Data Glimpses Report#
Total files: 124
Summary of Datasets by Task#
Determine Available Datasets#
Format#
Format: Basis Tips Treas#
Format: Basis Treas Sf#
Format: Basis Treas Swap#
Format: Cds Bond Basis#
Format: Cds Returns#
Format: Cip#
Format: Commodities#
Format: Corp Bond Returns#
Format: Fed Yield Curve#
Format: Foreign Exchange#
Format: He Kelly Manela#
Format: Ken French Data Library#
Format: Nyu Call Report#
Format: Options#
Format: Portfolios#
Format: Summary Basis Tips Treas Ipynb#
Format: Summary Basis Treas Sf Ipynb#
Format: Us Treasury Returns#
Format: Wrds Crsp Compustat#
Organize Ftsfr Datasets#
Pull#
Pull: Basis Tips Treas#
Pull: Basis Treas Sf#
Pull: Cds Bond Basis#
Pull: Cds Returns#
Pull: Corp Bond Returns#
Pull: Fed Yield Curve#
Pull: Foreign Exchange#
Pull: He Kelly Manela#
Pull: Ken French Data Library#
Pull: Nyu Call Report#
Pull: Options#
Pull: Us Treasury Returns#
Pull: Wrds Crsp Compustat#
fed_tips_yield_curve.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_tips_treas/fed_tips_yield_curve.parquet
Size: 6.3 MB | Type: Parquet | Shape: 6,965 rows × 127 columns
Columns#
Date String
BETA0 Float64 (4.2% null)
BETA1 Float64 (4.2% null)
BETA2 Float64 (4.2% null)
BETA3 Float64 (22.1% null)
BKEVEN02 Float64 (4.2% null)
BKEVEN03 Float64 (4.2% null)
BKEVEN04 Float64 (4.2% null)
BKEVEN05 Float64 (4.2% null)
BKEVEN06 Float64 (4.2% null)
BKEVEN07 Float64 (4.2% null)
BKEVEN08 Float64 (4.2% null)
BKEVEN09 Float64 (4.2% null)
BKEVEN10 Float64 (4.2% null)
BKEVEN11 Float64 (4.2% null)
BKEVEN12 Float64 (4.2% null)
BKEVEN13 Float64 (4.2% null)
BKEVEN14 Float64 (4.2% null)
BKEVEN15 Float64 (4.2% null)
BKEVEN16 Float64 (4.2% null)
BKEVEN17 Float64 (4.2% null)
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BKEVEN19 Float64 (4.2% null)
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BKEVEN1F9 Float64 (4.2% null)
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BKEVENF03 Float64 (4.3% null)
BKEVENF04 Float64 (4.3% null)
BKEVENF05 Float64 (4.3% null)
BKEVENF06 Float64 (4.3% null)
BKEVENF07 Float64 (4.3% null)
BKEVENF08 Float64 (4.3% null)
BKEVENF09 Float64 (4.3% null)
BKEVENF10 Float64 (4.3% null)
BKEVENF11 Float64 (4.3% null)
BKEVENF12 Float64 (4.3% null)
BKEVENF13 Float64 (4.3% null)
BKEVENF14 Float64 (4.3% null)
BKEVENF15 Float64 (4.3% null)
BKEVENF16 Float64 (4.3% null)
BKEVENF17 Float64 (4.3% null)
BKEVENF18 Float64 (4.3% null)
BKEVENF19 Float64 (4.3% null)
BKEVENF20 Float64 (4.3% null)
BKEVENPY02 Float64 (4.2% null)
BKEVENPY03 Float64 (4.2% null)
BKEVENPY04 Float64 (4.2% null)
BKEVENPY05 Float64 (4.2% null)
BKEVENPY06 Float64 (4.2% null)
BKEVENPY07 Float64 (4.2% null)
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BKEVENPY12 Float64 (4.2% null)
BKEVENPY13 Float64 (4.2% null)
BKEVENPY14 Float64 (4.2% null)
BKEVENPY15 Float64 (4.2% null)
BKEVENPY16 Float64 (4.2% null)
BKEVENPY17 Float64 (4.2% null)
BKEVENPY18 Float64 (4.2% null)
BKEVENPY19 Float64 (4.2% null)
BKEVENPY20 Float64 (4.2% null)
TAU1 Float64 (4.2% null)
TAU2 Float64 (22.1% null)
TIPS1F04 Float64 (4.2% null)
TIPS1F09 Float64 (4.2% null)
TIPS5F5 Float64 (4.2% null)
TIPSF02 Float64 (4.2% null)
TIPSF03 Float64 (4.2% null)
TIPSF04 Float64 (4.2% null)
TIPSF05 Float64 (4.2% null)
TIPSF06 Float64 (4.2% null)
TIPSF07 Float64 (4.2% null)
TIPSF08 Float64 (4.2% null)
TIPSF09 Float64 (4.2% null)
TIPSF10 Float64 (4.2% null)
TIPSF11 Float64 (4.2% null)
TIPSF12 Float64 (4.2% null)
TIPSF13 Float64 (4.2% null)
TIPSF14 Float64 (4.2% null)
TIPSF15 Float64 (4.2% null)
TIPSF16 Float64 (4.2% null)
TIPSF17 Float64 (4.2% null)
TIPSF18 Float64 (4.2% null)
TIPSF19 Float64 (4.2% null)
TIPSF20 Float64 (4.2% null)
TIPSPY02 Float64 (4.2% null)
TIPSPY03 Float64 (4.2% null)
TIPSPY04 Float64 (4.2% null)
TIPSPY05 Float64 (4.2% null)
TIPSPY06 Float64 (4.2% null)
TIPSPY07 Float64 (4.2% null)
TIPSPY08 Float64 (4.2% null)
TIPSPY09 Float64 (4.2% null)
TIPSPY10 Float64 (4.2% null)
TIPSPY11 Float64 (4.2% null)
TIPSPY12 Float64 (4.2% null)
TIPSPY13 Float64 (4.2% null)
TIPSPY14 Float64 (4.2% null)
TIPSPY15 Float64 (4.2% null)
TIPSPY16 Float64 (4.2% null)
TIPSPY17 Float64 (4.2% null)
TIPSPY18 Float64 (4.2% null)
TIPSPY19 Float64 (4.2% null)
TIPSPY20 Float64 (4.2% null)
TIPSY02 Float64 (4.2% null)
TIPSY03 Float64 (4.2% null)
TIPSY04 Float64 (4.2% null)
TIPSY05 Float64 (4.2% null)
TIPSY06 Float64 (4.2% null)
TIPSY07 Float64 (4.2% null)
TIPSY08 Float64 (4.2% null)
TIPSY09 Float64 (4.2% null)
TIPSY10 Float64 (4.2% null)
TIPSY11 Float64 (4.2% null)
TIPSY12 Float64 (4.2% null)
TIPSY13 Float64 (4.2% null)
TIPSY14 Float64 (4.2% null)
TIPSY15 Float64 (4.2% null)
TIPSY16 Float64 (4.2% null)
TIPSY17 Float64 (4.2% null)
TIPSY18 Float64 (4.2% null)
TIPSY19 Float64 (4.2% null)
TIPSY20 Float64 (4.2% null)
Numeric Column Statistics#
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fed_yield_curve.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_tips_treas/fed_yield_curve.parquet
Size: 3.2 MB | Type: Parquet | Shape: 16,763 rows × 31 columns
Columns#
SVENY01 Float64 (4.4% null)
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Date Datetime(time_unit='ns', time_zone=None)
Numeric Column Statistics#
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Date/Datetime Column Statistics#
Date: min=1961-06-14 00:00:00, max=2025-09-12 00:00:00
fed_yield_curve_all.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_tips_treas/fed_yield_curve_all.parquet
Size: 10.5 MB | Type: Parquet | Shape: 16,763 rows × 100 columns
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Numeric Column Statistics#
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Date/Datetime Column Statistics#
Date: min=1961-06-14 00:00:00, max=2025-09-12 00:00:00
ftsfr_tips_treasury_basis.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_tips_treas/ftsfr_tips_treasury_basis.parquet
Size: 206374 bytes | Type: Parquet | Shape: 20,647 rows × 3 columns
Columns#
unique_id String
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Numeric Column Statistics#
y: min=-28.952341619528084, max=243.18891701256675, mean=24.87, median=23.50302543169036
Date/Datetime Column Statistics#
ds: min=2004-07-21 00:00:00, max=2025-05-30 00:00:00
tips_treasury_implied_rf.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_tips_treas/tips_treasury_implied_rf.parquet
Size: 855688 bytes | Type: Parquet | Shape: 5,200 rows × 18 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
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Numeric Column Statistics#
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tips_treas_5_rf: min=43.66937736517862, max=574.5605706321854, mean=272.10, median=241.56177295639014
