skfolio.datasets.load_factors_dataset#

skfolio.datasets.load_factors_dataset()[source]#

Load the prices of 5 factor ETFs.

This dataset is composed of the daily prices of 5 ETF representing common factors starting from 2014-01-02 up to 2022-12-28.

The factors are:

  • “MTUM”: Momentum

  • “QUAL”: Quality

  • “SIZE”: Size

  • “VLUE”: Value

  • “USMV”: low volatility

The data comes from the Yahoo public API. The price is the adjusted close which is the closing price after adjustments for all applicable splits and dividend distributions. The adjustment uses appropriate split and dividend multipliers, adhering to the Center for Research in Security Prices (CRSP) standards.

Observations

2264

Assets

5
Returns:
dfDataFrame of shape (n_observations, n_assets)

Prices DataFrame

Examples

>>> from skfolio.datasets import load_factors_dataset
>>> prices = load_factors_dataset()
>>> prices.head()
              MTUM    QUAL    SIZE    USMV    VLUE
Date
2014-01-02  52.704  48.351  48.986  29.338  47.054
2014-01-03  52.792  48.256  48.722  29.330  46.999
2014-01-06  52.677  48.067  48.722  29.263  46.991
2014-01-07  53.112  48.455  48.731  29.430  47.253
2014-01-08  53.502  48.437  48.731  29.422  47.253