AKShare 多因子数据¶
Current Research Returns¶
接口: article_ff_crr
目标地址: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
描述: 获取 Current Research Returns 多因子数据
限量: 单次返回所有历史数据
输入参数
| 名称 | 类型 | 必选 | 描述 |
|---|---|---|---|
| - | - | - | - |
输出参数
FF-Current Research Returns
| 名称 | 类型 | 默认显示 | 描述 |
|---|---|---|---|
| September 2019 | float | Y | - |
| Last 3 Months | float | Y | - |
| Last 12 Months | float | Y | - |
接口示例
import akshare as ak
df = ak.article_ff_crr()
print(df)
数据示例
September 2019 Last 3 Months \
Fama/French 3 Research Factors - -
Rm-Rf 1.44 0.00
SMB -0.89 -5.36
HML 6.73 1.39
Fama/French 5 Research Factors (2x3) - -
Rm-Rf 1.44 0.00
SMB 0.33 -4.94
HML 6.73 1.39
RMW 1.98 2.16
CMA 3.58 2.82
Fama/French Research Portfolios - -
Size and Book-to-Market Portfolios - -
Small Value 5.77 -4.01
Small Neutral 3.84 -1.84
Big Neutral -2.46 -7.08
Small Growth 5.54 0.74
Big Value 3.97 1.38
Big Growth 0.30 1.04
Size and Operating Profitability Portfolios - -
Small Robust 3.73 -6.10
Small Neutral 4.50 -1.20
Small Weak -0.22 -6.10
Big Robust 1.12 2.24
Big Neutral 2.60 0.67
Big Weak 1.11 -2.08
Size and Investment Portfolios - -
Small Conservative 3.57 -3.90
Small Neutral 3.57 -1.41
Small Aggressive 0.15 -6.10
Big Conservative 3.08 2.35
Big Neutral 2.42 1.45
Big Aggressive -0.66 -1.09
Last 12 Months
Fama/French 3 Research Factors -
Rm-Rf -0.45
SMB -14.60
HML -4.92
Fama/French 5 Research Factors (2x3) -
Rm-Rf -0.45
SMB -14.74
HML -4.92
RMW 4.97
CMA 2.98
Fama/French Research Portfolios -
Size and Book-to-Market Portfolios -
Small Value -16.59
Small Neutral -9.19
Big Neutral -12.36
Small Growth -1.87
Big Value 3.79
Big Growth 3.73
Size and Operating Profitability Portfolios -
Small Robust -15.42
Small Neutral -7.23
Small Weak -15.73
Big Robust 4.76
Big Neutral 3.40
Big Weak -4.88
Size and Investment Portfolios -
Small Conservative -14.66
Small Neutral -8.16
Small Aggressive -15.00
Big Conservative 5.23
Big Neutral 4.49
Big Aggressive -0.38
AKShare 政策不确定性数据¶
国家和地区指数¶
接口: article_epu_index
目标地址: http://www.policyuncertainty.com/index.html
描述: 获取国家或地区的经济政策不确定性(EPU)数据
限量: 单次返回某个具体国家或地区的所有月度经济政策不确定性数据
输入参数
| 名称 | 类型 | 必选 | 描述 |
|---|---|---|---|
| index | str | Y | index="China"; 按 国家和地区一览表 输入相应参数 |
国家和地区一览表
| 英文名词 | 说明 |
|---|---|
| Global | |
| Australia | |
| Canada | |
| China | |
| Europe | 欧洲 |
| Germany | 欧洲 |
| Hong Kong | |
| Ireland | |
| Japan | |
| Mexico | |
| Russia | |
| Spain | |
| UK | |
| USA | |
| Brazil | |
| Chile | |
| Colombia | 有两种, 默认第一种(FKT) |
| France | 欧洲 |
| Greece | |
| India | |
| Italy | 欧洲 |
| South Korea | |
| Netherlands | |
| Singapore | |
| Sweden |
输出参数
| 名称 | 类型 | 默认显示 | 描述 |
|---|---|---|---|
| - | - | - | 每个国家或地区不同 |
接口示例
import akshare as ak
epu_index_df = ak.article_epu_index(index="China") # 注意单词第一个字母大写
print(epu_index_df)
数据示例
year month China_Policy_Index
0 1995 1 192.91190
1 1995 2 193.98790
2 1995 3 88.22704
3 1995 4 131.03470
4 1995 5 177.09690
.. ... ... ...
287 2018 12 935.31030
288 2019 1 654.96260
289 2019 2 720.15790
290 2019 3 753.10770
291 2019 4 502.55000
AKShare 学术专栏¶
Amit Goyal¶
标普500和常用经济指标¶
接口: agoyal_stock_return
目标地址: http://www.hec.unil.ch/agoyal/
描述: 获取 Amit Goyal 在其论文: A comprehensive look at the empirical performance of equity premium prediction 中的标普 500 和常用经济指标
限量: 单次返回指定 indicator 的数据，本数据大约每年中旬更新(现在更新到 2018 年)
输入参数
| 名称 | 类型 | 必选 | 描述 |
|---|---|---|---|
| indicator | str | Y | indicator="monthly"; 可以选择 {"Monthly", "Quarterly", "Annual"} 之一 |
输出参数
| 名称 | 类型 | 默认显示 | 描述 |
|---|---|---|---|
| yyyymm | str | Y | - |
| Index | str | Y | - |
| D12 | str | Y | - |
| E12 | str | Y | - |
| b/m | str | Y | - |
| tbl | str | Y | - |
| AAA | str | Y | - |
| BAA | str | Y | - |
| lty | str | Y | - |
| ntis | str | Y | - |
| Rfree | str | Y | - |
| infl | str | Y | - |
| ltr | str | Y | - |
| corpr | str | Y | - |
| svar | str | Y | - |
| csp | str | Y | - |
| CRSP_SPvw | str | Y | - |
| CRSP_SPvwx | str | Y | - |
接口示例
import akshare as ak
agoyal_stock_return_df = ak.agoyal_stock_return(indicator="monthly")
print(agoyal_stock_return_df)
数据示例
yyyymm Index D12 E12 ... svar csp CRSP_SPvw CRSP_SPvwx
0 187101 4.44 0.260000 0.40 ... NaN NaN NaN NaN
1 187102 4.50 0.260000 0.40 ... NaN NaN NaN NaN
2 187103 4.61 0.260000 0.40 ... NaN NaN NaN NaN
3 187104 4.74 0.260000 0.40 ... NaN NaN NaN NaN
4 187105 4.86 0.260000 0.40 ... NaN NaN NaN NaN
... ... ... ... ... ... ... ... ...
1771 201808 2901.52 52.338996 130.39 ... 0.000471 NaN 0.032938 0.030647
1772 201809 2913.98 52.338996 130.39 ... 0.000230 NaN 0.005138 0.003758
1773 201810 2711.74 53.748178 132.39 ... 0.004578 NaN -0.068409 -0.069492
1774 201811 2760.17 53.748178 132.39 ... 0.002838 NaN 0.019980 0.017477
1775 201812 2506.85 53.748178 132.39 ... 0.006793 NaN -0.090928 -0.092457