skfolio.datasets.load_factors_dataset#
- skfolio.datasets.load_factors_dataset()[source]#
Load the prices of 5 factor ETFs.
This dataset contains daily adjusted closing prices of 5 ETF representing common factors, covering the period from 2014-01-02 up to 2022-12-28.
The factors are:
“MTUM”: Momentum
“QUAL”: Quality
“SIZE”: Size
“VLUE”: Value
“USMV”: low volatility
Caution
This dataset is provided solely for testing and example purposes. It is a stale dataset and does not reflect current or accurate market prices. It is not intended for investment, trading, or commercial use and should not be relied upon as authoritative market data.
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