tips_treas_10_rf: min=81.77704378376838, max=582.7461515586863, mean=338.18, median=321.0081589292013
tips_treas_20_rf: min=116.95970901411279, max=594.0780835704351, mean=388.40, median=388.0688818115641
arb_2: min=-28.952341619528084, max=243.18891701256675, mean=23.38, median=23.127634575539325
arb_5: min=-7.086250145815761, max=219.56192908374697, mean=26.23, median=21.88233454036623
arb_10: min=-3.049018262588646, max=127.98939558761543, mean=25.62, median=25.00628841421991
arb_20: min=-11.364389504180451, max=107.89091443820894, mean=24.23, median=23.928877987353644
__index_level_0__: min=0, max=5397, mean=2705.63, median=2707.5
Date/Datetime Column Statistics#
date: min=2004-07-21 00:00:00, max=2025-05-30 00:00:00
ftsfr_treasury_sf_basis.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_treas_sf/ftsfr_treasury_sf_basis.parquet
Size: 175432 bytes | Type: Parquet | Shape: 24,537 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='us', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-420.7967777777778, max=288.82433333333336, mean=-23.23, median=-10.56133333333333
Date/Datetime Column Statistics#
ds: min=2004-06-23 00:00:00, max=2025-01-08 00:00:00
last_day.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_treas_sf/last_day.parquet
Size: 5891 bytes | Type: Parquet | Shape: 305 rows × 4 columns
Columns#
Date Datetime(time_unit='ns', time_zone=None)
Mat_Month Int32
Mat_Year Int32
Mat_Day Int32
Numeric Column Statistics#
Mat_Month: min=1, max=12, mean=6.44, median=6.0
Mat_Year: min=2000, max=2025, mean=2012.21, median=2012.0
Mat_Day: min=26, max=31, mean=29.98, median=30.0
Date/Datetime Column Statistics#
Date: min=2000-01-31 00:00:00, max=2025-05-30 00:00:00
ois.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_treas_sf/ois.parquet
Size: 161711 bytes | Type: Parquet | Shape: 6,129 rows × 7 columns
Columns#
Date Datetime(time_unit='ns', time_zone=None)
USSO1Z CMPN Curncy Float64 (0.4% null)
USSOA CMPN Curncy Float64 (0.3% null)
USSOB CMPN Curncy Float64 (0.3% null)
USSOC CMPN Curncy Float64 (0.3% null)
USSOF CMPN Curncy Float64 (0.3% null)
USSO1 CMPN Curncy Float64 (0.0% null)
Numeric Column Statistics#
USSO1Z CMPN Curncy: min=0.033, max=5.346, mean=1.70, median=1.015
USSOA CMPN Curncy: min=0.0443, max=5.36601, mean=1.71, median=1.014
USSOB CMPN Curncy: min=0.03805, max=5.4, mean=1.72, median=1.0601
USSOC CMPN Curncy: min=0.04302, max=5.4432, mean=1.74, median=1.10675
USSOF CMPN Curncy: min=0.0352, max=5.549, mean=1.78, median=1.126
USSO1 CMPN Curncy: min=0.00967, max=5.674, mean=1.86, median=1.2676500000000002
Date/Datetime Column Statistics#
Date: min=2001-12-04 00:00:00, max=2025-05-30 00:00:00
treasury_df.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_treas_sf/treasury_df.parquet
Size: 1.1 MB | Type: Parquet | Shape: 29,590 rows × 10 columns
Columns#
Date Date
Implied_Repo_1 Float64 (16.3% null)
Vol_1 Float64 (0.1% null)
Price_1 Float64 (0.4% null)
Contract_1 String (0.4% null)
Implied_Repo_2 Float64 (15.3% null)
Vol_2 Float64 (0.1% null)
Price_2 Float64 (0.7% null)
Contract_2 String (0.4% null)
Tenor Int64
Numeric Column Statistics#
Implied_Repo_1: min=-96.10458, max=98.16536, mean=1.25, median=0.486625
Vol_1: min=11.0, max=12090942.0, mean=606580.80, median=363511.0
Price_1: min=89.21875, max=231.59375, mean=122.96, median=115.9375
Implied_Repo_2: min=-3.93219, max=6.32357, mean=1.51, median=0.64836
Vol_2: min=11.0, max=12090942.0, mean=606580.80, median=363511.0
Price_2: min=88.875, max=234.59375, mean=122.53, median=115.203125
Tenor: min=2, max=30, mean=11.98, median=10.0
Date/Datetime Column Statistics#
Date: min=2000-01-03, max=2025-05-30
treasury_sf_output.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_treas_sf/treasury_sf_output.parquet
Size: 281594 bytes | Type: Parquet | Shape: 5,293 rows × 6 columns
Columns#
Date Datetime(time_unit='ns', time_zone=None)
Treasury_SF_2Y Float64 (1.9% null)
Treasury_SF_5Y Float64 (1.9% null)
Treasury_SF_10Y Float64 (2.0% null)
Treasury_SF_20Y Float64 (2.0% null)
Treasury_SF_30Y Float64 (28.5% null)
Numeric Column Statistics#
Treasury_SF_2Y: min=-262.78444444444443, max=93.93794444444444, mean=-30.03, median=-13.448055555555555
Treasury_SF_5Y: min=-420.7967777777778, max=93.78933333333333, mean=-14.31, median=-3.1962500000000107
Treasury_SF_10Y: min=-342.71733333333333, max=101.7593333333333, mean=-28.54, median=-13.473555555555555
Treasury_SF_20Y: min=-225.04444444444445, max=288.82433333333336, mean=-23.07, median=-17.873666666666665
Treasury_SF_30Y: min=-399.74514444444446, max=224.84833333333336, mean=-19.10, median=-1.7092777777777712
Date/Datetime Column Statistics#
Date: min=2004-06-23 00:00:00, max=2025-05-30 00:00:00
ftsfr_treasury_swap_basis.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_treas_swap/ftsfr_treasury_swap_basis.parquet
Size: 169214 bytes | Type: Parquet | Shape: 32,022 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='us', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-105.0, max=87.79999999999997, mean=-12.67, median=-10.899999999999999
Date/Datetime Column Statistics#
ds: min=2001-12-20 00:00:00, max=2025-08-11 00:00:00
swap_spreads.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/basis_treas_swap/swap_spreads.parquet
Size: 362564 bytes | Type: Parquet | Shape: 6,177 rows × 15 columns
Columns#
Arb_Swap_1 Float64 (27.4% null)
Arb_Swap_2 Float64 (0.2% null)
Arb_Swap_3 Float64 (5.0% null)
Arb_Swap_5 Float64 (1.0% null)
Arb_Swap_10 Float64 (28.4% null)
Arb_Swap_20 Float64 (78.1% null)
Arb_Swap_30 Float64 (41.4% null)
tswap_1_rf Float64
tswap_2_rf Float64 (0.2% null)
tswap_3_rf Float64 (1.0% null)
tswap_5_rf Float64 (1.0% null)
tswap_10_rf Float64 (28.3% null)
tswap_20_rf Float64 (41.5% null)
tswap_30_rf Float64 (41.4% null)
__index_level_0__ Date
Numeric Column Statistics#
Arb_Swap_1: min=-46.150000000000006, max=38.119999999999976, mean=-0.64, median=-0.449999999999999
Arb_Swap_2: min=-34.94999999999999, max=63.9, mean=2.52, median=-1.7000000000000002
Arb_Swap_3: min=-48.63999999999997, max=87.79999999999997, mean=0.22, median=-6.000000000000005
Arb_Swap_5: min=-51.85000000000004, max=85.50000000000004, mean=-1.56, median=-9.599999999999998
Arb_Swap_10: min=-66.135, max=37.400000000000055, mean=-25.58, median=-23.0
Arb_Swap_20: min=-99.10900000000002, max=-28.800000000000004, mean=-61.43, median=-65.39999999999999
Arb_Swap_30: min=-105.0, max=-23.99999999999998, mean=-59.10, median=-55.2
tswap_1_rf: min=0.967, max=567.4000000000001, mean=187.34, median=127.4
tswap_2_rf: min=-1.5, max=564.75, mean=202.14, median=156.15
