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All Monthly Core Economic Data
The 123 monthly series of FRED-MD and the 152 quarterly series of FRED-QD, the St. Louis Fed's macroeconomic databases, one row per month end holding what was observed the month before. Labour, output, prices, money, credit, housing, rates, volatility, uncertainty.
786 rows, 276 columns, covering 1959-02-28 to 2024-07-31. The most recent observation is 2024-07-31.
Strategies Built on This Data
212 papers in the Papers With Backtest catalogue declare this dataset as an input. 204 of them have been coded and run over their own full history. The median replicated Sharpe ratio is +0.50, and 60% clear a t-statistic of 1.96 on their own sample, against 48% across all 4,837 replications in the library.
Some of the strongest results that lean on it:
| Strategy | Sharpe | t-stat | Tested over |
|---|---|---|---|
| Excess return properties of informationally insensitive dynamic return predictability strategies | +0.52 | 3.1 | 35 years |
| Optimal Trend Following Rules in Two-State Regime-Switching Models | +1.15 | 6.8 | 35 years |
| Risk Parity Portfolios with Risk Factors | +1.08 | 6.2 | 33 years |
| The Fragility of Optimization: How Estimation Risk Undermines Active Investing with Autoregressive Forecasts | +0.97 | 5.9 | 36 years |
A Sharpe ratio quoted without its t-statistic hides how much of the library cannot be distinguished from zero, which is why both are shown. The figures are in-sample over each strategy's own window and carry no transaction costs.
Why It Matters
This dataset supports macro-driven trading models and risk overlays by:
- Macro regime filters: 275 FRED series simplify building recession, inflation, or growth factor overlays for systematic strategies.
- Risk monitoring: Spreads, volatility gauges, and policy-uncertainty indicators help detect early signs of stress that can inform hedging or deleveraging rules.
- Cross-asset context: Housing, labor, and rate data can be joined with equities, rates, or FX signals to improve allocation and timing models.
The convention to keep. The row dated the end of month T holds the observation of month T-1: most of these series are released in the second half of the following month, so that is what a strategy could know by the end of T. Reading the row as it is is the publication lag; a further shift adds a lag that does not exist. A quarterly series (FRED-QD dates a quarter by its last month) enters the row of the month after that month and is carried forward until the next quarter.
Revisions. The values are the current vintage of the two databases, rebuilt from the latest files on every refresh, so a series carries today's revisions all the way back; this is a conditioning panel, not a real-time one. Until July 2024 the dataset was a vendor's copy of the same two databases under the same names; the rebuild was checked against it row by row (77 % of cells identical on 786 overlapping months, the rest being revisions since) and the check runs on every refresh. Names are the FRED mnemonics in lower case, S&P 500 written s_p_500.
Load It
Installation/Upgrade:
pip install --upgrade pwb-toolbox
Load the Dataset: Ensure your Hugging Face access token (HF_ACCESS_TOKEN) is available in the environment.
