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I trying to be more reliable on expected returns calculation by using Fama-French 3 and 5 factors-
Add a new functionality as (mean_historical_return, ema_historical_return or capm_return) to retur…
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Kenneth French Data Library on his web page at Dartmouth:
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
Stack of interesting time series data there.
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# Sample…
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Create a df of lagged fama-french factors
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Since I want to save the figures, so I directly call the function **create_returns_tear_sheet()** and try to save the results, but I found that there is no kwargs to pass in **factor_returns**, so t…
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Pyfolio calls https://github.com/quantopian/empyrical/blob/master/empyrical/utils.py#L309 which reads the Fama-French factors from a cached file if it exists. Thus, users upgrading pyfolio and empyric…
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Make function that will, when passed data for an individual stock, track it's 30, 90, and 180 day return whenever it dips below a certain threshold.
Also incorporate the ability to make a long-short p…
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Update pandas_matplotlib.ipynb notebook dependency on pandas_datareader.
``` python
# Fama-French
import pandas_datareader.data as web
#import pandas.io.data as web => Convert back to this import Sy…
mmcky updated
8 years ago
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关于如何从均线策略扩展到多因子选股的策略,完全没有头绪,能否在demo中增加一个多因子选股的策略?(Fama-French的 三因子选股的策略)
谢谢
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All monthly US files containing the Operating Profitability factor, e.g. 25_Portfolios_BEME_OP_5x5, could noit be imported since the files contain a single quotation mark " ' ". (see line 16 [...] dat…
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Create a Static Vignette. Save the vignette .Rmd file to the parser folder, and then follow the instructions referenced in issue #20.
## Paper & Data
Link to [Journal of Financial Econoimcs paper…