f4ratk 2021.2

A Fama/French Finance Factor Regression Analysis Toolkit.

F4RATK

A Fama/French Finance Factor Regression Analysis Toolkit.

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 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.

Notice

Based on the works of Rand Low and DD.