from pwb_toolbox import datasets as pwb_ds
df = pwb_ds.load_dataset("All-Monthly-CoreEconomicData")
print(df.iloc[0].to_string())
Example Output:
datetime 1959-02-28
rpi 2583.560124
w875rx1 2426.0001
dpcera3m086sbea 15.188001
cmrmtsplx 276676.823098
retailx 18235.770951
indpro 21.961601
ipfpnss 23.3868
ipfinal 22.262
ipcongd 31.6664
ipdcongd 18.949799
ipncongd 38.149599
ipbuseq 8.053799
ipmat 20.0318
ipdmat 11.987001
ipnmat 30.661101
ipmansics 20.8325
ipb51222s 19.917299
ipfuels 34.6443
cumfns 80.1973
hwi 1357.00001
hwiuratio 0.333579
clf16ov 67935.999829
ce16ov 63867.999352
unrate 6.0
uempmean 16.3
uemplt5 1574.000014
uemp5to14 1169.0
uemp15ov 1396.000008
uemp15t26 594.000005
uemp27ov 801.999998
claimsx 291077.999138
payems 52478.000102
usgood 18795.999993
ces1021000001 712.999999
uscons 2992.999993
manemp 14998.000001
dmanemp 8739.999989
ndmanemp 6258.000001
srvprd 33682.000296
ustpu 10774.000062
uswtrade 2568.70004
ustrade 5350.29996
usfire 2417.999943
usgovt 8104.99979
ces0600000007 39.8
awotman 2.5
awhman 40.2
houst 1657.0
houstne 350.000001
houstmw 451.999997
housts 505.000002
houstw 350.0
permit 1160.080648
permitne 242.477728
permitmw 257.416702
permits 345.576261
permitw 317.481145
acogno 88073.555011
amdmnox 14716.482124
andenox 12333.850692
amdmuox 42620.357301
businvx 84889.552961
isratiox 1.56
m1sl 138.899994
m2sl 286.599986
m2real 987.900032
bogmbase 50499.989393
totresns 18.900009
nonborres 18299.992811
busloans 35.21298
realln 24.924188
nonrevsl 48.961156
conspi 0.124965
s_p_500 55.620008
s_p_div_yield 3.158342
s_p_pe_ratio 18.445741
fedfunds 2.48
cp3mx 3.3
tb3ms 2.82
tb6ms 3.09
gs1 3.36
gs5 4.01
gs10 4.02
aaa 4.12
baa 4.87
compapffx 0.82
tb3smffm 0.34
tb6smffm 0.61
t1yffm 0.88
t5yffm 1.53
t10yffm 1.54
aaaffm 1.64
baaffm 2.39
twexafegsmthx 126.814961
exszusx 4.3122
exjpusx 359.841701
exusukx 2.8065
excausx 0.9671
wpsfd49207 33.099999
wpsfd49502 33.399999
wpsid61 30.600002
wpsid62 31.599998
oilpricex 3.0
ppicmm 32.500001
cpiaucsl 29.010002
cpiappsl 44.8
cpitrnsl 29.3
cpimedsl 21.099996
cusr0000sac 33.300001
cusr0000sad 38.100001
cusr0000sas 22.900001
cpiulfsl 28.899999
cusr0000sa0l2 30.7
cusr0000sa0l5 29.6
pcepi 15.164
ddurrg3m086sbea 63.517
dndgrg3m086sbea 18.293999
dserrg3m086sbea 10.152
ces0600000008 2.13
ces2000000008 2.45
ces3000000008 2.04
umcsentx 97.122559
dtcolnvhfnm 6475.998764
dtcthfnm 12297.995374
invest 84.204303
vixclsx 16.864787
gdpc1 3274.726129
pcecc96 2021.561868
pcdgx 63.692787
pcesvx 1402.538404
pcndx 697.742506
gpdic1 375.47772
fpix 361.806156
y033rc1q027sbeax 53.935672
pnfix 156.745095
prfix 285.801872
a014re1q156nbea 0.75453
gcec1 1152.401891
a823rl1q225sbea -2.301225
fgrecptx 586.923772
slcex 530.931868
expgsc1 89.28272
impgsc1 101.697656
dpic96 2295.989448
outnfb 14.973827
outbs 14.286132
outms 66.258893
ipb51110sq 18.607213
ipb51220sq 23.410264
tcu 83.475387
uspriv 44345.126014
usehs 2815.555353
usinfo 1713.047523
uspbs 3509.581896
uslah 3257.745711
usserv 1127.898604
usmine 774.300234
ces9091000001 2345.635094
ces9092000001 1437.148408
ces9093000001 4366.801632
civpart 59.168909
unratestx 4.84411
unrateltx 0.959422
lns14000012 14.677014
lns14000025 5.11627
lns14000026 5.569215
lns13023621 2206.843194
