{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": { "editable": true }, "outputs": [], "source": [ "import numpy as np\n", "import pandas as pd\n", "import datetime as dt\n", "\n", "pd.set_option('display.max_rows', 16)\n", "\n", "import matplotlib.pyplot as plt\n", "%matplotlib inline\n", "plt.rcParams['figure.figsize'] = (16.0, 9.0)\n", "import seaborn as sns\n", "\n", "import statsmodels.api as sm\n", "from sklearn.linear_model import LinearRegression\n", "\n", "import gc" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "plt.rcParams['figure.figsize'] = (16.0, 9.0)" ] }, { "cell_type": "markdown", "metadata": { "editable": true }, "source": [ "- [Data](#data)\n", " - [Risk free rate](#risk-free-rate)\n", " - [Beta](#beta)\n", " - [BM](#bm)\n", " - [Trading data](#trading-data)\n", " - [Monthly trading data](#monthly-trading-data)\n", " - [Momentum and reversal](#momentum-and-reversal)\n", "- [Merge](#merge)\n", "- [Monthly Factors](#monthly-factors)\n", " - [市场收益率](#市场收益率)\n", "- [Daily factors](#daily-factors)\n" ] }, { "cell_type": "markdown", "metadata": { "editable": true }, "source": [ "# Data" ] }, { "cell_type": "code", "execution_count": 3, "metadata": { "editable": true }, "outputs": [], "source": [ "START = '2007-01-01'\n", "END = '2022-03-31'\n", "# Security Id\n", "stk_info = DataAPI.SecIDGet(assetClass=\"E\",pandas=\"1\")\n", "cond1 = (stk_info['exchangeCD'] == 'XSHE') | (stk_info['exchangeCD'] == 'XSHG')\n", "cond2 = (stk_info['listStatusCD'] == 'L') | (stk_info['listStatusCD'] == 'DE')\n", "stk_info = stk_info[cond1 & cond2].copy()\n", "stk_id = stk_info['secID']" ] }, { "cell_type": "markdown", "metadata": { "editable": true }, "source": [ "## ST" ] }, { "cell_type": "code", "execution_count": 4, "metadata": { "editable": true }, "outputs": [], "source": [ "st_df = DataAPI.SecSTGet(beginDate=START,endDate=END,secID=stk_id,field=['secID','tradeDate','STflg'],pandas=\"1\")" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [], "source": [ "st_df['tradeDate'] = pd.to_datetime(st_df['tradeDate'],format=\"%Y-%m-%d\")" ] }, { "cell_type": "markdown", "metadata": { "editable": true }, "source": [ "## Risk free rate" ] }, { "cell_type": "code", "execution_count": 6, "metadata": { "editable": true }, "outputs": [ { "data": { "text/html": [ "
\n", " | ym | \n", "rf | \n", "
---|---|---|
0 | \n", "2007-01 | \n", "0.002100 | \n", "
1 | \n", "2007-02 | \n", "0.002110 | \n", "
2 | \n", "2007-03 | \n", "0.002234 | \n", "
3 | \n", "2007-04 | \n", "0.002125 | \n", "
4 | \n", "2007-05 | \n", "0.002527 | \n", "
5 | \n", "2007-06 | \n", "0.002542 | \n", "
6 | \n", "2007-07 | \n", "0.002481 | \n", "
7 | \n", "2007-08 | \n", "0.002404 | \n", "
... | \n", "... | \n", "... | \n", "
175 | \n", "2021-08 | \n", "0.001941 | \n", "
176 | \n", "2021-09 | \n", "0.002033 | \n", "
177 | \n", "2021-10 | \n", "0.001998 | \n", "
178 | \n", "2021-11 | \n", "0.001963 | \n", "
179 | \n", "2021-12 | \n", "0.002026 | \n", "
180 | \n", "2022-01 | \n", "0.002014 | \n", "
181 | \n", "2022-02 | \n", "0.001921 | \n", "
182 | \n", "2022-03 | \n", "0.001918 | \n", "
183 rows × 2 columns
\n", "\n", " | secID | \n", "ym | \n", "beta | \n", "
---|---|---|---|
0 | \n", "000001.XSHE | \n", "2007-01 | \n", "0.7949 | \n", "
1 | \n", "000001.XSHE | \n", "2007-02 | \n", "0.7880 | \n", "
2 | \n", "000001.XSHE | \n", "2007-03 | \n", "0.8512 | \n", "
3 | \n", "000001.XSHE | \n", "2007-04 | \n", "0.8642 | \n", "
4 | \n", "000001.XSHE | \n", "2007-05 | \n", "0.7715 | \n", "
5 | \n", "000001.XSHE | \n", "2007-06 | \n", "0.4614 | \n", "
6 | \n", "000001.XSHE | \n", "2007-07 | \n", "0.6423 | \n", "
7 | \n", "000001.XSHE | \n", "2007-08 | \n", "0.7722 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "
501234 | \n", "689009.XSHG | \n", "2021-08 | \n", "1.0727 | \n", "
501235 | \n", "689009.XSHG | \n", "2021-09 | \n", "1.0100 | \n", "
501236 | \n", "689009.XSHG | \n", "2021-10 | \n", "0.8570 | \n", "
501237 | \n", "689009.XSHG | \n", "2021-11 | \n", "0.7546 | \n", "
501238 | \n", "689009.XSHG | \n", "2021-12 | \n", "0.5898 | \n", "
501239 | \n", "689009.XSHG | \n", "2022-01 | \n", "0.5326 | \n", "
501240 | \n", "689009.XSHG | \n", "2022-02 | \n", "0.5294 | \n", "
501241 | \n", "689009.XSHG | \n", "2022-03 | \n", "0.5710 | \n", "
501242 rows × 3 columns
\n", "\n", " | secID | \n", "ym | \n", "bm | \n", "
---|---|---|---|
0 | \n", "000001.XSHE | \n", "2007-01 | \n", "0.162639 | \n", "
1 | \n", "000001.XSHE | \n", "2007-02 | \n", "0.163321 | \n", "
2 | \n", "000001.XSHE | \n", "2007-03 | \n", "0.176236 | \n", "
3 | \n", "000001.XSHE | \n", "2007-04 | \n", "0.140732 | \n", "
4 | \n", "000001.XSHE | \n", "2007-05 | \n", "0.127291 | \n", "
5 | \n", "000001.XSHE | \n", "2007-06 | \n", "0.123739 | \n", "
6 | \n", "000001.XSHE | \n", "2007-07 | \n", "0.093992 | \n", "
7 | \n", "000001.XSHE | \n", "2007-08 | \n", "0.097085 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "
500888 | \n", "689009.XSHG | \n", "2021-08 | \n", "0.076097 | \n", "
500889 | \n", "689009.XSHG | \n", "2021-09 | \n", "0.070547 | \n", "
500890 | \n", "689009.XSHG | \n", "2021-10 | \n", "0.092734 | \n", "
500891 | \n", "689009.XSHG | \n", "2021-11 | \n", "0.097551 | \n", "
500892 | \n", "689009.XSHG | \n", "2021-12 | \n", "0.084318 | \n", "
500893 | \n", "689009.XSHG | \n", "2022-01 | \n", "0.097158 | \n", "
500894 | \n", "689009.XSHG | \n", "2022-02 | \n", "0.103561 | \n", "
500895 | \n", "689009.XSHG | \n", "2022-03 | \n", "0.108407 | \n", "
494110 rows × 3 columns
