portfolioFactory: a simple Python package to build cross-sectional equity portfolios

What is it

portfolioFactory is a Python package that streamlines the process for constructing asset pricing factors. Built on top of Pandas, this package builds portfolios based on user supplied signals and trading rules. See strategy class documentation for more details.

Main Features

Here are just a few of the things that portfolioFactory does well:

• Construction of asset pricing factors e.g. cross-sectional momentum portfolios

• Calculating risk and return metrics

• Plotting

Where to get it

Here

Dependencies

• NumPy: 1.7.0 or higher
• SciPy: miscellaneous statistical functions
• matplotlib: for plotting
• Pandas: 0.15.1
• [TkInter] (http://tkinter.unpythonic.net/wiki/How_to_install_Tkinter): User Interface

Highly Recommended Dependencies

• Seaborn
  • Needed to for pretty plots
  • Required for plotting module

License

MIT

Documentation

See example ipython notebooks in /Examples

Background

Final Project for ___