sbea |
| | dtype: float64 |
| | - name: dodgrg3q086sbea |
| | dtype: float64 |
| | - name: dfxarg3q086sbea |
| | dtype: float64 |
| | - name: dclorg3q086sbea |
| | dtype: float64 |
| | - name: dgoerg3q086sbea |
| | dtype: float64 |
| | - name: dongrg3q086sbea |
| | dtype: float64 |
| | - name: dhutrg3q086sbea |
| | dtype: float64 |
| | - name: dhlcrg3q086sbea |
| | dtype: float64 |
| | - name: dtrsrg3q086sbea |
| | dtype: float64 |
| | - name: drcarg3q086sbea |
| | dtype: float64 |
| | - name: dfsarg3q086sbea |
| | dtype: float64 |
| | - name: difsrg3q086sbea |
| | dtype: float64 |
| | - name: dotsrg3q086sbea |
| | dtype: float64 |
| | - name: cpilfesl |
| | dtype: float64 |
| | - name: ppiaco |
| | dtype: float64 |
| | - name: wpsfd4111 |
| | dtype: float64 |
| | - name: ppiidc |
| | dtype: float64 |
| | - name: wpu0531 |
| | dtype: float64 |
| | - name: wpu0561 |
| | dtype: float64 |
| | - name: ahetpix |
| | dtype: float64 |
| | - name: ces2000000008x |
| | dtype: float64 |
| | - name: ces3000000008x |
| | dtype: float64 |
| | - name: comprms |
| | dtype: float64 |
| | - name: comprnfb |
| | dtype: float64 |
| | - name: rcphbs |
| | dtype: float64 |
| | - name: ophmfg |
| | dtype: float64 |
| | - name: ophnfb |
| | dtype: float64 |
| | - name: ophpbs |
| | dtype: float64 |
| | - name: ulcbs |
| | dtype: float64 |
| | - name: ulcmfg |
| | dtype: float64 |
| | - name: ulcnfb |
| | dtype: float64 |
| | - name: unlpnbs |
| | dtype: float64 |
| | - name: mortgage30us |
| | dtype: float64 |
| | - name: baa10ym |
| | dtype: float64 |
| | - name: mortg10yrx |
| | dtype: float64 |
| | - name: tb6m3mx |
| | dtype: float64 |
| | - name: gs1tb3mx |
| | dtype: float64 |
| | - name: gs10tb3mx |
| | dtype: float64 |
| | - name: cpf3mtb3mx |
| | dtype: float64 |
| | - name: bogmbaserealx |
| | dtype: float64 |
| | - name: m1real |
| | dtype: float64 |
| | - name: busloansx |
| | dtype: float64 |
| | - name: consumerx |
| | dtype: float64 |
| | - name: nonrevslx |
| | dtype: float64 |
| | - name: reallnx |
| | dtype: float64 |
| | - name: revolslx |
| | dtype: float64 |
| | - name: totalslx |
| | dtype: float64 |
| | - name: driwcil |
| | dtype: float64 |
| | - name: tabshnox |
| | dtype: float64 |
| | - name: tlbshnox |
| | dtype: float64 |
| | - name: liabpix |
| | dtype: float64 |
| | - name: tnwbshnox |
| | dtype: float64 |
| | - name: nwpix |
| | dtype: float64 |
| | - name: taresax |
| | dtype: float64 |
| | - name: hnoremq027sx |
| | dtype: float64 |
| | - name: tfaabshnox |
| | dtype: float64 |
| | - name: ussthpi |
| | dtype: float64 |
| | - name: spcs10rsa |
| | dtype: float64 |
| | - name: spcs20rsa |
| | dtype: float64 |
| | - name: exuseu |
| | dtype: float64 |
| | - name: usepuindxm |
| | dtype: float64 |
| | - name: b020re1q156nbea |
| | dtype: float64 |
| | - name: b021re1q156nbea |
| | dtype: float64 |
| | - name: gfdegdq188s |
| | dtype: float64 |
| | - name: gfdebtnx |
| | dtype: float64 |
| | - name: hwiuratiox |
| | dtype: float64 |
| | - name: conspix |
| | dtype: float64 |
| | - name: cp3m |
| | dtype: float64 |
| | - name: compapff |
| | dtype: float64 |
| | - name: nikkei225 |
| | dtype: float64 |
| | - name: nasdaqcom |
| | dtype: float64 |
| | - name: cusr0000sehc |
| | dtype: float64 |
| | - name: tlbsnncbx |
| | dtype: float64 |
| | - name: tlbsnncbbdix |
| | dtype: float64 |
| | - name: ttaabsnncbx |
| | dtype: float64 |
| | - name: tnwmvbsnncbx |
| | dtype: float64 |
| | - name: tnwmvbsnncbbdix |
| | dtype: float64 |
| | - name: tlbsnnbx |
| | dtype: float64 |
| | - name: tlbsnnbbdix |
| | dtype: float64 |
| | - name: tabsnnbx |
| | dtype: float64 |
| | - name: tnwbsnnbx |
| | dtype: float64 |
| | - name: tnwbsnnbbdix |
| | dtype: float64 |
| | - name: cncfx |
| | dtype: float64 |
| |
|
| | --- |
| | # 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. |
| | |