\n", "\n", " | secID | \n", "tradeDate | \n", "preClosePrice | \n", "closePrice | \n", "negMarketValue | \n", "turnoverValue | \n", "turnoverRate | \n", "ret_daily | \n", "illiq_daily | \n", "ym | \n", "
---|---|---|---|---|---|---|---|---|---|---|
0 | \n", "000001.XSHE | \n", "2007-06-20 | \n", "824.193 | \n", "987.007 | \n", "4.835036e+10 | \n", "4.182345e+09 | \n", "0.0840 | \n", "0.197544 | \n", "4.723272e-11 | \n", "2007-06 | \n", "
1 | \n", "000001.XSHE | \n", "2007-06-21 | \n", "987.007 | \n", "1085.740 | \n", "5.318694e+10 | \n", "2.285485e+09 | \n", "0.0440 | \n", "0.100033 | \n", "4.376871e-11 | \n", "2007-06 | \n", "
2 | \n", "000001.XSHE | \n", "2007-06-22 | \n", "1085.740 | \n", "1120.233 | \n", "5.487665e+10 | \n", "2.761567e+09 | \n", "0.0510 | \n", "0.031769 | \n", "1.150402e-11 | \n", "2007-06 | \n", "
3 | \n", "000001.XSHE | \n", "2007-06-25 | \n", "1120.233 | \n", "1113.904 | \n", "5.456661e+10 | \n", "2.324186e+09 | \n", "0.0426 | \n", "-0.005650 | \n", "2.430837e-12 | \n", "2007-06 | \n", "
4 | \n", "000001.XSHE | \n", "2007-06-26 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "2007-06 | \n", "
5 | \n", "000001.XSHE | \n", "2007-06-27 | \n", "1113.904 | \n", "1019.602 | \n", "4.994705e+10 | \n", "2.446556e+09 | \n", "0.0489 | \n", "-0.084659 | \n", "3.460334e-11 | \n", "2007-06 | \n", "
6 | \n", "000001.XSHE | \n", "2007-06-28 | \n", "1019.602 | \n", "953.780 | \n", "4.672266e+10 | \n", "1.617434e+09 | \n", "0.0336 | \n", "-0.064557 | \n", "3.991295e-11 | \n", "2007-06 | \n", "
7 | \n", "000001.XSHE | \n", "2007-06-29 | \n", "953.780 | \n", "870.870 | \n", "4.266117e+10 | \n", "1.410758e+09 | \n", "0.0316 | \n", "-0.086928 | \n", "6.161781e-11 | \n", "2007-06 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
10182920 | \n", "900957.XSHG | \n", "2022-03-03 | \n", "0.610 | \n", "0.614 | \n", "1.120560e+08 | \n", "4.576100e+04 | \n", "0.0004 | \n", "0.006557 | \n", "1.432962e-07 | \n", "2022-03 | \n", "
10182921 | \n", "900957.XSHG | \n", "2022-03-04 | \n", "0.614 | \n", "0.611 | \n", "1.115040e+08 | \n", "3.987800e+04 | \n", "0.0004 | \n", "-0.004886 | \n", "1.225235e-07 | \n", "2022-03 | \n", "
10182922 | \n", "900957.XSHG | \n", "2022-03-07 | \n", "0.611 | \n", "0.605 | \n", "1.104000e+08 | \n", "1.825430e+05 | \n", "0.0016 | \n", "-0.009820 | \n", "5.379536e-08 | \n", "2022-03 | \n", "
10182923 | \n", "900957.XSHG | \n", "2022-03-08 | \n", "0.605 | \n", "0.604 | \n", "1.102160e+08 | \n", "1.612110e+05 | \n", "0.0015 | \n", "-0.001653 | \n", "1.025298e-08 | \n", "2022-03 | \n", "
10182924 | \n", "900957.XSHG | \n", "2022-03-09 | \n", "0.604 | \n", "0.600 | \n", "1.094800e+08 | \n", "1.285010e+05 | \n", "0.0012 | \n", "-0.006623 | \n", "5.153669e-08 | \n", "2022-03 | \n", "
10182925 | \n", "900957.XSHG | \n", "2022-03-10 | \n", "0.600 | \n", "0.605 | \n", "1.104000e+08 | \n", "7.845200e+04 | \n", "0.0007 | \n", "0.008333 | \n", "1.062221e-07 | \n", "2022-03 | \n", "
10182926 | \n", "900957.XSHG | \n", "2022-03-11 | \n", "0.605 | \n", "0.606 | \n", "1.105840e+08 | \n", "7.993400e+04 | \n", "0.0007 | \n", "0.001653 | \n", "2.067822e-08 | \n", "2022-03 | \n", "
10182927 | \n", "900957.XSHG | \n", "2022-03-14 | \n", "0.606 | \n", "0.594 | \n", "1.083760e+08 | \n", "1.005700e+05 | \n", "0.0009 | \n", "-0.019802 | \n", "1.968975e-07 | \n", "2022-03 | \n", "
10182928 rows × 10 columns
\n", "\n", " | secID | \n", "ym | \n", "closePrice | \n", "mktcap | \n", "turnoverValue | \n", "turnoverRate | \n", "ret_daily | \n", "illiq_daily | \n", "ret | \n", "size | \n", "rf | \n", "exret | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | \n", "000001.XSHE | \n", "2007-06 | \n", "870.870 | \n", "4.266117e+10 | \n", "1.410758e+09 | \n", "0.0316 | \n", "-0.086928 | \n", "6.161781e-11 | \n", "NaN | \n", "24.476555 | \n", "0.002542 | \n", "NaN | \n", "
1391 | \n", "000001.XSHE | \n", "2007-07 | \n", "1146.498 | \n", "5.616330e+10 | \n", "1.479466e+09 | \n", "0.0270 | \n", "0.059356 | \n", "4.012016e-11 | \n", "0.316497 | \n", "24.751529 | \n", "0.002481 | \n", "0.314016 | \n", "
2790 | \n", "000001.XSHE | \n", "2007-08 | \n", "1202.510 | \n", "5.890714e+10 | \n", "6.552881e+08 | \n", "0.0112 | \n", "0.007958 | \n", "1.214425e-11 | \n", "0.048855 | \n", "24.799228 | \n", "0.002404 | \n", "0.046451 | \n", "
4215 | \n", "000001.XSHE | \n", "2007-09 | \n", "1265.167 | \n", "6.197651e+10 | \n", "1.408136e+09 | \n", "0.0228 | \n", "0.030147 | \n", "2.140927e-11 | \n", "0.052105 | \n", "24.850021 | \n", "0.002621 | \n", "0.049484 | \n", "
5655 | \n", "000001.XSHE | \n", "2007-10 | \n", "1520.542 | \n", "7.448652e+10 | \n", "1.440425e+09 | \n", "0.0200 | \n", "0.065410 | \n", "4.541049e-11 | \n", "0.201851 | \n", "25.033884 | \n", "0.003095 | \n", "0.198756 | \n", "
7101 | \n", "000001.XSHE | \n", "2007-11 | \n", "1141.751 | \n", "5.593078e+10 | \n", "5.452159e+08 | \n", "0.0096 | \n", "-0.026181 | \n", "4.801976e-11 | \n", "-0.249116 | \n", "24.747381 | \n", "0.003780 | \n", "-0.252896 | \n", "
8563 | \n", "000001.XSHE | \n", "2007-12 | \n", "1221.497 | \n", "6.574629e+10 | \n", "1.019671e+09 | \n", "0.0154 | \n", "-0.010256 | \n", "1.005854e-11 | \n", "0.069845 | \n", "24.909069 | \n", "0.003011 | \n", "0.066834 | \n", "
10047 | \n", "000001.XSHE | \n", "2008-01 | \n", "1053.778 | \n", "5.850212e+10 | \n", "5.328429e+08 | \n", "0.0089 | \n", "-0.019146 | \n", "3.593101e-11 | \n", "-0.137306 | \n", "24.792329 | \n", "0.002949 | \n", "-0.140255 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
