pqf.research.factor

Functions

mean_factor_returns_by_quantile(quantiles, ...)

simple_factor_long_short_returns(factors, ...)

Calculates factor portfolio return based on factor quantiles and asset returns.

Classes

FactorAssetPair(factor, asset)

Pair between a factor and an asset.
class pqf.research.factor.FactorAssetPair(factor: str, asset: str)[source]

Pair between a factor and an asset.

Parameters:

  • factor (str)

  • asset (str)

asset: str

Alias for field number 1

count(value, /)

Return number of occurrences of value.

factor: str

Alias for field number 0

index(value, start=0, stop=9223372036854775807, /)

Return first index of value.

Raises ValueError if the value is not present.

pqf.research.factor.simple_factor_long_short_returns(factors: LazyFrame, returns: LazyFrame, date_column: str, cumulative: bool = False) → LazyFrame[source]

Calculates factor portfolio return based on factor quantiles and asset returns.

Parameters:

  • factors (pl.LazyFrame) – DataFrame containing factor data.

  • returns (pl.LazyFrame) – DataFrame containing asset returns data.

  • date_column (str) – Name of the column representing dates.

  • cumulative (bool, optional) – Flag to calculate cumulative returns. Defaults to False.

Returns:

DataFrame with factor returns calculated.

Return type:

pl.LazyFrame