lns13023557 1109.888867
lns13023705 394.951855
lns13023569 442.033064
lns12032194 2746.908885
hoabs 50.367753
hoams 130.255343
hoanbs 46.629995
awhnonag 38.448562
hwix 1554.969094
houst5f 377.367148
rsafsx 179715.519235
acognox 142294.073536
invcqrmtspl 501400.708734
pcectpi 15.311784
pcepilfe 15.228047
gdpctpi 15.711698
gpdictpi 23.194118
ipdbs 18.333324
dgdsrg3q086sbea 27.137774
ddurrg3q086sbea 63.537234
dserrg3q086sbea 9.773684
dndgrg3q086sbea 18.314713
dhcerg3q086sbea 9.819171
dmotrg3q086sbea 29.946534
dfdhrg3q086sbea 56.7197
dreqrg3q086sbea 331.612537
dodgrg3q086sbea 33.310118
dfxarg3q086sbea 16.494669
dclorg3q086sbea 51.005719
dgoerg3q086sbea 10.11024
dongrg3q086sbea 15.162314
dhutrg3q086sbea 11.447221
dhlcrg3q086sbea 5.813657
dtrsrg3q086sbea 12.461564
drcarg3q086sbea 12.323662
dfsarg3q086sbea 9.407338
difsrg3q086sbea 8.993749
dotsrg3q086sbea 11.142032
cpilfesl 30.952189
ppiaco 32.269307
wpsfd4111 34.163706
ppiidc 30.937469
wpu0531 44.303646
wpu0561 87.570199
ahetpix 14.779762
ces2000000008x 16.14421
ces3000000008x 13.269581
comprms 81.877735
comprnfb 49.630393
rcphbs 47.943614
ophmfg 51.758293
ophnfb 31.501617
ophpbs 29.388909
ulcbs 20.826703
ulcmfg 82.133543
ulcnfb 20.258155
unlpnbs 15.069898
mortgage30us 6.431994
baa10ym 0.866661
mortg10yrx 1.02597
tb6m3mx 0.297799
gs1tb3mx 0.668186
gs10tb3mx 1.321377
cpf3mtb3mx 0.336643
bogmbaserealx 173354.156223
m1real 511.570182
busloansx 240.481114
consumerx 133.788768
nonrevslx 348.591528
reallnx 168.536644
revolslx 6.214696
totalslx 326.47526
driwcil 25.899623
tabshnox 15086.130041
tlbshnox 1273.373223
liabpix 54.456097
tnwbshnox 12751.782609
nwpix 541.554719
taresax 11010.432558
hnoremq027sx 3249359.184352
tfaabshnox 9224.226393
ussthpi 227.432536
spcs10rsa 124.986527
spcs20rsa 155.615765
exuseu 1.142173
usepuindxm 134.884181
b020re1q156nbea 4.429069
b021re1q156nbea 3.987365
gfdegdq188s 43.178316
gfdebtnx 1571329.241499
hwiuratiox 0.374736
conspix 0.129971
cp3m 3.79309
compapff 0.183912
nikkei225 965.255198
nasdaqcom 177.893172
cusr0000sehc 100.998637
tlbsnncbx 2.50173
tlbsnncbbdix 0.019211
ttaabsnncbx 3.095793
tnwmvbsnncbx 1673.243114
tnwmvbsnncbbdix 1160.029098
tlbsnnbx 320797.374906
tlbsnnbbdix 269749.637892
tabsnnbx 2472471.489325
tnwbsnnbx 2191.507823
tnwbsnnbbdix 1588.675628
cncfx 124.240068
Columns
| Column Name | Description |
|---|---|
| datetime | Observation month (YYYY-MM-DD). |
| rpi | Monthly value of FRED series rpi. |
| w875rx1 | Monthly value of FRED series w875rx1. |
| dpcera3m086sbea | Monthly value of FRED series dpcera3m086sbea. |
| cmrmtsplx | Monthly value of FRED series cmrmtsplx. |
| retailx | Monthly value of FRED series retailx. |
| indpro | Monthly value of FRED series indpro. |
| ipfpnss | Monthly value of FRED series ipfpnss. |
| ipfinal | Monthly value of FRED series ipfinal. |
| ipcongd | Monthly value of FRED series ipcongd. |
| ipdcongd | Monthly value of FRED series ipdcongd. |
| ipncongd | Monthly value of FRED series ipncongd. |
| ipbuseq | Monthly value of FRED series ipbuseq. |
| ipmat | Monthly value of FRED series ipmat. |
| ipdmat | Monthly value of FRED series ipdmat. |
| ipnmat | Monthly value of FRED series ipnmat. |
