sf_quant.data.load_factors

sf_quant.data.load_factors(start: date, end: date, factors: list[str] | None = None) → DataFrame

Load a Polars DataFrame of factor returns(%) between two dates.

Parameters

startdatetime.date

Start date (inclusive) of the data frame.

enddatetime.date

End date (inclusive) of the data frame.

factorslist of str, optional

List of factor names to select. - If provided, only the specified factors are included in the output. - If None (default), all available factors are included.

Returns

polars.DataFrame

A DataFrame containing factor returns(%) between the specified dates.

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_factors(
...     start=start, 
...     end=end
... )
>>> df.head()
shape: (5, 78)
┌────────────┬─────────────────┬──────────────────┬──────────────────┬───┐
│ date       ┆ USSLOWL_AERODEF ┆ USSLOWL_AIRLINES ┆ USSLOWL_ALUMSTEL ┆ … ┆
│ ---        ┆ ---             ┆ ---              ┆ ---              ┆   ┆
│ date       ┆ f64             ┆ f64              ┆ f64              ┆   ┆
╞════════════╪═════════════════╪══════════════════╪══════════════════╪═══╡
│ 2024-01-02 ┆ -0.265309       ┆ -0.791378        ┆ 0.156503         ┆ … ┆
│ 2024-01-03 ┆ -0.498421       ┆ -2.233705        ┆ 0.8307382        ┆ … ┆
│ 2024-01-04 ┆ 0.086316        ┆ 2.365157         ┆ -0.328195        ┆ … ┆
│ 2024-01-05 ┆ -0.209432       ┆ 2.549703         ┆ -0.18945         ┆ … ┆
│ 2024-01-08 ┆ -1.414716       ┆ 0.6914087        ┆ -0.973735        ┆ … ┆
└────────────┴─────────────────┴──────────────────┴──────────────────┴───┘