tswap_3_rf: min=-2.0, max=564.15, mean=218.12, median=177.4
tswap_5_rf: min=3.5000000000000004, max=566.6, mean=250.32, median=235.1
tswap_10_rf: min=28.999999999999996, max=460.56, mean=237.04, median=233.2
tswap_20_rf: min=48.1, max=456.36, mean=247.54, median=241.35
tswap_30_rf: min=43.2, max=433.7, mean=248.36, median=247.725
Date/Datetime Column Statistics#
__index_level_0__: min=2001-12-04, max=2025-08-11
Final_data.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/Final_data.parquet
Size: 18.7 MB | Type: Parquet | Shape: 653,337 rows × 9 columns
Columns#
cusip String
date Datetime(time_unit='ns', time_zone=None)
mat_days Float64 (5.4% null)
BOND_YIELD Float64 (9.7% null)
CS Float64 (9.7% null)
size_ig Float64 (5.4% null)
size_jk Float64 (5.4% null)
par_spread Float64 (5.4% null)
__index_level_0__ Int64
Numeric Column Statistics#
mat_days: min=360.99999999999994, max=36525.0, mean=3796.54, median=2461.0
BOND_YIELD: min=-0.79189766622368, max=11.679347680642085, mean=0.05, median=0.041932959702704
CS: min=-0.8427172227775009, max=11.666247680642083, mean=0.02, median=0.016088111511169248
size_ig: min=0.0, max=1.0, mean=0.82, median=1.0
size_jk: min=0.0, max=1.0, mean=0.98, median=1.0
par_spread: min=-277.079498250281, max=1307.7831991672879, mean=0.06, median=0.0075582709649573716
__index_level_0__: min=39, max=1398297, mean=694242.43, median=697451.0
Date/Datetime Column Statistics#
date: min=2002-09-30 00:00:00, max=2022-09-30 00:00:00
RED_and_ISIN_mapping.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/RED_and_ISIN_mapping.parquet
Size: 239971 bytes | Type: Parquet | Shape: 10,724 rows × 5 columns
Columns#
redcode String
ticker String
obl_cusip String (27.0% null)
isin String
tier String
Red_Data.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/Red_Data.parquet
Size: 20.4 MB | Type: Parquet | Shape: 1,398,784 rows × 9 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
cusip String
issuer_cusip String
BOND_YIELD Float64 (10.5% null)
CS Float64 (10.5% null)
size_ig Float64 (5.9% null)
size_jk Float64 (5.9% null)
mat_days Float64 (5.9% null)
redcode String
Numeric Column Statistics#
BOND_YIELD: min=-0.79189766622368, max=24.42611933726512, mean=0.05, median=0.04339817806442815
CS: min=-0.8427172227775009, max=24.41471933726512, mean=0.03, median=0.01698669339834425
size_ig: min=0.0, max=1.0, mean=0.82, median=1.0
size_jk: min=0.0, max=1.0, mean=0.98, median=1.0
mat_days: min=360.99999999999994, max=36525.0, mean=3761.27, median=2479.0
Date/Datetime Column Statistics#
date: min=2002-08-31 00:00:00, max=2022-09-30 00:00:00
corporate_bond_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/corporate_bond_returns.parquet
Size: 1.2 GB | Type: Parquet | Shape: 1,859,546 rows × 140 columns
Columns#
cusip Categorical
date Datetime(time_unit='ns', time_zone=None)
issuer_cusip Categorical
permno Float64 (10.8% null)
permco Float64 (100.0% null)
gvkey Float64 (100.0% null)
144a Int8
country Categorical (0.0% null)
call Int8
ret_vw Float32 (0.0% null)
ret_vw_bgn Float32 (7.8% null)
hprd Int16
lib Float32 (15.7% null)
libd Float32 (15.7% null)
ret_type Categorical
spc_rat Int32
mdc_rat Int32
ff17num Int8
ff30num Int8
fce_val Int64
mcap_s Float32 (0.0% null)
mcap_e Float32 (0.0% null)
tret Float32 (1.8% null)
rfret Float64
dt_s Datetime(time_unit='ns', time_zone=None)
dt_e Datetime(time_unit='ns', time_zone=None)
dt_s_bgn Datetime(time_unit='ns', time_zone=None) (7.8% null)
dt_e_bgn Datetime(time_unit='ns', time_zone=None) (7.8% null)
hprd_bgn Int16 (7.8% null)
igap_bgn Int8 (7.8% null)
sig_dt Datetime(time_unit='ns', time_zone=None) (3.5% null)
sig_gap Float64 (3.5% null)
tmat Float32
age Float32
ytm Float32 (3.5% null)
cs Float32 (5.3% null)
md_dur Float32 (3.5% null)
convx Float32 (3.5% null)
bbtm Float32 (3.5% null)
sze Float32 (3.5% null)
val_hz Float32 (15.7% null)
val_hz_dts Float32 (15.7% null)
val_ipr Float32 (15.7% null)
val_ipr_dts Float32 (15.7% null)
dcs6 Float32 (17.0% null)
cs_mu12_1 Float64 (16.4% null)
pi Float64 (17.4% null)
ami Float32 (14.8% null)
ami_v Float64 (14.8% null)
lix Float32 (15.0% null)
ilq Float32 (17.4% null)
roll Float32 (17.4% null)
spd_abs Float64 (5.4% null)
spd_rel Float64 (5.4% null)
cs_sprd Float64 (11.4% null)
ar_sprd Float64 (11.4% null)
p_zro Float64 (0.9% null)
p_fht Float64 (14.8% null)
vov Float64 (14.8% null)
dvol Float64 (14.8% null)
dskew Float64 (14.8% null)
dkurt Float64 (14.8% null)
db_mkt Float64 (14.8% null)
dvol_sys Float64 (14.8% null)
dvol_idio Float64 (14.8% null)
rvol Float64 (14.8% null)
rsj Float64 (14.8% null)
rsk Float64 (14.8% null)
rkt Float64 (14.8% null)
b_vix Float64 (14.8% null)
b_dvixd Float64 (14.8% null)
b_mktrf_mkt Float64 (21.7% null)
b_mktb_mkt Float64 (21.7% null)
ivol_mkt Float64 (21.7% null)
ivol_bbw Float64 (23.8% null)
b_mktbx_dcapm Float64 (21.7% null)
b_term_dcapm Float64 (21.7% null)
b_dvix_va Float64 (22.3% null)
b_dvix_vp Float64 (22.3% null)
ivol_vp Float64 (22.3% null)
b_psb_m Float64 (23.8% null)
b_amd_m Float64 (23.8% null)
b_dvix Float64 (21.7% null)
b_cpi_vol6 Float64 (21.7% null)
b_dunc Float64 (21.7% null)
b_unc Float64 (21.7% null)
b_dunc3 Float64 (21.7% null)
b_dunc6 Float64 (21.7% null)
b_duncr Float64 (21.7% null)
b_duncf Float64 (21.7% null)
b_dcredit Float64 (21.7% null)
b_credit Float64 (21.7% null)
b_dcpi Float64 (21.7% null)
b_cptlt Float64 (20.2% null)
b_rvol Float64 (23.8% null)
b_rsj Float64 (23.8% null)
b_psb Float64 (23.8% null)
b_amd Float64 (23.8% null)
b_illiq Float64 (23.8% null)
b_dvix_dn Float64 (20.2% null)
b_dvix_up Float64 (20.2% null)
b_coskew Float64 (21.7% null)
iskew Float64 (21.7% null)
b_defb Float64 (21.7% null)
b_termb Float64 (21.7% null)
b_drf Float64 (21.7% null)
b_crf Float64 (21.7% null)
b_lrf Float64 (23.8% null)
b_mktb Float64 (21.7% null)
b_lvl Float64 (20.2% null)
b_ysp Float64 (20.2% null)
b_mktb_dn Float64 (20.2% null)
b_mktb_up Float64 (20.2% null)
b_epu Float64 (21.7% null)
b_epum Float64 (21.7% null)
b_eput Float64 (21.7% null)
sysmom3_1 Float64 (21.7% null)
sysmom6_1 Float64 (21.7% null)
sysmom12_1 Float64 (21.7% null)
idimom3_1 Float64 (21.7% null)
idimom6_1 Float64 (21.7% null)
idimom12_1 Float64 (21.7% null)
mom3_1 Float64 (3.8% null)
mom6_1 Float64 (9.7% null)
mom9_1 Float64 (15.1% null)
mom12_1 Float64 (20.2% null)
mom12_7 Float64 (20.2% null)
ltr48_12 Float64 (20.2% null)
ltr30_6 Float64 (20.2% null)
ltr24_3 Float64 (20.2% null)
imom1 Float64 (1.7% null)
imom3_1 Float64 (1.7% null)
imom12_1 Float64 (1.9% null)
iltr48_12 Float64 (1.9% null)
iltr30_6 Float64 (1.9% null)
iltr24_3 Float64 (1.9% null)
