API Reference¶

This is a comprehensive reference for everything you get when you import famafrench.

Table of Contents

FamaFrench Constructor
wrdsConnection Constructor
Connecting to wrds-cloud
wrds-cloud Query Tools
Estimating Market Betas and Rolling Residual Variances
Constructing Portfolios and Return-Based Factors
Comparing to Ken French’s Online Library
Summary Statistics and Diagnostics
Auxiliary Functions and Utilities

`FamaFrench` Constructor ¶

FamaFrench

Class providing tools for constructing and replicating datasets from Ken French’s online library via queries to CRSP, Compustat Fundamentals Annual, and other sources accessed through wrds-cloud.

`wrdsConnection` Constructor ¶

wrdsConnection

Class for setting up the remote connection to wrds-cloud; largely builds on the Connection class in the WRDS-Py library.

Connecting to `wrds-cloud`¶

`connect`	Make a connection to the wrds-cloud database.
`close`	Close the connection to the database.
`get_wrds_table`	Create a `pandas.DataFrame` from an entire table in the database.
`raw_sql`	Query the wrds-cloud database using a raw SQL string.

`wrds-cloud` Query Tools ¶

`queryComp`	Query Compustat Fundamentals Annual files from wrds-cloud.
`queryCrsp`	Query CRSP Stock/Security files from wrds-cloud.
`queryCrspdlret`	Query CRSP’s Stock Event - Delisting files on wrds-cloud.
`queryrf1m`	Query the risk-free interest rate (ie 1-month Treasury Bill rate) from wrds-cloud.
`getCrspDailyRollVar`	Calculate rolling daily variance of stock returns for all CRSP stocks queried from wrds-cloud.
`aggregateME`	Aggregate market value of equity me for cases in which the same firm (ie single permco identifer) has two or more securities (ie multiple permno identifiers) for a given date.
`getMEDec`	Construct market value of equity me for Decemeber of every year.
`getMEJune`	Construct market value of equity me for June of every year.
`mergeCCM`	Query the CRSP/Compustat (CCM) Merged Linking Table needed to merge CRSP securities to Compustat companies on (permno, gvkey) identifier pairs.

Estimating Market Betas and Rolling Residual Variances ¶

getFactorRegResults

Estimate factor-based quantities of risk (specifically, market betas) as well as residuals using rolling regressions.

Constructing Portfolios and Return-Based Factors ¶

`getNyseThresholdsAndRet`	Select NYSE stocks used in the construction of breakpoints (ie thresholds) for portfolio sorting.
`getPortfolios`	Generalized routine used to construct datasets containing portfolio returns (which may include factor returns), number of firms in each portfolio, or average anomaly portfolio characteristics at a given frequency and for a given sample period.
`getPortfolioReturns`	Construct dataset w/ portfolio returns (which may include factor returns) at a given frequency and for a given sample period.
`getNumFirms`	Construct dataset w/ number of firms in each portfolio at a given frequency and for a given sample period.
`getCharacs`	Construct average anomaly portfolio characteristics at a given frequency and for a given sample period.
`getFFfactors`	Construct dataset w/ Fama-French-style factors at a given frequency and for a given sample period.

Comparing to Ken French’s Online Library ¶

`kfLibrary`	Generalized routine used to query datasets from Ken French’s online library at a given frequency and for a given sample period.
`getkfPortfolioReturns`	Query portfolio returns from Ken French’s online library at a given frequency and for a given sample period.
`getkfNumFirms`	Query number of firms in each portfolio from Ken French’s online data library at a given frequency and for a given sample period.
`getkfCharacs`	Query average anomaly portfolio characteristics from Ken French’s online library at a given frequency and for a given sample period.
`getkfFFfactors`	Query Fama-French-style factors from Ken French’s online library at a given frequency and for a given sample period.

Summary Statistics and Diagnostics ¶

getFamaFrenchStats

Detailed summary statistics tables of portfolio returns (which may include factor returns), number of firms in each portfolio, or average anomaly portfolio characteristics at a given frequency and for a given sample period.

comparePortfolios

Generalized routine used to compare datasets constructed from wrds-cloud queries to their equivalents made publicly available on Ken French’s online library at a given frequency and for a given sample period.

Auxiliary Functions and Utilities ¶

`lru_cached_method`	Wrapper for `methodtools.lru_cache()` enabling recognition of decorated class instance methods by Sphinx.
`get_kfpriorfactors_directly`	Directly download (from Ken French’s online library) zipped monthly or annual datafiles for the Short-Term Reversal or Long-Term Reversal Fama-French-style factors.
`timing`	Wrapper for class instance methods enabling the timing of execution.
`any_in`	Boolean variable that is `True` if elements in a given set a_set intersect with elements in another set b_set.
`priormonthToDay`	Consistent w/ Fama and French (2008, 2016), map the prior (j-k) monthly return strategy into a daily strategy (see Ken French’s online documentation).
`grouped_vwAvg`	Calculate (net) weighted portfolio return for portfolio with weights `col_weights` within a group or groups.
`portRetAvg`	Compute a simple average across different columns.
`get_statsTable`	Construct detailed tables with summary statistics.