469360 | \n", "900957.XSHG | \n", "2021-08 | \n", "0.612 | \n", "1.116880e+08 | \n", "3.033640e+05 | \n", "0.0027 | \n", "-0.022364 | \n", "7.372074e-08 | \n", "-0.058462 | \n", "18.531220 | \n", "0.001941 | \n", "-0.060402 | \n", "
473762 | \n", "900957.XSHG | \n", "2021-09 | \n", "0.667 | \n", "1.218080e+08 | \n", "2.086830e+05 | \n", "0.0017 | \n", "0.018321 | \n", "8.779158e-08 | \n", "0.089869 | \n", "18.617957 | \n", "0.002033 | \n", "0.087837 | \n", "
478193 | \n", "900957.XSHG | \n", "2021-10 | \n", "0.640 | \n", "1.168400e+08 | \n", "6.162200e+04 | \n", "0.0005 | \n", "0.006289 | \n", "1.020627e-07 | \n", "-0.040480 | \n", "18.576316 | \n", "0.001998 | \n", "-0.042478 | \n", "
482656 | \n", "900957.XSHG | \n", "2021-11 | \n", "0.614 | \n", "1.120560e+08 | \n", "1.161060e+05 | \n", "0.0010 | \n", "-0.014446 | \n", "1.244228e-07 | \n", "-0.040625 | \n", "18.534509 | \n", "0.001963 | \n", "-0.042588 | \n", "
487164 | \n", "900957.XSHG | \n", "2021-12 | \n", "0.636 | \n", "1.161040e+08 | \n", "1.059960e+05 | \n", "0.0009 | \n", "0.001575 | \n", "1.485719e-08 | \n", "0.035831 | \n", "18.569997 | \n", "0.002026 | \n", "0.033805 | \n", "
491702 | \n", "900957.XSHG | \n", "2022-01 | \n", "0.622 | \n", "1.135280e+08 | \n", "1.319240e+05 | \n", "0.0012 | \n", "0.008104 | \n", "6.142724e-08 | \n", "-0.022013 | \n", "18.547560 | \n", "0.002014 | \n", "-0.024027 | \n", "
496253 | \n", "900957.XSHG | \n", "2022-02 | \n", "0.615 | \n", "1.122400e+08 | \n", "9.851400e+04 | \n", "0.0009 | \n", "-0.001623 | \n", "1.647864e-08 | \n", "-0.011254 | \n", "18.536150 | \n", "0.001921 | \n", "-0.013175 | \n", "
500813 | \n", "900957.XSHG | \n", "2022-03 | \n", "0.594 | \n", "1.083760e+08 | \n", "1.005700e+05 | \n", "0.0009 | \n", "-0.019802 | \n", "1.968975e-07 | \n", "-0.034146 | \n", "18.501117 | \n", "0.001918 | \n", "-0.036064 | \n", "
507467 rows × 12 columns
\n", "\n", " | secID | \n", "closePrice | \n", "mktcap | \n", "turnoverValue | \n", "turnoverRate | \n", "ret_daily | \n", "illiq_daily | \n", "ret | \n", "size | \n", "rf | \n", "exret | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|
ym | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2010-01 | \n", "000001.XSHE | \n", "895.357 | \n", "6.345328e+10 | \n", "5.284377e+08 | \n", "0.0082 | \n", "-0.002299 | \n", "4.350204e-12 | \n", "-0.109561 | \n", "24.873570 | \n", "0.001511 | \n", "-0.111072 | \n", "
2010-02 | \n", "000001.XSHE | \n", "926.303 | \n", "6.564637e+10 | \n", "1.008966e+09 | \n", "0.0154 | \n", "0.013544 | \n", "1.342342e-11 | \n", "0.034563 | \n", "24.907548 | \n", "0.001547 | \n", "0.033016 | \n", "
2010-03 | \n", "000001.XSHE | \n", "957.248 | \n", "6.783945e+10 | \n", "7.105142e+08 | \n", "0.0104 | \n", "-0.019028 | \n", "2.678085e-11 | \n", "0.033407 | \n", "24.940410 | \n", "0.001450 | \n", "0.031957 | \n", "
2010-04 | \n", "000001.XSHE | \n", "848.320 | \n", "6.011979e+10 | \n", "6.628292e+08 | \n", "0.0111 | \n", "0.019336 | \n", "2.917199e-11 | \n", "-0.113793 | \n", "24.819605 | \n", "0.001464 | \n", "-0.115256 | \n", "
2010-05 | \n", "000001.XSHE | \n", "722.475 | \n", "5.120124e+10 | \n", "4.806838e+08 | \n", "0.0092 | \n", "-0.031527 | \n", "6.558795e-11 | \n", "-0.148346 | \n", "24.659030 | \n", "0.002081 | \n", "-0.150427 | \n", "
2010-06 | \n", "000001.XSHE | \n", "722.475 | \n", "5.437499e+10 | \n", "5.491348e+08 | \n", "0.0099 | \n", "-0.053001 | \n", "9.651729e-11 | \n", "0.000000 | \n", "24.719170 | \n", "0.003236 | \n", "-0.003236 | \n", "
2010-07 | \n", "000001.XSHE | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "0.001798 | \n", "NaN | \n", "
2010-08 | \n", "000001.XSHE | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "0.002369 | \n", "NaN | \n", "
2010-09 | \n", "000001.XSHE | \n", "669.249 | \n", "5.036906e+10 | \n", "3.472608e+08 | \n", "0.0069 | \n", "-0.002459 | \n", "7.082247e-12 | \n", "NaN | \n", "24.642643 | \n", "0.002922 | \n", "NaN | \n", "
2010-10 | \n", "000001.XSHE | \n", "759.610 | \n", "5.716982e+10 | \n", "6.635094e+08 | \n", "0.0115 | \n", "-0.019178 | \n", "2.890457e-11 | \n", "0.135019 | \n", "24.769292 | \n", "0.002214 | \n", "0.132805 | \n", "
2010-11 | \n", "000001.XSHE | \n", "676.263 | \n", "5.089697e+10 | \n", "4.642922e+08 | \n", "0.0091 | \n", "-0.019737 | \n", "4.250943e-11 | \n", "-0.109723 | \n", "24.653069 | \n", "0.003092 | \n", "-0.112815 | \n", "
2010-12 | \n", "000001.XSHE | \n", "651.507 | \n", "4.903361e+10 | \n", "3.783178e+08 | \n", "0.0078 | \n", "0.007659 | \n", "2.024503e-11 | \n", "-0.036607 | \n", "24.615772 | \n", "0.005141 | \n", "-0.041748 | \n", "
\n", " | secID | \n", "ym | \n", "closePrice | \n", "mktcap | \n", "ret | \n", "size | \n", "rf | \n", "exret | \n", "mom | \n", "rev | \n", "ret_date | \n", "mom_date | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | \n", "000001.XSHE | \n", "2007-06 | \n", "870.870 | \n", "4.266117e+10 | \n", "0.316497 | \n", "24.476555 | \n", "0.002481 | \n", "0.314016 | \n", "NaN | \n", "NaN | \n", "2007-07 | \n", "NaT | \n", "
1 | \n", "000001.XSHE | \n", "2007-07 | \n", "1146.498 | \n", "5.616330e+10 | \n", "0.048855 | \n", "24.751529 | \n", "0.002404 | \n", "0.046451 | \n", "NaN | \n", "0.314016 | \n", "2007-08 | \n", "2007-06 | \n", "
2 | \n", "000001.XSHE | \n", "2007-08 | \n", "1202.510 | \n", "5.890714e+10 | \n", "0.052105 | \n", "24.799228 | \n", "0.002621 | \n", "0.049484 | \n", "NaN | \n", "0.046451 | \n", "2007-09 | \n", "2007-07 | \n", "
3 | \n", "000001.XSHE | \n", "2007-09 | \n", "1265.167 | \n", "6.197651e+10 | \n", "0.201851 | \n", "24.850021 | \n", "0.003095 | \n", "0.198756 | \n", "NaN | \n", "0.049484 | \n", "2007-10 | \n", "2007-08 | \n", "
