f4ratk

A Fama/French Finance Factor Regression Analysis Toolkit.

The deployed project is provided at https://f4ratk.web.app.

Here be dragons

This project is experimental: it does not provide any guarantees and its results are not rigorously tested. It should not be used by itself as a basis for decision‐making.

If you would like to join, please see CONTRIBUTING for guidelines.

Features

The following lists some main use cases, this software can assist you.

Analyze stock quotes of a ticker symbol.
Analyze arbitrary performance data from file.
Display historic factor returns.
Estimate excess returns based on regression results.

Quickstart

Installation

Obtain the latest released version of f4ratk using pip:

pip install -U f4ratk

Usage

Run the program to see an interactive help. Note that each listed command also provides an individual help.

f4ratk --help

Usage: f4ratk [OPTIONS] COMMAND [ARGS]...

Options:
  -v, --verbose  Increase output verbosity.
  --about        Display program information and exit.
  --help         Show this message and exit.

Commands:
  convert    Convert files to the 'file' command format.
  file       Analyze a CSV file.
  history    Display historic factor returns.
  portfolio  Analyze a portfolio file.
  ticker     Analyze a ticker symbol.

Adjust the program arguments according to your problem. Then run your regression analysis similar to the following.

Examples

f4ratk ticker USSC.L US USD
f4ratk file ./input.csv DEVELOPED EUR PRICE --frequency=MONTHLY

License

This project is licensed under the GNU Affero General Public License version 3 (only). See LICENSE for more information and COPYING for the full license text.

Release files for f4ratk 2023.1

For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.

Source distribution (sdist)

Source distribution for f4ratk 2023.1
File	Size	Uploaded
f4ratk-2023.1.tar.gz	36.4 kB	Nov 19, 2023	Details

Built distribution (wheel)

Table of built distributions (wheels) for f4ratk 2023.1
File	Interpreter	ABI	Platform	Reset
f4ratk-2023.1-py3-none-any.whl 63.7 kB Nov 19, 2023	Python 3	none	any	Details

Total release size:100.0 kB

Release files / f4ratk-2023.1.tar.gz

Download URL	f4ratk-2023.1.tar.gz
Size	36.4 kB
Tags	Source
SHA-256 checksum How to use checksums	`321c52b9118329055dc04bb5d4687792cb0a805d2fbe0a71087c46aaa343ff51`
BLAKE2b-256 checksum How to use checksums	`243e4f23959669aa0e803ec47de084250ca7fc8114b420cfe1af9a72ce0905dd`
Upload date	Nov 19, 2023
Uploaded using Trusted Publishing? What is trusted publishing?	No
Uploaded via	`poetry/1.7.1 CPython/3.11.1 Linux/6.1.0-13-amd64`

Release files / f4ratk-2023.1-py3-none-any.whl

Download URL	f4ratk-2023.1-py3-none-any.whl
Size	63.7 kB
Tags	Python 3
SHA-256 checksum How to use checksums	`cdc9bfb553639ed3479325966289ea3986a3367b8b99e6d140b71a7ba240992b`
BLAKE2b-256 checksum How to use checksums	`375eb94922707dd9325fcdaca5ef6d077314ddf6a19c828fe6d33aff24f9cbc8`
Upload date	Nov 19, 2023
Uploaded using Trusted Publishing? What is trusted publishing?	No
Uploaded via	`poetry/1.7.1 CPython/3.11.1 Linux/6.1.0-13-amd64`