You need to agree to share your contact information to access this dataset
This repository is publicly accessible, but you have to accept the conditions to access its files and content.
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.
Log in or Sign Up to review the conditions and access this dataset content.
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.
- Downloads last month
- 27