| ipmansics | Monthly value of FRED series ipmansics. |
| ipb51222s | Monthly value of FRED series ipb51222s. |
| ipfuels | Monthly value of FRED series ipfuels. |
| cumfns | Monthly value of FRED series cumfns. |
| hwi | Monthly value of FRED series hwi. |
| hwiuratio | Monthly value of FRED series hwiuratio. |
| clf16ov | Monthly value of FRED series clf16ov. |
| ce16ov | Monthly value of FRED series ce16ov. |
| unrate | Monthly value of FRED series unrate. |
| uempmean | Monthly value of FRED series uempmean. |
| uemplt5 | Monthly value of FRED series uemplt5. |
| uemp5to14 | Monthly value of FRED series uemp5to14. |
| uemp15ov | Monthly value of FRED series uemp15ov. |
| uemp15t26 | Monthly value of FRED series uemp15t26. |
| uemp27ov | Monthly value of FRED series uemp27ov. |
| claimsx | Monthly value of FRED series claimsx. |
| payems | Monthly value of FRED series payems. |
| usgood | Monthly value of FRED series usgood. |
| ces1021000001 | Monthly value of FRED series ces1021000001. |
| uscons | Monthly value of FRED series uscons. |
| manemp | Monthly value of FRED series manemp. |
| dmanemp | Monthly value of FRED series dmanemp. |
| ndmanemp | Monthly value of FRED series ndmanemp. |
| srvprd | Monthly value of FRED series srvprd. |
| ustpu | Monthly value of FRED series ustpu. |
| uswtrade | Monthly value of FRED series uswtrade. |
| ustrade | Monthly value of FRED series ustrade. |
| usfire | Monthly value of FRED series usfire. |
| usgovt | Monthly value of FRED series usgovt. |
| ces0600000007 | Monthly value of FRED series ces0600000007. |
| awotman | Monthly value of FRED series awotman. |
| awhman | Monthly value of FRED series awhman. |
| houst | Monthly value of FRED series houst. |
| houstne | Monthly value of FRED series houstne. |
| houstmw | Monthly value of FRED series houstmw. |
| housts | Monthly value of FRED series housts. |
| houstw | Monthly value of FRED series houstw. |
| permit | Monthly value of FRED series permit. |
| permitne | Monthly value of FRED series permitne. |
| permitmw | Monthly value of FRED series permitmw. |
| permits | Monthly value of FRED series permits. |
| permitw | Monthly value of FRED series permitw. |
| acogno | Monthly value of FRED series acogno. |
| amdmnox | Monthly value of FRED series amdmnox. |
| andenox | Monthly value of FRED series andenox. |
| amdmuox | Monthly value of FRED series amdmuox. |
| businvx | Monthly value of FRED series businvx. |
| isratiox | Monthly value of FRED series isratiox. |
| m1sl | Monthly value of FRED series m1sl. |
| m2sl | Monthly value of FRED series m2sl. |
| m2real | Monthly value of FRED series m2real. |
| bogmbase | Monthly value of FRED series bogmbase. |
| totresns | Monthly value of FRED series totresns. |
| nonborres | Monthly value of FRED series nonborres. |
| busloans | Monthly value of FRED series busloans. |
| realln | Monthly value of FRED series realln. |
| nonrevsl | Monthly value of FRED series nonrevsl. |
| conspi | Monthly value of FRED series conspi. |
| s_p_500 | Monthly value of FRED series s_p_500. |
| s_p_div_yield | Monthly value of FRED series s_p_div_yield. |
| s_p_pe_ratio | Monthly value of FRED series s_p_pe_ratio. |