4 | \n", "000001.XSHE | \n", "2007-10 | \n", "1520.542 | \n", "7.448652e+10 | \n", "-0.249116 | \n", "25.033884 | \n", "0.003780 | \n", "-0.252896 | \n", "NaN | \n", "0.198756 | \n", "2007-11 | \n", "2007-09 | \n", "
5 | \n", "000001.XSHE | \n", "2007-11 | \n", "1141.751 | \n", "5.593078e+10 | \n", "0.069845 | \n", "24.747381 | \n", "0.003011 | \n", "0.066834 | \n", "NaN | \n", "-0.252896 | \n", "2007-12 | \n", "2007-10 | \n", "
6 | \n", "000001.XSHE | \n", "2007-12 | \n", "1221.497 | \n", "6.574629e+10 | \n", "-0.137306 | \n", "24.909069 | \n", "0.002949 | \n", "-0.140255 | \n", "NaN | \n", "0.066834 | \n", "2008-01 | \n", "2007-11 | \n", "
7 | \n", "000001.XSHE | \n", "2008-01 | \n", "1053.778 | \n", "5.850212e+10 | \n", "-0.004504 | \n", "24.792329 | \n", "0.002946 | \n", "-0.007450 | \n", "NaN | \n", "-0.140255 | \n", "2008-02 | \n", "2007-12 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
507459 | \n", "900957.XSHG | \n", "2021-08 | \n", "0.612 | \n", "1.116880e+08 | \n", "0.089869 | \n", "18.531220 | \n", "0.002033 | \n", "0.087837 | \n", "0.183971 | \n", "-0.060402 | \n", "2021-09 | \n", "2021-07 | \n", "
507460 | \n", "900957.XSHG | \n", "2021-09 | \n", "0.667 | \n", "1.218080e+08 | \n", "-0.040480 | \n", "18.617957 | \n", "0.001998 | \n", "-0.042478 | \n", "0.186047 | \n", "0.087837 | \n", "2021-10 | \n", "2021-08 | \n", "
507461 | \n", "900957.XSHG | \n", "2021-10 | \n", "0.640 | \n", "1.168400e+08 | \n", "-0.040625 | \n", "18.576316 | \n", "0.001963 | \n", "-0.042588 | \n", "0.285164 | \n", "-0.042478 | \n", "2021-11 | \n", "2021-09 | \n", "
507462 | \n", "900957.XSHG | \n", "2021-11 | \n", "0.614 | \n", "1.120560e+08 | \n", "0.035831 | \n", "18.534509 | \n", "0.002026 | \n", "0.033805 | \n", "0.216730 | \n", "-0.042588 | \n", "2021-12 | \n", "2021-10 | \n", "
507463 | \n", "900957.XSHG | \n", "2021-12 | \n", "0.636 | \n", "1.161040e+08 | \n", "-0.022013 | \n", "18.569997 | \n", "0.002014 | \n", "-0.024027 | \n", "0.211045 | \n", "0.033805 | \n", "2022-01 | \n", "2021-11 | \n", "
507464 | \n", "900957.XSHG | \n", "2022-01 | \n", "0.622 | \n", "1.135280e+08 | \n", "-0.011254 | \n", "18.547560 | \n", "0.001921 | \n", "-0.013175 | \n", "-0.059172 | \n", "-0.024027 | \n", "2022-02 | \n", "2021-12 | \n", "
507465 | \n", "900957.XSHG | \n", "2022-02 | \n", "0.615 | \n", "1.122400e+08 | \n", "-0.034146 | \n", "18.536150 | \n", "0.001918 | \n", "-0.036064 | \n", "-0.157182 | \n", "-0.013175 | \n", "2022-03 | \n", "2022-01 | \n", "
507466 | \n", "900957.XSHG | \n", "2022-03 | \n", "0.594 | \n", "1.083760e+08 | \n", "NaN | \n", "18.501117 | \n", "NaN | \n", "NaN | \n", "-0.117647 | \n", "-0.036064 | \n", "NaT | \n", "2022-02 | \n", "
507467 rows × 12 columns
\n", "\n", " | secID | \n", "ret_date | \n", "ret | \n", "rf | \n", "exret | \n", "ym | \n", "mktcap | \n", "size | \n", "rev | \n", "mom_date | \n", "mom | \n", "beta | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | \n", "000001.XSHE | \n", "2007-07 | \n", "0.316497 | \n", "0.002481 | \n", "0.314016 | \n", "2007-06 | \n", "4.266117e+10 | \n", "24.476555 | \n", "NaN | \n", "NaT | \n", "NaN | \n", "0.4614 | \n", "
1 | \n", "000001.XSHE | \n", "2007-08 | \n", "0.048855 | \n", "0.002404 | \n", "0.046451 | \n", "2007-07 | \n", "5.616330e+10 | \n", "24.751529 | \n", "0.314016 | \n", "2007-06 | \n", "NaN | \n", "0.6423 | \n", "
2 | \n", "000001.XSHE | \n", "2007-09 | \n", "0.052105 | \n", "0.002621 | \n", "0.049484 | \n", "2007-08 | \n", "5.890714e+10 | \n", "24.799228 | \n", "0.046451 | \n", "2007-07 | \n", "NaN | \n", "0.7722 | \n", "
3 | \n", "000001.XSHE | \n", "2007-10 | \n", "0.201851 | \n", "0.003095 | \n", "0.198756 | \n", "2007-09 | \n", "6.197651e+10 | \n", "24.850021 | \n", "0.049484 | \n", "2007-08 | \n", "NaN | \n", "0.7596 | \n", "
4 | \n", "000001.XSHE | \n", "2007-11 | \n", "-0.249116 | \n", "0.003780 | \n", "-0.252896 | \n", "2007-10 | \n", "7.448652e+10 | \n", "25.033884 | \n", "0.198756 | \n", "2007-09 | \n", "NaN | \n", "0.7988 | \n", "
5 | \n", "000001.XSHE | \n", "2007-12 | \n", "0.069845 | \n", "0.003011 | \n", "0.066834 | \n", "2007-11 | \n", "5.593078e+10 | \n", "24.747381 | \n", "-0.252896 | \n", "2007-10 | \n", "NaN | \n", "0.9560 | \n", "
6 | \n", "000001.XSHE | \n", "2008-01 | \n", "-0.137306 | \n", "0.002949 | \n", "-0.140255 | \n", "2007-12 | \n", "6.574629e+10 | \n", "24.909069 | \n", "0.066834 | \n", "2007-11 | \n", "NaN | \n", "0.9468 | \n", "
7 | \n", "000001.XSHE | \n", "2008-02 | \n", "-0.004504 | \n", "0.002946 | \n", "-0.007450 | \n", "2008-01 | \n", "5.850212e+10 | \n", "24.792329 | \n", "-0.140255 | \n", "2007-12 | \n", "NaN | \n", "0.9654 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
507459 | \n", "900957.XSHG | \n", "2021-09 | \n", "0.089869 | \n", "0.002033 | \n", "0.087837 | \n", "2021-08 | \n", "1.116880e+08 | \n", "18.531220 | \n", "-0.060402 | \n", "2021-07 | \n", "0.183971 | \n", "NaN | \n", "
507460 | \n", "900957.XSHG | \n", "2021-10 | \n", "-0.040480 | \n", "0.001998 | \n", "-0.042478 | \n", "2021-09 | \n", "1.218080e+08 | \n", "18.617957 | \n", "0.087837 | \n", "2021-08 | \n", "0.186047 | \n", "NaN | \n", "
507461 | \n", "900957.XSHG | \n", "2021-11 | \n", "-0.040625 | \n", "0.001963 | \n", "-0.042588 | \n", "2021-10 | \n", "1.168400e+08 | \n", "18.576316 | \n", "-0.042478 | \n", "2021-09 | \n", "0.285164 | \n", "NaN | \n", "
