API Reference¶

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

Table of Contents

`FamaFrench` Constructor ¶

FamaFrench

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

`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.

`FamaFrench.queryComp`
`FamaFrench.queryCrsp`
`FamaFrench.queryCrspdlret`
`FamaFrench.queryrf1m`
`FamaFrench.getCrspDailyRollVar`
`FamaFrench.aggregateME`
`FamaFrench.getMEDec`
`FamaFrench.getMEJune`
`FamaFrench.mergeCCM`

FamaFrench.getFactorRegResults

`FamaFrench.getNyseThresholdsAndRet`
`FamaFrench.getPortfolios`
`FamaFrench.getPortfolioReturns`
`FamaFrench.getNumFirms`
`FamaFrench.getCharacs`
`FamaFrench.getFFfactors`

`FamaFrench.kfLibrary`
`FamaFrench.getkfPortfolioReturns`
`FamaFrench.getkfNumFirms`
`FamaFrench.getkfCharacs`
`FamaFrench.getkfFFfactors`

`FamaFrench.getFamaFrenchStats`
`FamaFrench.comparePortfolios`

`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.