| fedfunds | Monthly value of FRED series fedfunds. |
| cp3mx | Monthly value of FRED series cp3mx. |
| tb3ms | Monthly value of FRED series tb3ms. |
| tb6ms | Monthly value of FRED series tb6ms. |
| gs1 | Monthly value of FRED series gs1. |
| gs5 | Monthly value of FRED series gs5. |
| gs10 | Monthly value of FRED series gs10. |
| aaa | Monthly value of FRED series aaa. |
| baa | Monthly value of FRED series baa. |
| compapffx | Monthly value of FRED series compapffx. |
| tb3smffm | Monthly value of FRED series tb3smffm. |
| tb6smffm | Monthly value of FRED series tb6smffm. |
| t1yffm | Monthly value of FRED series t1yffm. |
| t5yffm | Monthly value of FRED series t5yffm. |
| t10yffm | Monthly value of FRED series t10yffm. |
| aaaffm | Monthly value of FRED series aaaffm. |
| baaffm | Monthly value of FRED series baaffm. |
| twexafegsmthx | Monthly value of FRED series twexafegsmthx. |
| exszusx | Monthly value of FRED series exszusx. |
| exjpusx | Monthly value of FRED series exjpusx. |
| exusukx | Monthly value of FRED series exusukx. |
| excausx | Monthly value of FRED series excausx. |
| wpsfd49207 | Monthly value of FRED series wpsfd49207. |
| wpsfd49502 | Monthly value of FRED series wpsfd49502. |
| wpsid61 | Monthly value of FRED series wpsid61. |
| wpsid62 | Monthly value of FRED series wpsid62. |
| oilpricex | Monthly value of FRED series oilpricex. |
| ppicmm | Monthly value of FRED series ppicmm. |
| cpiaucsl | Monthly value of FRED series cpiaucsl. |
| cpiappsl | Monthly value of FRED series cpiappsl. |
| cpitrnsl | Monthly value of FRED series cpitrnsl. |
| cpimedsl | Monthly value of FRED series cpimedsl. |
| cusr0000sac | Monthly value of FRED series cusr0000sac. |
| cusr0000sad | Monthly value of FRED series cusr0000sad. |
| cusr0000sas | Monthly value of FRED series cusr0000sas. |
| cpiulfsl | Monthly value of FRED series cpiulfsl. |
| cusr0000sa0l2 | Monthly value of FRED series cusr0000sa0l2. |
| cusr0000sa0l5 | Monthly value of FRED series cusr0000sa0l5. |
| pcepi | Monthly value of FRED series pcepi. |
| ddurrg3m086sbea | Monthly value of FRED series ddurrg3m086sbea. |
| dndgrg3m086sbea | Monthly value of FRED series dndgrg3m086sbea. |
| dserrg3m086sbea | Monthly value of FRED series dserrg3m086sbea. |
| ces0600000008 | Monthly value of FRED series ces0600000008. |
| ces2000000008 | Monthly value of FRED series ces2000000008. |
| ces3000000008 | Monthly value of FRED series ces3000000008. |
| umcsentx | Monthly value of FRED series umcsentx. |
| dtcolnvhfnm | Monthly value of FRED series dtcolnvhfnm. |
| dtcthfnm | Monthly value of FRED series dtcthfnm. |
| invest | Monthly value of FRED series invest. |
| vixclsx | Monthly value of FRED series vixclsx. |
| gdpc1 | Quarterly value of FRED series gdpc1. |
| pcecc96 | Quarterly value of FRED series pcecc96. |
| pcdgx | Quarterly value of FRED series pcdgx. |
| pcesvx | Quarterly value of FRED series pcesvx. |
| pcndx | Quarterly value of FRED series pcndx. |
| gpdic1 | Quarterly value of FRED series gpdic1. |
| fpix | Quarterly value of FRED series fpix. |
| y033rc1q027sbeax | Quarterly value of FRED series y033rc1q027sbeax. |
| pnfix | Quarterly value of FRED series pnfix. |
