Fama French International Index Returns
Implementation details
Class names
| Model name | Parameters class | Data class |
|---|---|---|
FamaFrenchInternationalIndexReturns | FamaFrenchInternationalIndexReturnsQueryParams | FamaFrenchInternationalIndexReturnsData |
Import Statement
from openbb_core.provider.standard_models. import (
FamaFrenchInternationalIndexReturnsData,
FamaFrenchInternationalIndexReturnsQueryParams,
)
Parameters
- standard
- famafrench
index: Literal['uk', 'scandinavia', 'europe', 'europe_ex_uk', 'asia_pacific', 'all']
International index to fetch the portfolio returns for. Defaults to 'all'.
• Default: all
• Optional: True
measure: Literal['usd', 'local', 'ratios']
The measure to fetch for the portfolio. Only 'annual' frequency is supported for 'ratios'.
• Default: usd
• Optional: True
frequency: Literal['monthly', 'annual']
The frequency of the data to fetch. Ignored when measure is set to 'ratios'.
• Default: monthly
• Optional: True
dividends: bool
When False, portoflios exclude dividends.
• Optional: True
all_data_items_required: bool
If True (default), includes firms with data for all four ratios. When False, includes only firms with Book-to-Market (B/M) data.
• Optional: True
start_date: Union[date, str]
The start date for the data. Defaults to the earliest available date.
• Optional: True
end_date: Union[date, str]
The end date for the data. Defaults to the latest available date.
• Optional: True
Data
- standard
- famafrench
date: Union[date, str]
The date of the data.
mkt: float
Description
The market return (Mkt) for the first set is the value weighted average
of the returns for only firms with all four ratios.
The market return for the second set includes all firms with book-to-market data,
and Firms is the number of firms with B/M data.
Not returned if measure is set to 'ratios'.
firms: int
The number of firms, relative to all_data_items_required parameter. Only returned when measure is set to 'ratios'.
bm: float
Book to Market equity ratio. Not returned if measure is set to 'ratios'.
be_me_high: float
Book Equity to Market Equity returns for the value portfolio. Not returned if measure is set to 'ratios'.
be_me_low: float
Book Equity to Market Equity returns for the growth portfolio. Not returned if measure is set to 'ratios'.
ep: float
Earnings to Price ratio. Only returned when measure is set to 'ratios'.
e_p_high: float
Earnings to Price returns for the value portfolio. Not returned if measure is set to 'ratios'.
e_p_low: float
Earnings to Price returns for the growth portfolio. Not returned if measure is set to 'ratios'.
ce_p: float
Cash Earnings to Price ratio. Only returned when measure is set to 'ratios'.
ce_p_high: float
Cash Earnings to Price returns for the value portfolio. Not returned if measure is set to 'ratios'.
ce_p_low: float
Cash Earnings to Price returns for the growth portfolio. Not returned if measure is set to 'ratios'.
yld: float
Dividend Yield ratio. Only returned when measure is set to 'ratios'.
yld_high: float
Dividend Yield returns for the value portfolio. Not returned if measure is set to 'ratios'.
yld_low: float
Dividend Yield returns for the growth portfolio. Not returned if measure is set to 'ratios'.
yld_zero: float
Dividend Yield returns for firms not paying dividends. Not returned if measure is set to 'ratios'.