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test_statsmodels.py
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import os
import pandas as pd
import numpy as np
from pandas import DataFrame
import statsmodels.api as sm
import statsmodels.formula.api as smf
# read data
def read_data():
test = pd.read_excel('Fund of Funds-US Equity.xlsx')
fffactor= pd.read_excel('FactorReturn.xlsx')
newfactor= pd.read_excel('Russell Factor Returns 84 to 16.xlsx')
raw_cpi = pd.read_csv('CPI.csv')
return test, fffactor, newfactor, raw_cpi
# create Fama-French factor
def create_ff(fffactor, newfactor):
fffactor = fffactor[fffactor.columns[:-1]]
newfactor['yymm'] = newfactor['yymm'] // 100
newfactor[newfactor.columns[1:3]] = newfactor[newfactor.columns[1:3]] * 100
merged = pd.merge(fffactor, newfactor)
return merged
# create cpi
def create_cpi(raw_cpi):
raw_cpi = raw_cpi[raw_cpi.columns[:-2]]
cpi = DataFrame(columns=('yymm', 'cpi'))
for i in range(0, raw_cpi.shape[0]):
year = raw_cpi.iloc[i,0]
for j in range(1,13):
cpi_value = raw_cpi.iloc[i,j]
month = j
yymm = year * 100 + month
cpi.loc[i*12 + (j-1)] = [yymm, cpi_value]
cpi['yymm'] = cpi['yymm'].astype(np.int32)
cpi['cpi'] = cpi['cpi'] / 202.6
cpi = cpi.dropna()
return cpi
# create test data
def make_yymm(start_year,start_month,end_year,end_month):
yymm = []
year = start_year
month = start_month
while (year < end_year) or (year == end_year and month <= end_month):
yymm.append(year * 100 + month)
if month == 12:
year = year + 1
month = 1
else:
month += 1
return yymm
def extract_data(row, yymm):
fundname = row[0]
monthly_return = row[34:347]
d = {'yymm': yymm, 'mret':monthly_return}
fund = pd.DataFrame(d)
return fundname, fund
def create_test_data(fund, merged):
test_data = pd.merge(merged,fund)
test_data = test_data.dropna()
test_data['mret'] = test_data['mret'].astype(np.float64)
return test_data
def fit_ff3(data):
lm = smf.ols(formula='mret ~ Rm3_Rf + SMB3 + HML3', data=data).fit()
intercept = lm.params[0]
r2 = lm.rsquared_adj
return intercept, r2
def fit_ff4(data):
lm = smf.ols(formula='mret ~ Rm3_Rf + Small_Mid + Mid_Large + HML3', data=data).fit()
intercept = lm.params[0]
r2 = lm.rsquared_adj
return intercept, r2
def fit_ff5(data):
lm = smf.ols(formula='mret ~ Mkt5_RF + SMB5 + HML5 + RMW5 + CMA5', data=data).fit()
intercept = lm.params[0]
r2 = lm.rsquared_adj
return intercept, r2
def fit_ff6(data):
lm = smf.ols(formula='mret ~ Mkt5_RF + Small_Mid + Mid_Large + HML5 + RMW5 + CMA5', data=data).fit()
intercept = lm.params[0]
r2 = lm.rsquared_adj
return intercept, r2
def output(test, merged):
yymm = make_yymm(1990,6,2016,6)
w = open('result.csv', 'w+')
for i in range(0, test.shape[0]):
fundname, fund = extract_data(test.loc[i], yymm)
w.write(fundname.encode('utf-8'))
w.write('\n')
test_data = create_test_data(fund, merged)
intercept,r2 = fit_ff3(test_data)
w.write('Three Factor, %s, %s\n' %(intercept, r2))
intercept, r2 = fit_ff4(test_data)
w.write('Four Factor, %s, %s\n' %(intercept, r2))
intercept, r2 = fit_ff5(test_data)
w.write('Five Factor, %s, %s\n' %(intercept, r2))
intercept, r2 = fit_ff6(test_data)
w.write('Six Factor, %s, %s\n' %(intercept, r2))
w.write('\n')
w.close()
def rename(merged):
merged.rename(columns={'Rm3-Rf': 'Rm3_Rf', 'Mkt5-RF':'Mkt5_RF','Small-Mid':'Small_Mid','Mid-Large' : 'Mid_Large'}, inplace=True)
return merged
def main():
test, fffactor, newfactor, raw_cpi = read_data()
merged = create_ff(fffactor, newfactor)
merged = rename(merged)
output(test, merged)
if __name__ == '__main__':
main()