var_90 Float64 (20.2% null)
es_90 Float64 (20.2% null)
var_95 Float64 (20.2% null)
str Float32 (3.5% null)
Numeric Column Statistics#
permno: min=10025.0, max=93436.0, mean=52827.38, median=59408.0
permco: min=N/A, max=N/A, mean=N/A, median=N/A
gvkey: min=N/A, max=N/A, mean=N/A, median=N/A
144a: min=0, max=1, mean=0.11, median=0.0
call: min=0, max=1, mean=0.79, median=1.0
ret_vw: min=-0.9981083273887634, max=9.000757217407227, mean=0.00, median=0.0037167782429605722
ret_vw_bgn: min=-0.9983446598052979, max=5.195072174072266, mean=0.00, median=0.0033784452825784683
hprd: min=19, max=27, mean=21.83, median=22.0
lib: min=-0.973014771938324, max=12.419955253601074, mean=0.00, median=0.00012955942656844854
libd: min=-0.9030926823616028, max=6.2988667488098145, mean=0.00, median=0.000412673776736483
spc_rat: min=1, max=11, mean=3.28, median=1.0
mdc_rat: min=1, max=11, mean=3.41, median=1.0
ff17num: min=1, max=17, mean=13.08, median=16.0
ff30num: min=1, max=30, mean=21.87, median=23.0
fce_val: min=1, max=15000000, mean=642054.33, median=500000.0
mcap_s: min=0.0005666689830832183, max=19236.90625, mean=662.98, median=500.82421875
mcap_e: min=0.0005666689830832183, max=19236.90625, mean=661.95, median=500.2959899902344
tret: min=-0.13225233554840088, max=0.1337672770023346, mean=0.00, median=0.0013065884122624993
rfret: min=0.0, max=0.0048, mean=0.00, median=0.0007000000000000001
hprd_bgn: min=10, max=22, mean=18.95, median=19.0
igap_bgn: min=1, max=5, mean=1.50, median=1.0
sig_gap: min=1.0, max=10.0, mean=1.68, median=1.0
tmat: min=1.0019999742507935, max=100.00800323486328, mean=9.60, median=6.385000228881836
age: min=0.06023271754384041, max=90.08076477050781, mean=4.76, median=3.4113621711730957
ytm: min=-0.04614030942320824, max=2.721390962600708, mean=0.05, median=0.047989167273044586
cs: min=-0.06119731813669205, max=2.70243239402771, mean=0.03, median=0.014648811891674995
md_dur: min=0.0020000000949949026, max=31.981000900268555, mean=6.39, median=5.2210001945495605
convx: min=0.0, max=1763.532958984375, mean=79.79, median=32.972999572753906
bbtm: min=0.4797283709049225, max=10000.0, mean=1.06, median=0.9841357469558716
sze: min=0.0005786875262856483, max=19338.623046875, mean=677.21, median=507.9854736328125
val_hz: min=-0.9998649954795837, max=142.27110290527344, mean=-0.02, median=-0.08415959775447845
val_hz_dts: min=-1.613982081413269, max=141.39512634277344, mean=-0.01, median=-0.056984465569257736
val_ipr: min=-9.075562477111816, max=4.1725897789001465, mean=-0.01, median=-0.017367485910654068
val_ipr_dts: min=-8.863336563110352, max=4.067607402801514, mean=-0.01, median=-0.021380119025707245
dcs6: min=-7.619980335235596, max=9.141984939575195, mean=0.03, median=0.04934856295585632
cs_mu12_1: min=-0.024122654099483044, max=1.338869116523049, mean=0.02, median=0.015327041095588356
pi: min=-220116.11126050615, max=252451.11623131274, mean=0.09, median=-0.002887648014614448
ami: min=5.5002133194648195e-06, max=11261.7197265625, mean=0.43, median=0.03748023509979248
ami_v: min=1.898147538026151e-06, max=33781.174592976786, mean=0.84, median=0.0700974930586428
lix: min=-6.50123405456543, max=3.886056661605835, mean=-2.06, median=-2.1623404026031494
ilq: min=-1611.2640380859375, max=22880.57421875, mean=1.25, median=0.06175573915243149
roll: min=0.0, max=302.5265197753906, mean=0.99, median=0.49701404571533203
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spd_rel: min=-1.3269233892484076, max=1.5555555555555556, mean=0.01, median=0.0038568535239435478
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dkurt: min=-2.3042875238492657, max=14.707639232780267, mean=-0.48, median=-0.7352938805202567
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dvol_sys: min=9.880121329243227e-10, max=1.137658235596538, mean=0.00, median=0.0020537248509415436
dvol_idio: min=6.600825984144691e-05, max=1.8055832418167057, mean=0.01, median=0.00501586906796703
rvol: min=0.0002391533418205396, max=6.333745516324725, mean=0.03, median=0.022569586954749338
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rkt: min=1.001834093620052, max=21.349185152078885, mean=3.04, median=2.7021762537580702
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b_dvixd: min=-215.11658561764497, max=390.61722381838985, mean=-0.11, median=-0.046471023094628194
b_mktrf_mkt: min=-85.58295968818375, max=13.473917571284812, mean=0.01, median=-0.039641704556200676
b_mktb_mkt: min=-14.405918400980934, max=170.39430558616135, mean=1.12, median=0.9521306507907795
ivol_mkt: min=0.0003569400869152177, max=6.910424133267597, mean=0.02, median=0.015369921510589715
ivol_bbw: min=0.00034410968306700703, max=4.110724649433245, mean=0.02, median=0.013472404310933859
b_mktbx_dcapm: min=-20.92293193492868, max=127.0479098491878, mean=1.18, median=0.8803630729633298
b_term_dcapm: min=-205.3212790837008, max=48.87627924179838, mean=1.05, median=0.9483883714164307
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b_dvix_vp: min=-365.20180613955307, max=186.22502053076602, mean=-0.56, median=-0.2739403143781042
ivol_vp: min=0.00038744069537006043, max=4.173845563328997, mean=0.03, median=0.020321889118026588
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b_dvix: min=-293.1417391008838, max=188.6230664168538, mean=-0.02, median=0.01078308664960558
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b_dunc: min=-159.18943550544117, max=38.913764139392114, mean=-0.02, median=0.007105239990899664
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b_duncr: min=-108.1913350914576, max=82.55265467583655, mean=-0.01, median=0.016140191538525406
b_duncf: min=-87.19789808710185, max=17.615900440881113, mean=-0.01, median=0.010068991217926669
b_dcredit: min=-177.7817410442719, max=72.45623255601421, mean=-0.13, median=0.036373391575193995
b_credit: min=-56.86551689920585, max=128.8614372316075, mean=0.02, median=0.03269527246560874
b_dcpi: min=-6.364872059270202, max=0.6653882756087045, mean=-0.00, median=-0.00037267885651232844
b_cptlt: min=-53.35294165107803, max=10.543988409133894, mean=-0.00, median=-0.02734132735010685
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b_amd: min=-5.607574161549745, max=6.471978741334538, mean=-0.01, median=0.00019521553646572362
b_illiq: min=-1.6662071942572245, max=2.0464688896926604, mean=-0.00, median=-1.5152214288905028e-06
b_dvix_dn: min=-268.3492061307264, max=237.64591845017165, mean=-0.12, median=-0.03940212067880317
b_dvix_up: min=-310.8153707313046, max=738.3689260345268, mean=-0.06, median=-0.0944107701869242
