sf_quant.data.construct_factor_model_components#

sf_quant.data.construct_factor_model_components(date_: date, barrids: list[str]) → tuple[ndarray, ndarray, ndarray]#

Construct the factor model components for the given assets.

Returns#

tuple of np.ndarray

  • factor_exposures: shape (N, K)

  • factor_covariance: shape (K, K), in decimal space

  • specific_risk: shape (N,), variance in decimal space