507462 | \n", "900957.XSHG | \n", "2021-12 | \n", "0.035831 | \n", "0.002026 | \n", "0.033805 | \n", "2021-11 | \n", "1.120560e+08 | \n", "18.534509 | \n", "-0.042588 | \n", "2021-10 | \n", "0.216730 | \n", "NaN | \n", "
507463 | \n", "900957.XSHG | \n", "2022-01 | \n", "-0.022013 | \n", "0.002014 | \n", "-0.024027 | \n", "2021-12 | \n", "1.161040e+08 | \n", "18.569997 | \n", "0.033805 | \n", "2021-11 | \n", "0.211045 | \n", "NaN | \n", "
507464 | \n", "900957.XSHG | \n", "2022-02 | \n", "-0.011254 | \n", "0.001921 | \n", "-0.013175 | \n", "2022-01 | \n", "1.135280e+08 | \n", "18.547560 | \n", "-0.024027 | \n", "2021-12 | \n", "-0.059172 | \n", "NaN | \n", "
507465 | \n", "900957.XSHG | \n", "2022-03 | \n", "-0.034146 | \n", "0.001918 | \n", "-0.036064 | \n", "2022-02 | \n", "1.122400e+08 | \n", "18.536150 | \n", "-0.013175 | \n", "2022-01 | \n", "-0.157182 | \n", "NaN | \n", "
507466 | \n", "900957.XSHG | \n", "NaT | \n", "NaN | \n", "NaN | \n", "NaN | \n", "2022-03 | \n", "1.083760e+08 | \n", "18.501117 | \n", "-0.036064 | \n", "2022-02 | \n", "-0.117647 | \n", "NaN | \n", "
507467 rows × 12 columns
\n", "\n", " | secID | \n", "ret_date | \n", "ret | \n", "rf | \n", "exret | \n", "ym | \n", "mktcap | \n", "size | \n", "rev | \n", "mom_date | \n", "mom | \n", "beta | \n", "bm | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | \n", "000001.XSHE | \n", "2007-07 | \n", "0.316497 | \n", "0.002481 | \n", "0.314016 | \n", "2007-06 | \n", "4.266117e+10 | \n", "24.476555 | \n", "NaN | \n", "NaT | \n", "NaN | \n", "0.4614 | \n", "0.123739 | \n", "
1 | \n", "000001.XSHE | \n", "2007-08 | \n", "0.048855 | \n", "0.002404 | \n", "0.046451 | \n", "2007-07 | \n", "5.616330e+10 | \n", "24.751529 | \n", "0.314016 | \n", "2007-06 | \n", "NaN | \n", "0.6423 | \n", "0.093992 | \n", "
2 | \n", "000001.XSHE | \n", "2007-09 | \n", "0.052105 | \n", "0.002621 | \n", "0.049484 | \n", "2007-08 | \n", "5.890714e+10 | \n", "24.799228 | \n", "0.046451 | \n", "2007-07 | \n", "NaN | \n", "0.7722 | \n", "0.097085 | \n", "
3 | \n", "000001.XSHE | \n", "2007-10 | \n", "0.201851 | \n", "0.003095 | \n", "0.198756 | \n", "2007-09 | \n", "6.197651e+10 | \n", "24.850021 | \n", "0.049484 | \n", "2007-08 | \n", "NaN | \n", "0.7596 | \n", "0.092276 | \n", "
4 | \n", "000001.XSHE | \n", "2007-11 | \n", "-0.249116 | \n", "0.003780 | \n", "-0.252896 | \n", "2007-10 | \n", "7.448652e+10 | \n", "25.033884 | \n", "0.198756 | \n", "2007-09 | \n", "NaN | \n", "0.7988 | \n", "0.083411 | \n", "
5 | \n", "000001.XSHE | \n", "2007-12 | \n", "0.069845 | \n", "0.003011 | \n", "0.066834 | \n", "2007-11 | \n", "5.593078e+10 | \n", "24.747381 | \n", "-0.252896 | \n", "2007-10 | \n", "NaN | \n", "0.9560 | \n", "0.111084 | \n", "
6 | \n", "000001.XSHE | \n", "2008-01 | \n", "-0.137306 | \n", "0.002949 | \n", "-0.140255 | \n", "2007-12 | \n", "6.574629e+10 | \n", "24.909069 | \n", "0.066834 | \n", "2007-11 | \n", "NaN | \n", "0.9468 | \n", "0.094476 | \n", "
7 | \n", "000001.XSHE | \n", "2008-02 | \n", "-0.004504 | \n", "0.002946 | \n", "-0.007450 | \n", "2008-01 | \n", "5.850212e+10 | \n", "24.792329 | \n", "-0.140255 | \n", "2007-12 | \n", "NaN | \n", "0.9654 | \n", "0.109513 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
507459 | \n", "900957.XSHG | \n", "2021-09 | \n", "0.089869 | \n", "0.002033 | \n", "0.087837 | \n", "2021-08 | \n", "1.116880e+08 | \n", "18.531220 | \n", "-0.060402 | \n", "2021-07 | \n", "0.183971 | \n", "NaN | \n", "NaN | \n", "
507460 | \n", "900957.XSHG | \n", "2021-10 | \n", "-0.040480 | \n", "0.001998 | \n", "-0.042478 | \n", "2021-09 | \n", "1.218080e+08 | \n", "18.617957 | \n", "0.087837 | \n", "2021-08 | \n", "0.186047 | \n", "NaN | \n", "NaN | \n", "
507461 | \n", "900957.XSHG | \n", "2021-11 | \n", "-0.040625 | \n", "0.001963 | \n", "-0.042588 | \n", "2021-10 | \n", "1.168400e+08 | \n", "18.576316 | \n", "-0.042478 | \n", "2021-09 | \n", "0.285164 | \n", "NaN | \n", "NaN | \n", "
507462 | \n", "900957.XSHG | \n", "2021-12 | \n", "0.035831 | \n", "0.002026 | \n", "0.033805 | \n", "2021-11 | \n", "1.120560e+08 | \n", "18.534509 | \n", "-0.042588 | \n", "2021-10 | \n", "0.216730 | \n", "NaN | \n", "NaN | \n", "
507463 | \n", "900957.XSHG | \n", "2022-01 | \n", "-0.022013 | \n", "0.002014 | \n", "-0.024027 | \n", "2021-12 | \n", "1.161040e+08 | \n", "18.569997 | \n", "0.033805 | \n", "2021-11 | \n", "0.211045 | \n", "NaN | \n", "NaN | \n", "
507464 | \n", "900957.XSHG | \n", "2022-02 | \n", "-0.011254 | \n", "0.001921 | \n", "-0.013175 | \n", "2022-01 | \n", "1.135280e+08 | \n", "18.547560 | \n", "-0.024027 | \n", "2021-12 | \n", "-0.059172 | \n", "NaN | \n", "NaN | \n", "
507465 | \n", "900957.XSHG | \n", "2022-03 | \n", "-0.034146 | \n", "0.001918 | \n", "-0.036064 | \n", "2022-02 | \n", "1.122400e+08 | \n", "18.536150 | \n", "-0.013175 | \n", "2022-01 | \n", "-0.157182 | \n", "NaN | \n", "NaN | \n", "
507466 | \n", "900957.XSHG | \n", "NaT | \n", "NaN | \n", "NaN | \n", "NaN | \n", "2022-03 | \n", "1.083760e+08 | \n", "18.501117 | \n", "-0.036064 | \n", "2022-02 | \n", "-0.117647 | \n", "NaN | \n", "NaN | \n", "
507467 rows × 13 columns
\n", "\n", " | bm | \n", "mom | \n", "rev | \n", "size | \n", "
---|---|---|---|---|
ret_date | \n", "\n", " | \n", " | \n", " | \n", " |
2007-02 | \n", "0.225507 | \n", "NaN | \n", "NaN | \n", "0.197290 | \n", "
2007-03 | \n", "0.181880 | \n", "NaN | \n", "0.121655 | \n", "0.194629 | \n", "
2007-04 | \n", "0.365498 | \n", "NaN | \n", "0.281322 | \n", "0.333786 | \n", "
2007-05 | \n", "0.082580 | \n", "NaN | \n", "0.100779 | \n", "0.070302 | \n", "