b_coskew: min=-2186.2498021535766, max=6214.0782117769995, mean=-0.14, median=-0.24519657383883656
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b_crf: min=-11.888600458649844, max=80.01716129874758, mean=0.04, median=-0.04374332697487936
b_lrf: min=-31.327649363665977, max=156.0292483182653, mean=1.30, median=0.910468961715085
b_mktb: min=-20.568083008187894, max=87.76094417232656, mean=1.13, median=0.9432266946705217
b_lvl: min=-576.3479212264855, max=104.35858530013812, mean=-0.89, median=-0.46287165060533375
b_ysp: min=-297.94888173718516, max=434.52592674986613, mean=-0.89, median=-0.7171007231786972
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b_mktb_up: min=-47.250916018969754, max=187.78408429570902, mean=1.15, median=0.890312773169611
b_epu: min=-21.19472055175888, max=110.38191252913546, mean=-0.01, median=-0.0015436846646421272
b_epum: min=-19.004805323455475, max=15.404934164416341, mean=-0.01, median=0.005876901459016893
b_eput: min=-15.169183198094766, max=63.0141346502362, mean=-0.01, median=-0.005979063460477949
sysmom3_1: min=-2.4602093772536393, max=4.415956272554328, mean=0.01, median=0.009205217615070397
sysmom6_1: min=-1.8219240248214277, max=3.9550107866378497, mean=0.02, median=0.02276765833031702
sysmom12_1: min=-2.3224812657050746, max=14.805356344544732, mean=0.05, median=0.047632609914670145
idimom3_1: min=-2.7636804953091274, max=12.621122631728706, mean=-0.00, median=-0.0004378214904601947
idimom6_1: min=-4.93701632068136, max=10.717609092898318, mean=-0.00, median=-0.0004976374273692424
idimom12_1: min=-15.579423105680787, max=9.246582938571109, mean=-0.00, median=-0.0003318518933694836
mom3_1: min=-0.9984032940903846, max=14.023292216513314, mean=0.01, median=0.007300352216242552
mom6_1: min=-0.998724492372518, max=17.727042009465, mean=0.02, median=0.019701793433238513
mom9_1: min=-0.9987351047053308, max=19.554431302837777, mean=0.04, median=0.032789218772054846
mom12_1: min=-0.9987762901512514, max=22.24953677162908, mean=0.05, median=0.04365855485255758
mom12_7: min=-0.9969631052866385, max=17.727042009465, mean=0.02, median=0.019976711847260804
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ltr30_6: min=-0.999120335386223, max=33.746061105712194, mean=0.10, median=0.08830042347087241
ltr24_3: min=-0.9986076823939898, max=35.43124187124598, mean=0.09, median=0.0804354701354928
imom1: min=-0.9856957793235779, max=30.30000114440918, mean=0.01, median=0.00541091554232561
imom3_1: min=-0.9915952526916385, max=162.4797853309825, mean=0.01, median=0.009945651756952029
imom12_1: min=-0.9735327661171094, max=1280.3074852379725, mean=0.06, median=0.053953128571829184
iltr48_12: min=-0.9944900021193184, max=1361.6001879849698, mean=0.21, median=0.18735278746447886
iltr30_6: min=-0.9944900021193184, max=1309.5947971445098, mean=0.13, median=0.1122625728010583
iltr24_3: min=-0.9944900021193184, max=1323.1085131643338, mean=0.11, median=0.10045731169759901
var_90: min=-0.020391881465911865, max=0.8333333134651184, mean=0.03, median=0.022077342495322227
es_90: min=-0.009837267687544227, max=0.8842830061912537, mean=0.05, median=0.03451567143201828
var_95: min=-0.006537846755236387, max=0.981425940990448, mean=0.05, median=0.034091219305992126
str: min=-0.9772710204124451, max=7.744128227233887, mean=0.00, median=0.002901438158005476
Date/Datetime Column Statistics#
date: min=2002-08-31 00:00:00, max=2025-03-31 00:00:00
dt_s: min=2002-07-25 00:00:00, max=2025-02-28 00:00:00
dt_e: min=2002-08-26 00:00:00, max=2025-03-31 00:00:00
dt_s_bgn: min=2002-08-01 00:00:00, max=2025-03-07 00:00:00
dt_e_bgn: min=2002-08-26 00:00:00, max=2025-03-31 00:00:00
sig_dt: min=2002-08-19 00:00:00, max=2025-03-28 00:00:00
ftsfr_CDS_bond_basis_aggregated.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/ftsfr_CDS_bond_basis_aggregated.parquet
Size: 7441 bytes | Type: Parquet | Shape: 346 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-5.751113076375435, max=9.081822277149262, mean=1.81, median=2.002582027998724
Date/Datetime Column Statistics#
ds: min=2002-09-30 00:00:00, max=2022-09-30 00:00:00
ftsfr_CDS_bond_basis_non_aggregated.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/ftsfr_CDS_bond_basis_non_aggregated.parquet
Size: 1007324 bytes | Type: Parquet | Shape: 91,742 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-99.98623956278941, max=99.84502978149779, mean=2.32, median=3.127317613581347
Date/Datetime Column Statistics#
ds: min=2002-09-30 00:00:00, max=2022-09-30 00:00:00
markit_cds.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/markit_cds.parquet
Size: 539.7 MB | Type: Parquet | Shape: 46,851,870 rows × 7 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
ticker String
redcode String (0.0% null)
parspread Float64 (0.3% null)
tenor String
country String
year Int64
Numeric Column Statistics#
parspread: min=6.57e-06, max=491.84276269, mean=0.02, median=0.00783918991183272
year: min=2001, max=2023, mean=2011.46, median=2010.0
Date/Datetime Column Statistics#
date: min=2001-01-02 00:00:00, max=2023-12-29 00:00:00
markit_cds_subsetted_to_crsp.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/markit_cds_subsetted_to_crsp.parquet
Size: 488.6 MB | Type: Parquet | Shape: 36,382,804 rows × 12 columns
Columns#
date Datetime(time_unit='ns', time_zone=None) (0.0% null)
ticker String (0.0% null)
redcode String
parspread Float64 (0.2% null)
tenor String (0.0% null)
country String (0.0% null)
year Float64 (0.0% null)
permno Int64
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flg String
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Numeric Column Statistics#
parspread: min=2.001e-05, max=491.84276269, mean=0.02, median=0.007758560333489305
year: min=2001.0, max=2023.0, mean=2010.78, median=2009.0
permno: min=10025, max=93423, mean=53210.75, median=57665.0
permco: min=7, max=60114, mean=21824.51, median=21161.0
nameRatio: min=50, max=100, mean=88.24, median=90.0
__index_level_0__: min=0, max=37725767, mean=18328649.72, median=18225252.5
Date/Datetime Column Statistics#
date: min=2001-01-02 00:00:00, max=2023-12-29 00:00:00
markit_red_crsp_link.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/markit_red_crsp_link.parquet
Size: 540031 bytes | Type: Parquet | Shape: 4,782 rows × 25 columns
Columns#
redcode String
entity_cusip String
ticker String
referenceentity String
shortname String
lei String (55.1% null)
entity_type String
jurisdiction String
depthlevel String (87.4% null)
markitsector String (0.1% null)
entity_form String (67.7% null)
companynum_type String (85.3% null)
companynum String (85.3% null)
alternativenames String (97.2% null)