| prfix | Quarterly value of FRED series prfix. |
| a014re1q156nbea | Quarterly value of FRED series a014re1q156nbea. |
| gcec1 | Quarterly value of FRED series gcec1. |
| a823rl1q225sbea | Quarterly value of FRED series a823rl1q225sbea. |
| fgrecptx | Quarterly value of FRED series fgrecptx. |
| slcex | Quarterly value of FRED series slcex. |
| expgsc1 | Quarterly value of FRED series expgsc1. |
| impgsc1 | Quarterly value of FRED series impgsc1. |
| dpic96 | Quarterly value of FRED series dpic96. |
| outnfb | Quarterly value of FRED series outnfb. |
| outbs | Quarterly value of FRED series outbs. |
| outms | Quarterly value of FRED series outms. |
| ipb51110sq | Quarterly value of FRED series ipb51110sq. |
| ipb51220sq | Quarterly value of FRED series ipb51220sq. |
| tcu | Quarterly value of FRED series tcu. |
| uspriv | Quarterly value of FRED series uspriv. |
| usehs | Quarterly value of FRED series usehs. |
| usinfo | Quarterly value of FRED series usinfo. |
| uspbs | Quarterly value of FRED series uspbs. |
| uslah | Quarterly value of FRED series uslah. |
| usserv | Quarterly value of FRED series usserv. |
| usmine | Quarterly value of FRED series usmine. |
| ces9091000001 | Quarterly value of FRED series ces9091000001. |
| ces9092000001 | Quarterly value of FRED series ces9092000001. |
| ces9093000001 | Quarterly value of FRED series ces9093000001. |
| civpart | Quarterly value of FRED series civpart. |
| unratestx | Quarterly value of FRED series unratestx. |
| unrateltx | Quarterly value of FRED series unrateltx. |
| lns14000012 | Quarterly value of FRED series lns14000012. |
| lns14000025 | Quarterly value of FRED series lns14000025. |
| lns14000026 | Quarterly value of FRED series lns14000026. |
| lns13023621 | Quarterly value of FRED series lns13023621. |
| lns13023557 | Quarterly value of FRED series lns13023557. |
| lns13023705 | Quarterly value of FRED series lns13023705. |
| lns13023569 | Quarterly value of FRED series lns13023569. |
| lns12032194 | Quarterly value of FRED series lns12032194. |
| hoabs | Quarterly value of FRED series hoabs. |
| hoams | Quarterly value of FRED series hoams. |
| hoanbs | Quarterly value of FRED series hoanbs. |
| awhnonag | Quarterly value of FRED series awhnonag. |
| hwix | Quarterly value of FRED series hwix. |
| houst5f | Quarterly value of FRED series houst5f. |
| rsafsx | Quarterly value of FRED series rsafsx. |
| acognox | Quarterly value of FRED series acognox. |
| invcqrmtspl | Quarterly value of FRED series invcqrmtspl. |
| pcectpi | Quarterly value of FRED series pcectpi. |
| pcepilfe | Quarterly value of FRED series pcepilfe. |
| gdpctpi | Quarterly value of FRED series gdpctpi. |
| gpdictpi | Quarterly value of FRED series gpdictpi. |
| ipdbs | Quarterly value of FRED series ipdbs. |
| dgdsrg3q086sbea | Quarterly value of FRED series dgdsrg3q086sbea. |
| ddurrg3q086sbea | Quarterly value of FRED series ddurrg3q086sbea. |
| dserrg3q086sbea | Quarterly value of FRED series dserrg3q086sbea. |
| dndgrg3q086sbea | Quarterly value of FRED series dndgrg3q086sbea. |
| dhcerg3q086sbea | Quarterly value of FRED series dhcerg3q086sbea. |
| dmotrg3q086sbea | Quarterly value of FRED series dmotrg3q086sbea. |