2007-06 | \n", "-0.172057 | \n", "NaN | \n", "-0.135300 | \n", "-0.189340 | \n", "
2007-07 | \n", "0.252825 | \n", "NaN | \n", "0.307959 | \n", "0.263211 | \n", "
2007-08 | \n", "0.151364 | \n", "NaN | \n", "0.117534 | \n", "0.088721 | \n", "
2007-09 | \n", "0.052301 | \n", "NaN | \n", "0.015507 | \n", "0.028394 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-08 | \n", "0.078989 | \n", "0.057667 | \n", "0.015628 | \n", "0.057349 | \n", "
2021-09 | \n", "0.021044 | \n", "-0.034337 | \n", "0.009088 | \n", "-0.024096 | \n", "
2021-10 | \n", "-0.037577 | \n", "0.003608 | \n", "0.008295 | \n", "-0.022542 | \n", "
2021-11 | \n", "0.043381 | \n", "0.063753 | \n", "0.078677 | \n", "0.137159 | \n", "
2021-12 | \n", "0.069567 | \n", "-0.009271 | \n", "0.046222 | \n", "0.037392 | \n", "
2022-01 | \n", "-0.041801 | \n", "-0.118946 | \n", "-0.111440 | \n", "-0.085123 | \n", "
2022-02 | \n", "0.043367 | \n", "0.059530 | \n", "0.049949 | \n", "0.050449 | \n", "
2022-03 | \n", "-0.042582 | \n", "-0.074289 | \n", "-0.077184 | \n", "-0.050927 | \n", "
182 rows × 4 columns
\n", "\n", " | tradeDate | \n", "rf | \n", "ym | \n", "
---|---|---|---|
0 | \n", "2007-01-04 | \n", "0.002148 | \n", "2007-01 | \n", "
1 | \n", "2007-01-05 | \n", "0.002143 | \n", "2007-01 | \n", "
2 | \n", "2007-01-08 | \n", "0.002132 | \n", "2007-01 | \n", "
3 | \n", "2007-01-09 | \n", "0.002131 | \n", "2007-01 | \n", "
4 | \n", "2007-01-10 | \n", "0.002122 | \n", "2007-01 | \n", "
5 | \n", "2007-01-11 | \n", "0.002112 | \n", "2007-01 | \n", "
6 | \n", "2007-01-12 | \n", "0.002105 | \n", "2007-01 | \n", "
7 | \n", "2007-01-15 | \n", "0.002101 | \n", "2007-01 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "
3786 | \n", "2022-03-04 | \n", "0.001917 | \n", "2022-03 | \n", "
3787 | \n", "2022-03-07 | \n", "0.001917 | \n", "2022-03 | \n", "
3788 | \n", "2022-03-08 | \n", "0.001917 | \n", "2022-03 | \n", "
3789 | \n", "2022-03-09 | \n", "0.001917 | \n", "2022-03 | \n", "
3790 | \n", "2022-03-10 | \n", "0.001917 | \n", "2022-03 | \n", "
3791 | \n", "2022-03-11 | \n", "0.001917 | \n", "2022-03 | \n", "
3792 | \n", "2022-03-14 | \n", "0.001917 | \n", "2022-03 | \n", "
3793 | \n", "2022-03-15 | \n", "0.001918 | \n", "2022-03 | \n", "
3794 rows × 3 columns
\n", "\n", " | ret_date | \n", "rf | \n", "exmktret | \n", "
---|---|---|---|
1 | \n", "2007-02 | \n", "0.002110 | \n", "0.089095 | \n", "
2 | \n", "2007-03 | \n", "0.002234 | \n", "0.108569 | \n", "
3 | \n", "2007-04 | \n", "0.002125 | \n", "0.291347 | \n", "
4 | \n", "2007-05 | \n", "0.002527 | \n", "0.098653 | \n", "
5 | \n", "2007-06 | \n", "0.002542 | \n", "-0.074613 | \n", "
6 | \n", "2007-07 | \n", "0.002481 | \n", "0.192378 | \n", "
7 | \n", "2007-08 | \n", "0.002404 | \n", "0.167471 | \n", "
8 | \n", "2007-09 | \n", "0.002621 | \n", "0.047576 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "
175 | \n", "2021-08 | \n", "0.001941 | \n", "0.014227 | \n", "
176 | \n", "2021-09 | \n", "0.002033 | \n", "0.002219 | \n", "
177 | \n", "2021-10 | \n", "0.001998 | \n", "0.001806 | \n", "
178 | \n", "2021-11 | \n", "0.001963 | \n", "-0.005955 | \n", "
179 | \n", "2021-12 | \n", "0.002026 | \n", "0.018238 | \n", "
180 | \n", "2022-01 | \n", "0.002014 | \n", "-0.085367 | \n", "
181 | \n", "2022-02 | \n", "0.001921 | \n", "0.010795 | \n", "
182 | \n", "2022-03 | \n", "0.001918 | \n", "-0.132191 | \n", "
182 rows × 3 columns
\n", "\n", " | rf | \n", "exmktret | \n", "size_long | \n", "bm_long | \n", "mom_long | \n", "rev_long | \n", "
---|---|---|---|---|---|---|
ret_date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2007-02 | \n", "0.002110 | \n", "0.089095 | \n", "0.197290 | \n", "0.225507 | \n", "NaN | \n", "NaN | \n", "
2007-03 | \n", "0.002234 | \n", "0.108569 | \n", "0.194629 | \n", "0.181880 | \n", "NaN | \n", "0.121655 | \n", "
2007-04 | \n", "0.002125 | \n", "0.291347 | \n", "0.333786 | \n", "0.365498 | \n", "NaN | \n", "0.281322 | \n", "
2007-05 | \n", "0.002527 | \n", "0.098653 | \n", "0.070302 | \n", "0.082580 | \n", "NaN | \n", "0.100779 | \n", "
2007-06 | \n", "0.002542 | \n", "-0.074613 | \n", "-0.189340 | \n", "-0.172057 | \n", "NaN | \n", "-0.135300 | \n", "
2007-07 | \n", "0.002481 | \n", "0.192378 | \n", "0.263211 | \n", "0.252825 | \n", "NaN | \n", "0.307959 | \n", "
2007-08 | \n", "0.002404 | \n", "0.167471 | \n", "0.088721 | \n", "0.151364 | \n", "NaN | \n", "0.117534 | \n", "
2007-09 | \n", "0.002621 | \n", "0.047576 | \n", "0.028394 | \n", "0.052301 | \n", "NaN | \n", "0.015507 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-08 | \n", "0.001941 | \n", "0.014227 | \n", "0.057349 | \n", "0.078989 | \n", "0.057667 | \n", "0.015628 | \n", "
2021-09 | \n", "0.002033 | \n", "0.002219 | \n", "-0.024096 | \n", "0.021044 | \n", "-0.034337 | \n", "0.009088 | \n", "
2021-10 | \n", "0.001998 | \n", "0.001806 | \n", "-0.022542 | \n", "-0.037577 | \n", "0.003608 | \n", "0.008295 | \n", "
2021-11 | \n", "0.001963 | \n", "-0.005955 | \n", "0.137159 | \n", "0.043381 | \n", "0.063753 | \n", "0.078677 | \n", "
2021-12 | \n", "0.002026 | \n", "0.018238 | \n", "0.037392 | \n", "0.069567 | \n", "-0.009271 | \n", "0.046222 | \n", "
2022-01 | \n", "0.002014 | \n", "-0.085367 | \n", "-0.085123 | \n", "-0.041801 | \n", "-0.118946 | \n", "-0.111440 | \n", "
2022-02 | \n", "0.001921 | \n", "0.010795 | \n", "0.050449 | \n", "0.043367 | \n", "0.059530 | \n", "0.049949 | \n", "
2022-03 | \n", "0.001918 | \n", "-0.132191 | \n", "-0.050927 | \n", "-0.042582 | \n", "-0.074289 | \n", "-0.077184 | \n", "
182 rows × 6 columns
