quant.barra¶
基类¶
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class
quant.barra.factors.Descriptor[源代码]¶ Methods
B2Pquant.barra.factors.book_to_price.BToP的别名BLEVBook leverage Betaquant.barra.factors.beta.BetaDescriptor的别名CETOPquant.barra.factors.earnings_yield.CEToP的别名CMRA()Cumulative range DASTD()Daily standard deviation DTOAquant.barra.factors.leverage.DToA的别名EGRLFLong-term predicted earnings growth EGROEarnings growth (trailing five years) EGRSFShort-term predicted earnings growth EPFWDPredicted earnings-to-price ratio ETOPquant.barra.factors.earnings_yield.EToP的别名HSigma()Historical sigma LDLong-term debt LnCapNatural log of market cap MLEVMarket leverage NLSizeCube of Size RSTRRelative strength STOA()Share turnover, trailing 12 months STOM()Share turnover, one month STOQ()Share turnover, trailing 3 months get_raw_value()返回原始值。需重载此方法 get_zscore()返回zscore register(name)注册一个Descriptor，注册以后可以通过Descriptor.xxx来引用这个类
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class
quant.barra.factors.Factor(name, descriptors, weights, disentangle=None)[源代码]¶ Methods
get_exposures([fillna])返回每只股票每天在该因子上的暴露 get_factors()返回所有已注册的因子
Descriptor¶
Beta¶
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class
quant.barra.factors.beta.BetaDescriptor¶ Beta
Computed as the slope coefficient in a time-series regression of excess stock return, \(r_t - r_{ft}\), against the cap-weighted excess return of the estimation universe \(R_t\),
\[r_t-r_{ft} = \alpha + \beta R_t + e_t\]The regression coefficients are estimated over the trailing 252 trading days of returns with a half-life of 63 trading days.
RSTR¶
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class
quant.barra.factors.momentum.RSTR¶ Relative strength
Computed as the sum of excess log returns over the trailing T = 504 trading days with a lag of L=21 tradingdays,
\[RSTR = \Sigma_{t=L}^{T+L}w_t[ln(1+r_t)-ln(1+r_{ft})]\]where \(r_t\) is the stock return on day t, \(r_{ft}\) is the risk-free return, and \(w_t\) is an exponential weight with a half-life of 126 trading days.
LnCap¶
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class
quant.barra.factors.size.LnCap¶ Natural log of market cap
Given by the logarithm of the total market capitalization of the firm.
BToP¶
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class
quant.barra.factors.book_to_price.B2P¶ Book-to-price ratio
Last reported book value of common equity divided by current market capitalization.
EPFWD¶
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class
quant.barra.factors.earnings_yield.EPFWD¶ Predicted earnings-to-price ratio
Given by the 12-month forward-looking earnings divided by the current market capitalization. Forward-looking earnings are defined as a weighted average between the average analyst-predicted earnings for the current and next fiscal years.
CEToP¶
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class
quant.barra.factors.earnings_yield.CEToP¶ Cash earnings-to-price ratio
Given by the trailing 12-month cash earnings divided by current price.
EToP¶
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class
quant.barra.factors.earnings_yield.EToP¶ Trailing earnings-to-price ratio
Given by the trailing 12-month earnings divided by the current market capitalization. Trailing earnings are defined as the last reported fiscal-year earnings plus the difference between current interim figure and the comparative interim figure from the previous year.
EGRLF¶
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class
quant.barra.factors.growth.EGRLF¶ Long-term predicted earnings growth
Long-term (3-5 years) earnings growth forecasted by analysts.
EGRSF¶
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class
quant.barra.factors.growth.EGSRLF¶ Short-term predicted earnings growth
Short-term (1 year) earnings growth forecasted by analysts.
EGRO¶
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class
quant.barra.factors.growth.EGSRO¶ Earnings growth (trailing five years)
Annual reported earnings per share are regressed against time over the past five fiscal years. The slope coefficient is then divided by the average annual earnings per share to obtain the earnings growth.
MLEV¶
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class
quant.barra.factors.leverage.MLEV¶ Market leverage
Computed as MLEV = (ME + PE + LD) / ME where ME is the market value of common equity on the last trading day, PE is the most recent book value of preferred equity, and LD is the most recent book value of long-term debt.
BLEV¶
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class
quant.barra.factors.leverage.BLEV¶ Book leverage
Computed as BLEV = (BE + PE + LD) / ME where BE is the book value of common equity on the last trading day, PE is the most recent book value of preferred equity, and LD is the most recent book value of long-term debt.
DToA¶
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class
quant.barra.factors.leverage.DToA¶ Debt-to-assets
Computed as
\[DTOA = TD / TA\]where TD is the book value of total debt (long-term debt and current liabilities), and TA is most recent book value of total assets.
STOM¶
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class
quant.barra.factors.liquidity.STOM¶ Share turnover, one month
Computed as the log of the sum of daily turnover during the previous 21 trading days,
\[STOM = ln[\Sigma_{t=1}^{21}\frac{V_t}{S_t}]\]where Vt is the trading volume on day t , and St is the number of shares outstanding.
STOQ¶
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class
quant.barra.factors.liquidity.STOQ¶ Share turnover, trailing 3 months
Let STOM_t be the share turnover for month t , with each month consisting of 21 trading days. The quarterly share turnover is defined by
\[STOQ = ln[\frac{1}{T}\Sigma_{t=1}{T}exp\{STOM_t\}]\]where T = 3 months.
STOA¶
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class
quant.barra.factors.liquidity.STOA¶ Share turnover, trailing 12 months
Let STOM_t be the share turnover for month t , with each month consisting of 21 trading days. The quarterly share turnover is defined by
\[STOQ = ln[\frac{1}{T}\Sigma_{t=1}{T}exp\{STOM_t\}]\]where T = 12 months.