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famafrench_unisorts_me_bm_op_inv.py
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famafrench_unisorts_me_bm_op_inv.py
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"""
This file is part of famafrench.
Copyright (c) 2020, Christian Jauregui <chris.jauregui@berkeley.edu>
See file LICENSE.txt for license information.
Filename
________
`examples/famafrench_unisorts_me_bm_op_inv.py`
Construct portfolio returns based using univariate sorts on
* Size (ME)
* Book-to-Market (BM)
* Operating Profitability (OP)
* Investment (INV)
Ken French online library:
Univariate sorts on Size, B/M, OP, and Inv
__________________________________________
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
"""
import os
import datetime as dt
import famafrench.famafrench as ff
from importlib import reload
# Example of how to re-load a distribution module/package
reload(ff)
startDate = dt.date(1960, 1, 1) # "default" startDate
endDate = dt.date.today() # "default" endDate
#startDate = dt.date(1970, 1, 1)
#endDate = dt.date(2019, 12, 31)
# pickled_dir
pickled_dir = os.getcwd() + '/famafrench/pickled_db/'
#%%
#**************************************************************************#
#**************************************************************************#
#************************ Size (ME) **************************#
#**************************************************************************#
#**************************************************************************#
#**********************************************************************************************#
# Daily Portfolios Formed on Size (ME)
#**********************************************************************************************#
runQuery = True
ffFreq = 'D'
ffFactors, ffsortCharac, ffportCharac = [], ['ME'], ['ME']
ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['ME']
sortingDim = [3]
_, _, _, = ff_D.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['ME']
sortingDim = [5]
_, _, _, = ff_D.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['ME']
sortingDim = [10]
_, _, _, = ff_D.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#**********************************************************************************************#
# Monthly Portfolios Formed on Size (ME)
#**********************************************************************************************#
runQuery = True
ffFreq = 'M'
ffFactors, ffsortCharac, ffportCharac = [], ['ME'], ['ME']
ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['ME']
sortingDim = [3]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['ME']
sortingDim = [5]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['ME']
sortingDim = [10]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#************************************************************#
# Annual Portfolios Formed on Investment (ME)
#************************************************************#
runQuery = False
ffFreq = 'A'
ffFactors, ffsortCharac, ffportCharac = [], ['ME'], ['ME']
ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['ME']
sortingDim = [3]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['ME']
sortingDim = [5]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['ME']
sortingDim = [10]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#**************************************************************************#
#**************************************************************************#
#******************* Book-to-Market (BM) *********************#
#**************************************************************************#
#**************************************************************************#
#************************************************************#
# Daily Portfolios Formed on Book-to-Market (BM)
#************************************************************#
runQuery = True
ffFreq = 'D'
ffFactors, ffsortCharac, ffportCharac = [], ['BM'], ['ME', 'BM']
ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['BM']
sortingDim = [3]
_, _, _, = ff_D.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['BM']
sortingDim = [5]
_, _, _, = ff_D.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['BM']
sortingDim = [10]
_, _, _, = ff_D.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#************************************************************#
# Monthly Portfolios Formed on Book-to-Market (BM)
#************************************************************#
runQuery = False
ffFactors, ffsortCharac, ffportCharac = [], ['BM'], ['ME', 'BM']
ffFreq = 'M'
ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['BM']
sortingDim = [3]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['BM']
sortingDim = [5]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['BM']
sortingDim = [10]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#************************************************************#
# Annual Portfolios Formed on Investment (BM)
#************************************************************#
runQuery = False
ffFreq = 'A'
ffFactors, ffsortCharac, ffportCharac = [], ['BM'], ['ME', 'BM']
ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['BM']
sortingDim = [3]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['BM']
sortingDim = [5]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['BM']
sortingDim = [10]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#**************************************************************************#
#**************************************************************************#
#*************** Operating Profitability (OP) *****************#
#**************************************************************************#
#**************************************************************************#
#************************************************************#
# Daily Portfolios Formed on Operating Profitability (OP)
#************************************************************#
runQuery = True
ffFreq = 'D'
ffFactors, ffsortCharac, ffportCharac = [], ['OP'], ['ME', 'OP']
ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['OP']
sortingDim = [3]
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['OP']
sortingDim = [5]
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['OP']
sortingDim = [10]
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#************************************************************#
# Monthly Portfolios Formed on Operating Profitability (OP)
#************************************************************#
runQuery = True
ffFreq = 'M'
ffFactors, ffsortCharac, ffportCharac = [], ['OP'], ['ME', 'OP']
ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['OP']
sortingDim = [3]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['OP']
sortingDim = [5]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['OP']
sortingDim = [10]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#************************************************************#
# Annual Portfolios Formed on Operating Profitability (OP)
#************************************************************#
runQuery = False
ffFreq = 'A'
ffFactors, ffsortCharac, ffportCharac = [], ['OP'], ['ME', 'OP']
ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['OP']
sortingDim = [3]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['OP']
sortingDim = [5]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['OP']
sortingDim = [10]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#**************************************************************************#
#**************************************************************************#
#********************* Investment (INV) ***********************#
#**************************************************************************#
#**************************************************************************#
#************************************************************#
# Daily Portfolios Formed on Investment (INV)
#************************************************************#
runQuery = True
ffFreq = 'D'
ffFactors, ffsortCharac, ffportCharac = [], ['INV'], ['ME', 'INV']
ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['INV']
sortingDim = [3]
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['INV']
sortingDim = [5]
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['INV']
sortingDim = [10]
ff_D.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_D.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_D.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#************************************************************#
# Monthly Portfolios Formed on Investment (INV)
#************************************************************#
runQuery = True
ffFreq = 'M'
ffFactors, ffsortCharac, ffportCharac = [], ['INV'], ['ME', 'INV']
ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['INV']
sortingDim = [3]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['INV']
sortingDim = [5]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['INV']
sortingDim = [10]
_, _, _, = ff_M.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_M.comparePortfolios('NumFirms', ffFreq, startDate, endDate, sortingDim)
_, _, _, = ff_M.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_M.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_M.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
#%%
#************************************************************#
# Annual Portfolios Formed on Investment (INV)
#************************************************************#
runQuery = False
ffFreq = 'A'
ffFactors, ffsortCharac, ffportCharac = [], ['INV'], ['ME', 'INV']
ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
# - 3 daily portfolios (3x1) sorted on ['INV']
sortingDim = [3]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 5 daily portfolios (5x1) sorted on ['INV']
sortingDim = [5]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)
# - 10 portfolios (10x1) sorted on ['INV']
sortingDim = [10]
_, _, _, = ff_A.comparePortfolios('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
_, _, _, = ff_A.comparePortfolios('Characs', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Returns', ffFreq, startDate, endDate, sortingDim, 'vw')
ff_A.getFamaFrenchStats('NumFirms', ffFreq, startDate, endDate, sortingDim)
ff_A.getFamaFrenchStats('Characs', ffFreq, startDate, endDate, sortingDim)