\n", "\n", " | rf | \n", "exmktret | \n", "size | \n", "bm | \n", "mom | \n", "rev | \n", "
---|---|---|---|---|---|---|
ret_date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2007-02 | \n", "0.002110 | \n", "0.089095 | \n", "0.076096 | \n", "0.139221 | \n", "NaN | \n", "NaN | \n", "
2007-03 | \n", "0.002234 | \n", "0.108569 | \n", "0.080259 | \n", "0.057221 | \n", "NaN | \n", "-0.049465 | \n", "
2007-04 | \n", "0.002125 | \n", "0.291347 | \n", "0.039065 | \n", "0.099404 | \n", "NaN | \n", "-0.067932 | \n", "
2007-05 | \n", "0.002527 | \n", "0.098653 | \n", "-0.026096 | \n", "0.010264 | \n", "NaN | \n", "0.029636 | \n", "
2007-06 | \n", "0.002542 | \n", "-0.074613 | \n", "-0.112510 | \n", "-0.066675 | \n", "NaN | \n", "-0.004885 | \n", "
2007-07 | \n", "0.002481 | \n", "0.192378 | \n", "0.067658 | \n", "0.050950 | \n", "NaN | \n", "0.117932 | \n", "
2007-08 | \n", "0.002404 | \n", "0.167471 | \n", "-0.077035 | \n", "0.052345 | \n", "NaN | \n", "-0.006491 | \n", "
2007-09 | \n", "0.002621 | \n", "0.047576 | \n", "-0.020228 | \n", "0.029152 | \n", "NaN | \n", "-0.033810 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-08 | \n", "0.001941 | \n", "0.014227 | \n", "0.014352 | \n", "0.074199 | \n", "0.038196 | \n", "-0.062430 | \n", "
2021-09 | \n", "0.002033 | \n", "0.002219 | \n", "-0.025703 | \n", "0.060019 | \n", "-0.053659 | \n", "0.057943 | \n", "
2021-10 | \n", "0.001998 | \n", "0.001806 | \n", "-0.017339 | \n", "-0.056599 | \n", "0.025714 | \n", "0.033126 | \n", "
2021-11 | \n", "0.001963 | \n", "-0.005955 | \n", "0.123430 | \n", "-0.046532 | \n", "-0.024797 | \n", "0.006545 | \n", "
2021-12 | \n", "0.002026 | \n", "0.018238 | \n", "0.016352 | \n", "0.089343 | \n", "-0.067536 | \n", "0.061749 | \n", "
2022-01 | \n", "0.002014 | \n", "-0.085367 | \n", "0.000233 | \n", "0.081621 | \n", "-0.048670 | \n", "-0.026194 | \n", "
2022-02 | \n", "0.001921 | \n", "0.010795 | \n", "0.021513 | \n", "0.010809 | \n", "0.043676 | \n", "0.015243 | \n", "
2022-03 | \n", "0.001918 | \n", "-0.132191 | \n", "0.028745 | \n", "0.038077 | \n", "-0.006099 | \n", "-0.019145 | \n", "
182 rows × 6 columns
\n", "\n", " | bm | \n", "mom | \n", "rev | \n", "size | \n", "
---|---|---|---|---|
tradeDate | \n", "\n", " | \n", " | \n", " | \n", " |
2007-02-01 | \n", "0.013041 | \n", "NaN | \n", "NaN | \n", "0.008327 | \n", "
2007-02-02 | \n", "-0.018846 | \n", "NaN | \n", "NaN | \n", "-0.015797 | \n", "
2007-02-05 | \n", "0.009846 | \n", "NaN | \n", "NaN | \n", "0.015023 | \n", "
2007-02-06 | \n", "0.028806 | \n", "NaN | \n", "NaN | \n", "0.028548 | \n", "
2007-02-07 | \n", "0.013814 | \n", "NaN | \n", "NaN | \n", "0.013623 | \n", "
2007-02-08 | \n", "0.020907 | \n", "NaN | \n", "NaN | \n", "0.018609 | \n", "
2007-02-09 | \n", "-0.001954 | \n", "NaN | \n", "NaN | \n", "0.000746 | \n", "
2007-02-12 | \n", "0.025847 | \n", "NaN | \n", "NaN | \n", "0.023732 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2022-03-03 | \n", "0.008643 | \n", "-0.007450 | \n", "-0.007586 | \n", "-0.001250 | \n", "
2022-03-04 | \n", "-0.012217 | \n", "-0.014437 | \n", "-0.010430 | \n", "-0.012156 | \n", "
2022-03-07 | \n", "-0.010252 | \n", "-0.019411 | \n", "-0.024816 | \n", "-0.011582 | \n", "
2022-03-08 | \n", "-0.028670 | \n", "-0.030806 | \n", "-0.025437 | \n", "-0.032090 | \n", "
2022-03-09 | \n", "-0.015098 | \n", "-0.003501 | \n", "-0.014331 | \n", "-0.012455 | \n", "
2022-03-10 | \n", "0.012265 | \n", "0.021393 | \n", "0.014468 | \n", "0.017002 | \n", "
2022-03-11 | \n", "0.007063 | \n", "0.001616 | \n", "0.007645 | \n", "0.007936 | \n", "
2022-03-14 | \n", "-0.022444 | \n", "-0.030809 | \n", "-0.026685 | \n", "-0.026434 | \n", "
3674 rows × 4 columns
\n", "\n", " | tradeDate | \n", "rf | \n", "mktret | \n", "exmktret | \n", "
---|---|---|---|---|
0 | \n", "2007-01-04 | \n", "0.000039 | \n", "0.009605 | \n", "0.009566 | \n", "
1 | \n", "2007-01-05 | \n", "0.000038 | \n", "0.008121 | \n", "0.008083 | \n", "
2 | \n", "2007-01-08 | \n", "0.000038 | \n", "0.032249 | \n", "0.032211 | \n", "
3 | \n", "2007-01-09 | \n", "0.000037 | \n", "0.029767 | \n", "0.029730 | \n", "
4 | \n", "2007-01-10 | \n", "0.000037 | \n", "0.025520 | \n", "0.025483 | \n", "
5 | \n", "2007-01-11 | \n", "0.000037 | \n", "-0.007034 | \n", "-0.007071 | \n", "
6 | \n", "2007-01-12 | \n", "0.000036 | \n", "-0.028233 | \n", "-0.028269 | \n", "
7 | \n", "2007-01-15 | \n", "0.000036 | \n", "0.053024 | \n", "0.052988 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
3687 | \n", "2022-03-04 | \n", "0.000052 | \n", "-0.011156 | \n", "-0.011208 | \n", "
3688 | \n", "2022-03-07 | \n", "0.000056 | \n", "-0.029342 | \n", "-0.029398 | \n", "
3689 | \n", "2022-03-08 | \n", "0.000056 | \n", "-0.023603 | \n", "-0.023659 | \n", "
3690 | \n", "2022-03-09 | \n", "0.000055 | \n", "-0.011621 | \n", "-0.011676 | \n", "
3691 | \n", "2022-03-10 | \n", "0.000055 | \n", "0.016119 | \n", "0.016064 | \n", "
3692 | \n", "2022-03-11 | \n", "0.000056 | \n", "0.004642 | \n", "0.004586 | \n", "
3693 | \n", "2022-03-14 | \n", "0.000057 | \n", "-0.028821 | \n", "-0.028878 | \n", "
3694 | \n", "2022-03-15 | \n", "0.000057 | \n", "-0.048404 | \n", "-0.048461 | \n", "
3695 rows × 4 columns
\n", "\n", " | rf | \n", "exmktret | \n", "size_long | \n", "bm_long | \n", "mom_long | \n", "rev_long | \n", "
---|---|---|---|---|---|---|
tradeDate | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2007-02-01 | \n", "0.000048 | \n", "0.005542 | \n", "0.008327 | \n", "0.013041 | \n", "NaN | \n", "NaN | \n", "
