international_index_returns

International index returns.

Metadata for the selected dataset are returned in the extra['results_metadata'] field of the response.

See the country_portfolio_returns endpoint for more details.

Source

https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

The returns on the index portfolios are constructed by averaging the returns on the country portfolios.

We weight countries in the index portfolios in proportion to their EAFE + Canada weights.

Each country is added to the index portfolios when the return data for the country begin; the country start dates can be inferred from the country return files.

Examples

from openbb import obb
# Get benchmark index returns used for constructing the international Fama-French Factor models.
obb.famafrench.international_index_returns(provider='famafrench')
# Parameters are similar to the country portfolio returns.
obb.famafrench.international_index_returns(provider='famafrench', frequency='annual', measure='ratios', index='europe_ex_uk', dividends=False, all_data_items_required=False)

Parameters

• standard
• famafrench

index: str | None
Default: all
International index to fetch the portfolio returns for. Defaults to 'all'.

measure: str | None
Default: usd
The measure to fetch for the portfolio. Only 'annual' frequency is supported for 'ratios'.

frequency: str | None
Default: monthly
The frequency of the data to fetch. Ignored when measure is set to 'ratios'.

dividends: bool | None
When False, portoflios exclude dividends.

all_data_items_required: bool | None
If True (default), includes firms with data for all four ratios. When False, includes only firms with Book-to-Market (B/M) data.

start_date: date | None | str
The start date for the data. Defaults to the earliest available date.

end_date: date | None | str
The end date for the data. Defaults to the latest available date.

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Returns

results: FamaFrenchInternationalIndexReturns

Serializable results.

provider: str | None

Provider name.

warnings: Optional[list[Warning_]]

List of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

---

Data

• standard
• famafrench

date: date | str
The date of the data.

mkt: float | None
Value-weighted market return (Mkt). Includes only firms with all four ratios when all_data_items_required is True, otherwise all firms with book-to-market data. Not returned if measure is set to 'ratios'. Values are in percent.

firms: int | None
The number of firms, relative to all_data_items_required parameter. Only returned when measure is set to 'ratios'.

bm: float | None
Book to Market equity ratio. Only returned when measure is set to 'ratios'. Reported as the ratio multiplied by 100.

be_me_high: float | None
Book Equity to Market Equity returns for the value portfolio. Not returned if measure is set to 'ratios'. Values are in percent.

be_me_low: float | None
Book Equity to Market Equity returns for the growth portfolio. Not returned if measure is set to 'ratios'. Values are in percent.

ep: float | None
Earnings to Price ratio. Only returned when measure is set to 'ratios'. Reported as the ratio multiplied by 100.

e_p_high: float | None
Earnings to Price returns for the value portfolio. Not returned if measure is set to 'ratios'. Values are in percent.

e_p_low: float | None
Earnings to Price returns for the growth portfolio. Not returned if measure is set to 'ratios'. Values are in percent.

ce_p: float | None
Cash Earnings to Price ratio. Only returned when measure is set to 'ratios'. Reported as the ratio multiplied by 100.

ce_p_high: float | None
Cash Earnings to Price returns for the value portfolio. Not returned if measure is set to 'ratios'. Values are in percent.

ce_p_low: float | None
Cash Earnings to Price returns for the growth portfolio. Not returned if measure is set to 'ratios'. Values are in percent.

yld: float | None
Dividend Yield ratio. Only returned when measure is set to 'ratios'. Reported as the ratio multiplied by 100.

yld_high: float | None
Dividend Yield returns for the value portfolio. Not returned if measure is set to 'ratios'. Values are in percent.

yld_low: float | None
Dividend Yield returns for the growth portfolio. Not returned if measure is set to 'ratios'. Values are in percent.

yld_zero: float | None
Dividend Yield returns for firms not paying dividends. Not returned if measure is set to 'ratios'. Values are in percent.