recorddate String (62.9% null)
validto String (58.0% null)
validfrom String (83.4% null)
permno Int64
permco Int64
hdrcusip String
crspTicker String (0.1% null)
issuernm String
cusip6 String
flg String
nameRatio Int64
Numeric Column Statistics#
permno: min=10025, max=93423, mean=62661.97, median=77037.0
permco: min=7, max=60114, mean=25146.44, median=21539.0
nameRatio: min=20, max=100, mean=79.59, median=86.0
treasury_bond_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_bond_basis/treasury_bond_returns.parquet
Size: 36.6 MB | Type: Parquet | Shape: 2,381,340 rows × 5 columns
Columns#
DATE Int64
CUSIP String
tr_return Float64 (17.6% null)
tr_ytm_match Float64 (26.7% null)
tau Float64
Numeric Column Statistics#
DATE: min=20020731, max=20231231, mean=20144649.88, median=20151031.0
tr_return: min=-21.35429959, max=53.313886279, mean=0.22, median=0.09404580914999999
tr_ytm_match: min=0.0039308304, max=8.9466184087, mean=2.47, median=2.355498754
tau: min=-0.167123288, max=180.1260274, mean=7.98, median=4.7123287671
fed_yield_curve.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_returns/fed_yield_curve.parquet
Size: 3.2 MB | Type: Parquet | Shape: 16,763 rows × 31 columns
Columns#
SVENY01 Float64 (4.4% null)
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SVENY03 Float64 (4.4% null)
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SVENY05 Float64 (4.4% null)
SVENY06 Float64 (4.4% null)
SVENY07 Float64 (4.4% null)
SVENY08 Float64 (19.5% null)
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SVENY10 Float64 (19.5% null)
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SVENY12 Float64 (19.9% null)
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SVENY18 Float64 (34.2% null)
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SVENY23 Float64 (40.7% null)
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SVENY25 Float64 (40.7% null)
SVENY26 Float64 (40.7% null)
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SVENY28 Float64 (40.7% null)
SVENY29 Float64 (40.7% null)
SVENY30 Float64 (40.7% null)
Date Datetime(time_unit='ns', time_zone=None)
Numeric Column Statistics#
SVENY01: min=0.0554, max=16.462, mean=4.82, median=4.86985
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Date/Datetime Column Statistics#
Date: min=1961-06-14 00:00:00, max=2025-09-12 00:00:00
fred.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_returns/fred.parquet
Size: 123058 bytes | Type: Parquet | Shape: 6,449 rows × 7 columns
Columns#
DGS1MO Float64 (6.4% null)
DGS3MO Float64 (4.2% null)
DGS6MO Float64 (4.2% null)
DGS1 Float64 (4.2% null)
DGS2 Float64 (4.2% null)
DGS3 Float64 (4.2% null)
DATE Datetime(time_unit='ns', time_zone=None)
Numeric Column Statistics#
DGS1MO: min=0.0, max=6.02, mean=1.64, median=0.96
DGS3MO: min=0.0, max=5.87, mean=1.76, median=1.09
DGS6MO: min=0.02, max=5.61, mean=1.85, median=1.2
DGS1: min=0.04, max=5.49, mean=1.92, median=1.4
DGS2: min=0.09, max=5.29, mean=2.08, median=1.68
DGS3: min=0.1, max=5.26, mean=2.26, median=1.95
Date/Datetime Column Statistics#
DATE: min=2001-01-01 00:00:00, max=2025-09-18 00:00:00
ftsfr_CDS_contract_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_returns/ftsfr_CDS_contract_returns.parquet
Size: 3.0 MB | Type: Parquet | Shape: 201,830 rows × 4 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
__index_level_0__ Int64
Numeric Column Statistics#
y: min=-1.805303277625713, max=1.2258522666583374, mean=0.00, median=0.0016596277982949825
__index_level_0__: min=0, max=657848, mean=330612.87, median=331160.0
Date/Datetime Column Statistics#
ds: min=2001-01-01 00:00:00, max=2023-12-01 00:00:00
ftsfr_CDS_portfolio_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_returns/ftsfr_CDS_portfolio_returns.parquet
Size: 93748 bytes | Type: Parquet | Shape: 5,510 rows × 4 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
__index_level_0__ Int64
Numeric Column Statistics#
y: min=5.3628018753738094e-05, max=0.019341884154433435, mean=0.00, median=0.000844851743564012
__index_level_0__: min=0, max=5519, mean=2759.04, median=2759.5
Date/Datetime Column Statistics#
ds: min=2001-01-01 00:00:00, max=2023-12-01 00:00:00
markit_cds.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_returns/markit_cds.parquet
Size: 1.4 GB | Type: Parquet | Shape: 36,673,117 rows × 15 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
ticker String
redcode String (0.0% null)
parspread Float64 (0.3% null)
convspreard Float64 (20.7% null)
tenor String
country String
creditdv01 Float64 (32.8% null)
riskypv01 Float64 (32.8% null)
irdv01 Float64 (32.8% null)
rec01 Float64 (32.8% null)
dp Float64 (32.8% null)
jtd Float64 (32.8% null)
dtz Float64 (32.8% null)
year Int64
Numeric Column Statistics#
parspread: min=6.57e-06, max=28.73255034, mean=0.02, median=0.00859374
convspreard: min=6.51e-06, max=33.29895315, mean=0.02, median=0.00901274
creditdv01: min=-129980.22, max=1450128.28, mean=4836.26, median=4708.61
riskypv01: min=0.03, max=10.02, mean=4.54, median=4.67
irdv01: min=-260294.91, max=1449338.67, mean=181.02, median=36.01
rec01: min=-838629.15, max=2833213.38, mean=12284.17, median=7825.39
dp: min=1.170670425e-05, max=1.0, mean=0.14, median=0.07792383818339
jtd: min=4114.93, max=12774322.14, mean=6670226.42, median=6337462.6
dtz: min=104114.93, max=14849492.24, mean=10524286.74, median=10252921.47
year: min=2001, max=2023, mean=2013.61, median=2014.0
Date/Datetime Column Statistics#
date: min=2001-01-02 00:00:00, max=2023-12-29 00:00:00
markit_cds_contract_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_returns/markit_cds_contract_returns.parquet
Size: 1.7 MB | Type: Parquet | Shape: 657,849 rows × 5 columns
Columns#
ticker String
tenor String
Month Datetime(time_unit='ns', time_zone=None)
credit_quantile Int32
monthly_return Float64
Numeric Column Statistics#
credit_quantile: min=1, max=5, mean=2.99, median=3.0
monthly_return: min=-1.805303277625713, max=1.2258522666583374, mean=nan, median=nan
Date/Datetime Column Statistics#
Month: min=2001-01-01 00:00:00, max=2023-12-01 00:00:00
markit_cds_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cds_returns/markit_cds_returns.parquet
Size: 49968 bytes | Type: Parquet | Shape: 276 rows × 21 columns
Columns#
Month Datetime(time_unit='ns', time_zone=None)
3Y_Q1 Float64
3Y_Q2 Float64
3Y_Q3 Float64 (0.4% null)
3Y_Q4 Float64
3Y_Q5 Float64 (0.4% null)
5Y_Q1 Float64
5Y_Q2 Float64
5Y_Q3 Float64 (0.4% null)
5Y_Q4 Float64
5Y_Q5 Float64 (0.4% null)
7Y_Q1 Float64
7Y_Q2 Float64 (0.4% null)
7Y_Q3 Float64 (0.4% null)
7Y_Q4 Float64
7Y_Q5 Float64 (0.4% null)
10Y_Q1 Float64
10Y_Q2 Float64 (0.4% null)
