Reference Library
Data Dictionary
A complete guide to the raw data, engineered features, and regime variables. Use this reference to understand the suffixes (aggregations, transformations, lags) and pipeline-generated metrics encountered in the Data Browser.
| Variable/Suffix | Name & Description | Type/Source |
|---|
Aggregations (Daily to Monthly)
When viewing "Raw Value" in the Monthly dataset (Modeling Engine), note that most source variables are Daily or Weekly. The system automatically compresses them to Monthly frequency using the default aggregation (marked with *).
| Profile | Aggregators Applied | Description |
|---|---|---|
| price_asset | last_1m*, max_1m, min_1m, mean_1m, std_1m, price_dispersion_1m | Captures close price (last), trading range (max/min), average level, volatility (std), and efficiency (dispersion). |
| volume_level | sum_1m*, mean_1m, std_1m | sum = Total Monthly Turnover (Liquidity); mean = Average Daily Intensity. |
| rate_level | last_1m*, mean_1m, max_1m, min_1m, std_1m | Captures yield levels (mark-to-market) and rate volatility (critical signal). |
| spread_level | last_1m*, mean_1m, std_1m, max_1m, min_1m | Captures spread width (stress) and stability (std). |
| macro_flow | mean_1m*, last_1m | mean is robust to single-day noise for flows; last provides a snapshot. |
| macro_level | last_1m*, mean_1m, max_1m, min_1m | Captures level and peak stress (e.g., Max VIX is often a better panic signal than Last). |
| binary_level | max_1m, last_1m*, mean_1m | last = Current state; max = Did it trigger at all this month? |
| market_level | last_1m*, mean_1m, max_1m, min_1m, std_1m, price_dispersion_1m | Standard OHLC-like summary for non-tradable indices. |
| risk_metric | last_1m*, max_1m, mean_1m, std_1m | High-water marks (max) and average stress levels are critical for risk. |
| factor_return | last_1m* | Month-End (Last) value is the only one that matters. Note: Fama-French data is sourced natively as monthly data, skipping this computation loop entirely. |
| default_level | last_1m* | Fallback: Assumes the Month-End (Last) value is the only one that matters. |