sf_quant.data.load_benchmark_returns

sf_quant.data.load_benchmark_returns(start: date, end: date) → DataFrame

Load aggregated benchmark returns between two dates.

This function computes daily benchmark returns by aggregating individual constituent returns weighted by their benchmark weights. Returns are grouped by date and aggregated into a single benchmark return value.

Parameters

startdatetime.date

Start date (inclusive).

enddatetime.date

End date (inclusive).

Returns

pl.DataFrame

A Polars DataFrame containing aggregated benchmark returns with the following columns:

• date : datetime, observation date.

• bmk_return : float, aggregated benchmark return for the date.

Examples

>>> import sf_quant.data as sfd
>>> import datetime as dt
>>> start = dt.date(2024, 1, 1)
>>> end = dt.date(2024, 12, 31)
>>> df = sfd.load_benchmark_returns(
...     start=start,
...     end=end
... )
>>> df.head()
shape: (5, 2)
┌────────────┬──────────────┐
│ date       ┆ bmk_return   │
│ ---        ┆ ---          │
│ date       ┆ f64          │
╞════════════╪══════════════╡
│ 2024-01-02 ┆ 0.004521     │
│ 2024-01-03 ┆ -0.001234    │
│ 2024-01-04 ┆ 0.002876     │
│ 2024-01-05 ┆ 0.001543     │
│ 2024-01-08 ┆ -0.000612    │
└────────────┴──────────────┘