| dfdhrg3q086sbea | Quarterly value of FRED series dfdhrg3q086sbea. |
| dreqrg3q086sbea | Quarterly value of FRED series dreqrg3q086sbea. |
| dodgrg3q086sbea | Quarterly value of FRED series dodgrg3q086sbea. |
| dfxarg3q086sbea | Quarterly value of FRED series dfxarg3q086sbea. |
| dclorg3q086sbea | Quarterly value of FRED series dclorg3q086sbea. |
| dgoerg3q086sbea | Quarterly value of FRED series dgoerg3q086sbea. |
| dongrg3q086sbea | Quarterly value of FRED series dongrg3q086sbea. |
| dhutrg3q086sbea | Quarterly value of FRED series dhutrg3q086sbea. |
| dhlcrg3q086sbea | Quarterly value of FRED series dhlcrg3q086sbea. |
| dtrsrg3q086sbea | Quarterly value of FRED series dtrsrg3q086sbea. |
| drcarg3q086sbea | Quarterly value of FRED series drcarg3q086sbea. |
| dfsarg3q086sbea | Quarterly value of FRED series dfsarg3q086sbea. |
| difsrg3q086sbea | Quarterly value of FRED series difsrg3q086sbea. |
| dotsrg3q086sbea | Quarterly value of FRED series dotsrg3q086sbea. |
| cpilfesl | Quarterly value of FRED series cpilfesl. |
| ppiaco | Quarterly value of FRED series ppiaco. |
| wpsfd4111 | Quarterly value of FRED series wpsfd4111. |
| ppiidc | Quarterly value of FRED series ppiidc. |
| wpu0531 | Quarterly value of FRED series wpu0531. |
| wpu0561 | Quarterly value of FRED series wpu0561. |
| ahetpix | Quarterly value of FRED series ahetpix. |
| ces2000000008x | Quarterly value of FRED series ces2000000008x. |
| ces3000000008x | Quarterly value of FRED series ces3000000008x. |
| comprms | Quarterly value of FRED series comprms. |
| comprnfb | Quarterly value of FRED series comprnfb. |
| rcphbs | Quarterly value of FRED series rcphbs. |
| ophmfg | Quarterly value of FRED series ophmfg. |
| ophnfb | Quarterly value of FRED series ophnfb. |
| ophpbs | Quarterly value of FRED series ophpbs. |
| ulcbs | Quarterly value of FRED series ulcbs. |
| ulcmfg | Quarterly value of FRED series ulcmfg. |
| ulcnfb | Quarterly value of FRED series ulcnfb. |
| unlpnbs | Quarterly value of FRED series unlpnbs. |
| mortgage30us | Quarterly value of FRED series mortgage30us. |
| baa10ym | Quarterly value of FRED series baa10ym. |
| mortg10yrx | Quarterly value of FRED series mortg10yrx. |
| tb6m3mx | Quarterly value of FRED series tb6m3mx. |
| gs1tb3mx | Quarterly value of FRED series gs1tb3mx. |
| gs10tb3mx | Quarterly value of FRED series gs10tb3mx. |
| cpf3mtb3mx | Quarterly value of FRED series cpf3mtb3mx. |
| bogmbaserealx | Quarterly value of FRED series bogmbaserealx. |
| m1real | Quarterly value of FRED series m1real. |
| busloansx | Quarterly value of FRED series busloansx. |
| consumerx | Quarterly value of FRED series consumerx. |
| nonrevslx | Quarterly value of FRED series nonrevslx. |
| reallnx | Quarterly value of FRED series reallnx. |
| revolslx | Quarterly value of FRED series revolslx. |
| totalslx | Quarterly value of FRED series totalslx. |
| driwcil | Quarterly value of FRED series driwcil. |
| tabshnox | Quarterly value of FRED series tabshnox. |
| tlbshnox | Quarterly value of FRED series tlbshnox. |
| liabpix | Quarterly value of FRED series liabpix. |
| tnwbshnox | Quarterly value of FRED series tnwbshnox. |
