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: 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
Returns
results: list[FamaFrenchInternationalIndexReturns]
Serializable results.
provider: Optional[Literal['famafrench']]
Provider name.
warnings: Optional[list[Warning_]]
list of warnings.
chart: Optional[Chart]
Chart object.
extra: dict[str, Any]
Extra info.
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'.