10Y_Q3 Float64 (0.4% null)
10Y_Q4 Float64
10Y_Q5 Float64 (0.4% null)
Numeric Column Statistics#
3Y_Q1: min=5.3628018753738094e-05, max=0.0012976019246790454, mean=0.00, median=0.00017811644203234722
3Y_Q2: min=9.792364591956705e-05, max=0.0017565444327524377, mean=0.00, median=0.0003000888658549769
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5Y_Q5: min=0.0018238025721322164, max=0.018314903765577432, mean=0.01, median=0.004580733021791073
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7Y_Q5: min=0.0024402150265846485, max=0.01900555548556001, mean=0.01, median=0.005423041140361075
10Y_Q1: min=0.00013487699044364043, max=0.0009053721002913167, mean=0.00, median=0.00048195955674491846
10Y_Q2: min=7.057998212511712e-05, max=0.001505258169825882, mean=0.00, median=0.0007536285575015698
10Y_Q3: min=0.0001407322027343715, max=0.003152209196248978, mean=0.00, median=0.0011659759869156094
10Y_Q4: min=0.0013641252839577797, max=0.007450563709574988, mean=0.00, median=0.002308584939926143
10Y_Q5: min=0.003044597665108594, max=0.019341884154433435, mean=0.01, median=0.006119310424822318
Date/Datetime Column Statistics#
Month: min=2001-01-01 00:00:00, max=2023-12-01 00:00:00
cip_spreads.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cip/cip_spreads.parquet
Size: 463478 bytes | Type: Parquet | Shape: 6,790 rows × 9 columns
Columns#
AUD Float64 (11.5% null)
CAD Float64 (16.0% null)
CHF Float64 (41.1% null)
EUR Float64 (23.2% null)
GBP Float64 (11.2% null)
JPY Float64 (15.1% null)
NZD Float64 (14.5% null)
SEK Float64 (26.8% null)
index Date
Numeric Column Statistics#
AUD: min=-58.53520492586132, max=339.68876731391674, mean=1.89, median=1.1534613513037661
CAD: min=-11.13750568037226, max=313.1892275693841, mean=15.41, median=10.361567750541223
CHF: min=-9.265949135860806, max=181.36353541348308, mean=34.16, median=29.999955867636082
EUR: min=-22.949139790071722, max=370.9439992219156, mean=26.25, median=21.257006012834353
GBP: min=-11.71473649302368, max=287.634939349282, mean=14.36, median=8.552763054047798
JPY: min=-31.23245606446813, max=439.59367390435733, mean=37.54, median=31.855508763267146
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SEK: min=-75.02010739148606, max=374.5435302007317, mean=29.33, median=21.911787065051698
Date/Datetime Column Statistics#
index: min=1999-02-08, max=2025-02-28
ftsfr_CIP_spreads.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/cip/ftsfr_CIP_spreads.parquet
Size: 535436 bytes | Type: Parquet | Shape: 43,490 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-75.02010739148606, max=439.59367390435733, mean=18.90, median=12.660612223492215
Date/Datetime Column Statistics#
ds: min=2001-12-04 00:00:00, max=2025-02-28 00:00:00
ftsfr_commodities_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/commodities/ftsfr_commodities_returns.parquet
Size: 126310 bytes | Type: Parquet | Shape: 11,553 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.6026668174158621, max=0.6741843598832211, mean=0.00, median=-5.1923181702440147e-05
Date/Datetime Column Statistics#
ds: min=1970-01-30 00:00:00, max=2025-08-12 00:00:00
futures_returns_future_ticker.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/commodities/futures_returns_future_ticker.parquet
Size: 110708 bytes | Type: Parquet | Shape: 10,429 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.4694986913629957, max=0.9060402684563758, mean=0.01, median=0.003466666666666729
Date/Datetime Column Statistics#
ds: min=1987-09-30 00:00:00, max=2025-08-31 00:00:00
futures_returns_gsci.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/commodities/futures_returns_gsci.parquet
Size: 126310 bytes | Type: Parquet | Shape: 11,553 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.6026668174158621, max=0.6741843598832211, mean=0.00, median=-5.1923181702440147e-05
Date/Datetime Column Statistics#
ds: min=1970-01-30 00:00:00, max=2025-08-12 00:00:00
corp_bond_portfolio_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/corp_bond_returns/corp_bond_portfolio_returns.parquet
Size: 30784 bytes | Type: Parquet | Shape: 242 rows × 11 columns
Columns#
1.0 Float64
2.0 Float64
3.0 Float64
4.0 Float64
5.0 Float64
6.0 Float64
7.0 Float64
8.0 Float64
9.0 Float64
10.0 Float64
date Datetime(time_unit='ns', time_zone=None)
Numeric Column Statistics#
1.0: min=-0.03068268413930533, max=0.06950119876242539, mean=0.00, median=0.0025212548659277806
2.0: min=-0.03154058146950561, max=0.09200405914825867, mean=0.00, median=0.0033263712962400167
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Date/Datetime Column Statistics#
date: min=2002-08-31 00:00:00, max=2022-09-30 00:00:00
corporate_bond_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/corp_bond_returns/corporate_bond_returns.parquet
Size: 271.5 MB | Type: Parquet | Shape: 1,572,384 rows × 49 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
cusip String
issuer_cusip String
permno Float64 (9.6% null)
exretn_t+1 Float64 (33.8% null)
exretnc_bns_t+1 Float64 (34.4% null)
exretnc_t+1 Float64 (34.0% null)
exretnc_dur_t+1 Float64 (34.0% null)
bond_ret_t+1 Float64 (33.8% null)
bond_ret Float64 (33.5% null)
exretn Float64 (33.5% null)
exretnc_bns Float64 (34.2% null)
exretnc Float64 (33.7% null)
exretnc_dur Float64 (33.7% null)
rating Float64 (11.1% null)
cs Float64 (11.6% null)
cs_6m_delta Float64 (23.6% null)
bond_yield Float64 (11.6% null)
bond_amount_out Float64 (11.1% null)
offering_amt Float64 (11.1% null)
bondprc Float64 (24.4% null)
perc_par Float64 (24.4% null)
tmt Float64 (11.1% null)
duration Float64 (11.6% null)
ind_num_17 Float64 (34.1% null)
sic_code Float64 (11.1% null)
mom6_1 Float64 (6.6% null)
ltrev48_12 Float64 (51.0% null)
BOND_RET Float64 (23.3% null)
ILLIQ Float64 (27.6% null)
var95 Float64 (57.3% null)
n_trades_month Float64 (22.9% null)
size_ig Float64 (11.1% null)
size_jk Float64 (11.1% null)
zcb Float64 (11.1% null)
conv Float64 (11.1% null)
BOND_YIELD Float64 (17.7% null)
CS Float64 (17.7% null)
BONDPRC Float64 (17.7% null)
PRFULL Float64 (17.7% null)
DURATION Float64 (17.7% null)
CONVEXITY Float64 (17.7% null)
CS_6M_DELTA Float64 (31.0% null)
bond_value Float64 (24.4% null)
BOND_VALUE Float64 (17.7% null)
coupon Float64
bond_type String
principal_amt Float64
bondpar_mil Float64 (11.1% null)
Numeric Column Statistics#
permno: min=10025.0, max=93433.0, mean=51667.80, median=56274.0
exretn_t+1: min=-0.9767107633155356, max=3.68331, mean=0.00, median=0.0024608583916704
exretnc_bns_t+1: min=-0.9788409650955358, max=3.679218441265, mean=0.00, median=0.0013672454083213