2007-02-02 | \n", "0.000048 | \n", "-0.035335 | \n", "-0.015797 | \n", "-0.018846 | \n", "NaN | \n", "NaN | \n", "
2007-02-05 | \n", "0.000048 | \n", "-0.005993 | \n", "0.015023 | \n", "0.009846 | \n", "NaN | \n", "NaN | \n", "
2007-02-06 | \n", "0.000049 | \n", "0.019879 | \n", "0.028548 | \n", "0.028806 | \n", "NaN | \n", "NaN | \n", "
2007-02-07 | \n", "0.000050 | \n", "0.021923 | \n", "0.013623 | \n", "0.013814 | \n", "NaN | \n", "NaN | \n", "
2007-02-08 | \n", "0.000052 | \n", "0.017380 | \n", "0.018609 | \n", "0.020907 | \n", "NaN | \n", "NaN | \n", "
2007-02-09 | \n", "0.000076 | \n", "-0.003355 | \n", "0.000746 | \n", "-0.001954 | \n", "NaN | \n", "NaN | \n", "
2007-02-12 | \n", "0.000110 | \n", "0.033455 | \n", "0.023732 | \n", "0.025847 | \n", "NaN | \n", "NaN | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2022-03-03 | \n", "0.000047 | \n", "-0.005066 | \n", "-0.001250 | \n", "0.008643 | \n", "-0.007450 | \n", "-0.007586 | \n", "
2022-03-04 | \n", "0.000052 | \n", "-0.011208 | \n", "-0.012156 | \n", "-0.012217 | \n", "-0.014437 | \n", "-0.010430 | \n", "
2022-03-07 | \n", "0.000056 | \n", "-0.029398 | \n", "-0.011582 | \n", "-0.010252 | \n", "-0.019411 | \n", "-0.024816 | \n", "
2022-03-08 | \n", "0.000056 | \n", "-0.023659 | \n", "-0.032090 | \n", "-0.028670 | \n", "-0.030806 | \n", "-0.025437 | \n", "
2022-03-09 | \n", "0.000055 | \n", "-0.011676 | \n", "-0.012455 | \n", "-0.015098 | \n", "-0.003501 | \n", "-0.014331 | \n", "
2022-03-10 | \n", "0.000055 | \n", "0.016064 | \n", "0.017002 | \n", "0.012265 | \n", "0.021393 | \n", "0.014468 | \n", "
2022-03-11 | \n", "0.000056 | \n", "0.004586 | \n", "0.007936 | \n", "0.007063 | \n", "0.001616 | \n", "0.007645 | \n", "
2022-03-14 | \n", "0.000057 | \n", "-0.028878 | \n", "-0.026434 | \n", "-0.022444 | \n", "-0.030809 | \n", "-0.026685 | \n", "
3674 rows × 6 columns
\n", "\n", " | bm | \n", "mom | \n", "rev | \n", "size | \n", "
---|---|---|---|---|
tradeDate | \n", "\n", " | \n", " | \n", " | \n", " |
2007-02-01 | \n", "0.008284 | \n", "NaN | \n", "NaN | \n", "0.000706 | \n", "
2007-02-02 | \n", "0.011413 | \n", "NaN | \n", "NaN | \n", "0.017586 | \n", "
2007-02-05 | \n", "0.009377 | \n", "NaN | \n", "NaN | \n", "0.019517 | \n", "
2007-02-06 | \n", "0.005161 | \n", "NaN | \n", "NaN | \n", "0.007078 | \n", "
2007-02-07 | \n", "-0.003939 | \n", "NaN | \n", "NaN | \n", "-0.007519 | \n", "
2007-02-08 | \n", "0.004336 | \n", "NaN | \n", "NaN | \n", "0.000016 | \n", "
2007-02-09 | \n", "0.000447 | \n", "NaN | \n", "NaN | \n", "0.003784 | \n", "
2007-02-12 | \n", "-0.006304 | \n", "NaN | \n", "NaN | \n", "-0.009223 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2022-03-03 | \n", "0.022054 | \n", "-0.004624 | \n", "-0.007673 | \n", "0.002299 | \n", "
2022-03-04 | \n", "-0.000821 | \n", "-0.004413 | \n", "0.004745 | \n", "-0.000821 | \n", "
2022-03-07 | \n", "0.015438 | \n", "0.001816 | \n", "-0.013664 | \n", "0.014120 | \n", "
2022-03-08 | \n", "-0.004479 | \n", "-0.003553 | \n", "0.004705 | \n", "-0.006318 | \n", "
2022-03-09 | \n", "-0.008369 | \n", "0.014907 | \n", "-0.009190 | \n", "-0.000704 | \n", "
2022-03-10 | \n", "-0.008623 | \n", "0.005819 | \n", "-0.002512 | \n", "0.000360 | \n", "
2022-03-11 | \n", "0.002806 | \n", "-0.008396 | \n", "0.004471 | \n", "0.002754 | \n", "
2022-03-14 | \n", "0.008414 | \n", "-0.005398 | \n", "0.002478 | \n", "0.001063 | \n", "
3674 rows × 4 columns
\n", "\n", " | rf | \n", "exmktret | \n", "size | \n", "bm | \n", "mom | \n", "rev | \n", "
---|---|---|---|---|---|---|
tradeDate | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2007-02-01 | \n", "0.000048 | \n", "0.005542 | \n", "0.000706 | \n", "0.008284 | \n", "NaN | \n", "NaN | \n", "
2007-02-02 | \n", "0.000048 | \n", "-0.035335 | \n", "0.017586 | \n", "0.011413 | \n", "NaN | \n", "NaN | \n", "
2007-02-05 | \n", "0.000048 | \n", "-0.005993 | \n", "0.019517 | \n", "0.009377 | \n", "NaN | \n", "NaN | \n", "
2007-02-06 | \n", "0.000049 | \n", "0.019879 | \n", "0.007078 | \n", "0.005161 | \n", "NaN | \n", "NaN | \n", "
2007-02-07 | \n", "0.000050 | \n", "0.021923 | \n", "-0.007519 | \n", "-0.003939 | \n", "NaN | \n", "NaN | \n", "
2007-02-08 | \n", "0.000052 | \n", "0.017380 | \n", "0.000016 | \n", "0.004336 | \n", "NaN | \n", "NaN | \n", "
2007-02-09 | \n", "0.000076 | \n", "-0.003355 | \n", "0.003784 | \n", "0.000447 | \n", "NaN | \n", "NaN | \n", "
2007-02-12 | \n", "0.000110 | \n", "0.033455 | \n", "-0.009223 | \n", "-0.006304 | \n", "NaN | \n", "NaN | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2022-03-03 | \n", "0.000047 | \n", "-0.005066 | \n", "0.002299 | \n", "0.022054 | \n", "-0.004624 | \n", "-0.007673 | \n", "
2022-03-04 | \n", "0.000052 | \n", "-0.011208 | \n", "-0.000821 | \n", "-0.000821 | \n", "-0.004413 | \n", "0.004745 | \n", "
2022-03-07 | \n", "0.000056 | \n", "-0.029398 | \n", "0.014120 | \n", "0.015438 | \n", "0.001816 | \n", "-0.013664 | \n", "
2022-03-08 | \n", "0.000056 | \n", "-0.023659 | \n", "-0.006318 | \n", "-0.004479 | \n", "-0.003553 | \n", "0.004705 | \n", "
2022-03-09 | \n", "0.000055 | \n", "-0.011676 | \n", "-0.000704 | \n", "-0.008369 | \n", "0.014907 | \n", "-0.009190 | \n", "
2022-03-10 | \n", "0.000055 | \n", "0.016064 | \n", "0.000360 | \n", "-0.008623 | \n", "0.005819 | \n", "-0.002512 | \n", "
2022-03-11 | \n", "0.000056 | \n", "0.004586 | \n", "0.002754 | \n", "0.002806 | \n", "-0.008396 | \n", "0.004471 | \n", "
2022-03-14 | \n", "0.000057 | \n", "-0.028878 | \n", "0.001063 | \n", "0.008414 | \n", "-0.005398 | \n", "0.002478 | \n", "
3674 rows × 6 columns
\n", "