Datasets

skfolio comes with three natives datasets available via:

• load_sp500_dataset

• load_sp500_index

• load_factors_dataset

Larger datasets are downloaded from the GitHub repo and cached locally to a data directory. They are available via:

• load_ftse100_dataset

• load_nasdaq_dataset

By default the data directory is set to a folder named “skfolio_data” in the user home folder. Alternatively, it can be set by the SKFOLIO_DATA environment variable. If the folder does not already exist, it is automatically created.

Example:

Loading the SPX 500 dataset, which is composed of the daily prices of 20 assets from the S&P 500 composition starting from 1990-01-02 up to 2022-12-28:

from skfolio.datasets import load_sp500_dataset

prices = load_sp500_dataset()
print(prices.head())

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.