Data

The data module provides access to assets and related datasets used throughout the package. It exposes a clean public API for loading asset data and retrieving available columns, while keeping internal implementation details hidden.

load_assets	Load a Polars DataFrame of assets data between two dates.
load_assets_by_date	Load a Polars DataFrame of assets data for a single date.
get_assets_columns	Return the available columns in the assets dataset.
load_crsp_daily	Load a Polars DataFrame of CRSP daily data between two dates.
get_crsp_daily_columns	Return the available columns in the CRSP daily dataset.
load_crsp_v2_daily	Load a Polars DataFrame of CRSP v2 daily data between two dates.
get_crsp_v2_daily_columns	Return the available columns in the CRSP v2 daily dataset.
load_crsp_monthly	Load a Polars DataFrame of CRSP monthly data between two dates.
get_crsp_monthly_columns	Return the available columns in the CRSP monthly dataset.
load_crsp_v2_monthly	Load a Polars DataFrame of CRSP v2 monthly data between two dates.
get_crsp_v2_monthly_columns	Return the available columns in the CRSP monthly dataset.
load_exposures	Load a Polars DataFrame of factor exposures data between two dates.
load_exposures_by_date
get_exposures_columns	Return the available columns in the exposures dataset.
load_covariances_by_date
get_covariances_columns
construct_covariance_matrix	Construct the asset covariance matrix from a factor model.
construct_factor_model_components	Construct the factor model components for the given assets.
load_benchmark	Load benchmark data between two dates.
load_benchmark_returns	Load aggregated benchmark returns between two dates.
load_factors	Load a Polars DataFrame of factor returns(%) between two dates.
get_factors_columns	Return the available columns in the factors dataset.
get_factor_names	Return the list of available factor names.
load_fama_french	Load Fama-French 5-factor data between two dates from the database.
get_fama_french_columns	Return the available columns in the Fama-French dataset.
load_signals	Load a Polars DataFrame of signals data between two dates.
load_signals_by_date	Load a Polars DataFrame of signal data for a single date.
get_signal_names	Return the list of available signal names.
load_scores	Load a Polars DataFrame of scores data between two dates.
load_scores_by_date	Load a Polars DataFrame of scores data for a single date.
get_score_names	Return the list of available score (signal) names.
load_alphas	Load a Polars DataFrame of alpha data between two dates.
load_alphas_by_date	Load a Polars DataFrame of alphas data for a single date.
get_alpha_names	Return the list of available alpha (signal) names.
load_composite_alphas	Load a Polars DataFrame of composite alpha data between two dates.
load_composite_alphas_by_date	Load a Polars DataFrame of alphas data for a single date.