| nwpix | Quarterly value of FRED series nwpix. |
| taresax | Quarterly value of FRED series taresax. |
| hnoremq027sx | Quarterly value of FRED series hnoremq027sx. |
| tfaabshnox | Quarterly value of FRED series tfaabshnox. |
| ussthpi | Quarterly value of FRED series ussthpi. |
| spcs10rsa | Quarterly value of FRED series spcs10rsa. |
| spcs20rsa | Quarterly value of FRED series spcs20rsa. |
| exuseu | Quarterly value of FRED series exuseu. |
| usepuindxm | Quarterly value of FRED series usepuindxm. |
| b020re1q156nbea | Quarterly value of FRED series b020re1q156nbea. |
| b021re1q156nbea | Quarterly value of FRED series b021re1q156nbea. |
| gfdegdq188s | Quarterly value of FRED series gfdegdq188s. |
| gfdebtnx | Quarterly value of FRED series gfdebtnx. |
| hwiuratiox | Quarterly value of FRED series hwiuratiox. |
| conspix | Quarterly value of FRED series conspix. |
| cp3m | Quarterly value of FRED series cp3m. |
| compapff | Quarterly value of FRED series compapff. |
| nikkei225 | Quarterly value of FRED series nikkei225. |
| nasdaqcom | Quarterly value of FRED series nasdaqcom. |
| cusr0000sehc | Quarterly value of FRED series cusr0000sehc. |
| tlbsnncbx | Quarterly value of FRED series tlbsnncbx. |
| tlbsnncbbdix | Quarterly value of FRED series tlbsnncbbdix. |
| ttaabsnncbx | Quarterly value of FRED series ttaabsnncbx. |
| tnwmvbsnncbx | Quarterly value of FRED series tnwmvbsnncbx. |
| tnwmvbsnncbbdix | Quarterly value of FRED series tnwmvbsnncbbdix. |
| tlbsnnbx | Quarterly value of FRED series tlbsnnbx. |
| tlbsnnbbdix | Quarterly value of FRED series tlbsnnbbdix. |
| tabsnnbx | Quarterly value of FRED series tabsnnbx. |
| tnwbsnnbx | Quarterly value of FRED series tnwbsnnbx. |
| tnwbsnnbbdix | Quarterly value of FRED series tnwbsnnbbdix. |
| cncfx | Quarterly value of FRED series cncfx. |
What This Data Does Not Cover
Revised, not vintage. Each month appears once and carries the latest revision, not the number that was published at the time. Macro series are revised heavily, so a signal built on this file sees data no trader had in that month.
Quarterly series have been disaggregated. gdpc1, pcecc96, outnfb and the other quarterly columns carry a different value in each month of a quarter rather than repeating the quarterly print, so they are a monthly estimate rather than a released figure.
The file stops before the present. The most recent observation is 2024-07-31, so anything that needs the last two years has to come from elsewhere.
Source: FRED-MD and FRED-QD, Federal Reserve Bank of St. Louis (McCracken and Ng).
Access
Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers the other datasets in this organisation.
Elsewhere
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pwb-toolbox, the loader used in the snippet aboveawesome-systematic-trading, the replicated strategies with their measured Sharpe- Every dataset in this organisation
Papers With Backtest publishes 32 datasets on the Hub and codes the papers that use them. Every strategy in the catalogue is run over its own full history before it is published, which is where the numbers above come from.
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