exretnc_t+1: min=-0.975496159872277, max=1.0937039372664568, mean=0.00, median=0.00151554299576355
exretnc_dur_t+1: min=-0.9750837579521624, max=1.026469200126305, mean=0.00, median=0.0015140504246088
bond_ret_t+1: min=-0.9753107633155358, max=3.68351, mean=0.00, median=0.0033128735591761
bond_ret: min=-0.9753107633155358, max=3.68351, mean=0.00, median=0.0033377041526085
exretn: min=-0.9767107633155356, max=3.68331, mean=0.00, median=0.0024835982207484
exretnc_bns: min=-0.9788409650955358, max=3.679218441265, mean=0.00, median=0.0013649457596122
exretnc: min=-0.975496159872277, max=1.0937039372664568, mean=0.00, median=0.00151315367870985
exretnc_dur: min=-0.9750837579521624, max=1.026469200126305, mean=0.00, median=0.0015178250172955
rating: min=1.0, max=22.0, mean=8.66, median=8.0
cs: min=-0.9729639446210764, max=0.998901539738254, mean=0.03, median=0.0177682208160528
cs_6m_delta: min=-10.878444246922706, max=9.309785967566132, mean=-0.04, median=-0.0462234915593731
bond_yield: min=-1.0, max=1.0, mean=0.05, median=0.0433994659389245
bond_amount_out: min=1.0, max=15000000.0, mean=555958.59, median=400000.0
offering_amt: min=1.0, max=15000000.0, mean=577398.30, median=400000.0
bondprc: min=0.01, max=3347.9645670033674, mean=104.91, median=104.14881024096384
perc_par: min=0.0001, max=105.34653465346534, mean=1.05, median=1.0415
tmt: min=12.033333333333331, max=1217.5, mean=122.37, median=79.60000000000001
duration: min=0.0333651407924791, max=30.0, mean=6.51, median=5.294389227744916
ind_num_17: min=1.0, max=17.0, mean=12.68, median=14.0
sic_code: min=181.0, max=9532.0, mean=4783.57, median=4922.0
mom6_1: min=-0.97616417196161, max=12.68648163262489, mean=0.02, median=0.0066739471799154
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ILLIQ: min=-4506.5558135121155, max=10815.473510796275, mean=2.17, median=0.0812535815242251
var95: min=-0.00171, max=0.7020304326820522, mean=0.04, median=0.0300963510511023
n_trades_month: min=1.0, max=24.0, mean=11.59, median=12.0
size_ig: min=0.0, max=1.0, mean=0.78, median=1.0
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zcb: min=0.0, max=1.0, mean=0.01, median=0.0
conv: min=0.0, max=1.0, mean=0.00, median=0.0
BOND_YIELD: min=-1.1481999312401832, max=139.41116520263148, mean=0.05, median=0.04279601144790645
CS: min=-1.1611301537537178, max=139.39916520263148, mean=0.03, median=0.01705836639896655
BONDPRC: min=0.0001, max=8491.4861, mean=105.02, median=104.24775
PRFULL: min=0.1009944444335674, max=8491.486257238086, mean=106.38, median=105.58799728776982
DURATION: min=0.0056839521747671, max=35.463740358046394, mean=6.51, median=5.275024154030079
CONVEXITY: min=0.0001021010147481, max=1346.6896180823323, mean=83.44, median=33.81145002739121
CS_6M_DELTA: min=-10.663948714220927, max=7.585603513125841, mean=-0.03, median=-0.0446292284079974
bond_value: min=15.0, max=1899989423.0, mean=65126862.38, median=47239131.0
BOND_VALUE: min=17.0, max=1908028500.0, mean=61961917.12, median=43685320.0
coupon: min=0.0, max=16.5, mean=5.73, median=5.875
principal_amt: min=10.0, max=1000.0, mean=999.81, median=1000.0
bondpar_mil: min=0.001, max=15000.0, mean=555.96, median=400.0
Date/Datetime Column Statistics#
date: min=2002-08-31 00:00:00, max=2022-09-30 00:00:00
ftsfr_corp_bond_portfolio_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/corp_bond_returns/ftsfr_corp_bond_portfolio_returns.parquet
Size: 28080 bytes | Type: Parquet | Shape: 2,420 rows × 3 columns
Columns#
unique_id Float64
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
unique_id: min=1.0, max=10.0, mean=5.50, median=5.5
y: min=-0.2357410309055786, max=0.21497478314108745, mean=0.00, median=0.004769802911585877
Date/Datetime Column Statistics#
ds: min=2002-08-31 00:00:00, max=2022-09-30 00:00:00
ftsfr_corp_bond_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/corp_bond_returns/ftsfr_corp_bond_returns.parquet
Size: 8.8 MB | Type: Parquet | Shape: 1,046,059 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.9753107633155358, max=3.68351, mean=0.00, median=0.0033377041526085
Date/Datetime Column Statistics#
ds: min=2002-08-31 00:00:00, max=2022-09-30 00:00:00
treasury_bond_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/corp_bond_returns/treasury_bond_returns.parquet
Size: 36.6 MB | Type: Parquet | Shape: 2,381,340 rows × 5 columns
Columns#
DATE Int64
CUSIP String
tr_return Float64 (17.6% null)
tr_ytm_match Float64 (26.7% null)
tau Float64
Numeric Column Statistics#
DATE: min=20020731, max=20231231, mean=20144649.88, median=20151031.0
tr_return: min=-21.35429959, max=53.313886279, mean=0.22, median=0.09404580914999999
tr_ytm_match: min=0.0039308304, max=8.9466184087, mean=2.47, median=2.355498754
tau: min=-0.167123288, max=180.1260274, mean=7.98, median=4.7123287671
fed_yield_curve.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/fed_yield_curve/fed_yield_curve.parquet
Size: 3.2 MB | Type: Parquet | Shape: 16,763 rows × 31 columns
Columns#
SVENY01 Float64 (4.4% null)
SVENY02 Float64 (4.4% null)
SVENY03 Float64 (4.4% null)
SVENY04 Float64 (4.4% null)
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SVENY06 Float64 (4.4% null)
SVENY07 Float64 (4.4% null)
SVENY08 Float64 (19.5% null)
SVENY09 Float64 (19.5% null)
SVENY10 Float64 (19.5% null)
SVENY11 Float64 (19.9% null)
SVENY12 Float64 (19.9% null)
SVENY13 Float64 (19.9% null)
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SVENY15 Float64 (19.9% null)
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SVENY17 Float64 (34.2% null)
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SVENY20 Float64 (34.2% null)
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SVENY28 Float64 (40.7% null)
SVENY29 Float64 (40.7% null)
SVENY30 Float64 (40.7% null)
Date Datetime(time_unit='ns', time_zone=None)
Numeric Column Statistics#
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Date/Datetime Column Statistics#
Date: min=1961-06-14 00:00:00, max=2025-09-12 00:00:00
ftsfr_treas_yield_curve_zero_coupon.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/fed_yield_curve/ftsfr_treas_yield_curve_zero_coupon.parquet
Size: 5.0 MB | Type: Parquet | Shape: 374,312 rows × 4 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
__index_level_0__ Int64
Numeric Column Statistics#
y: min=0.0554, max=16.462, mean=5.60, median=5.2962389140670005
__index_level_0__: min=0, max=502889, mean=226669.36, median=211886.5
Date/Datetime Column Statistics#
ds: min=1961-06-14 00:00:00, max=2025-09-12 00:00:00
ftsfr_FX_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/foreign_exchange/ftsfr_FX_returns.parquet
Size: 949613 bytes | Type: Parquet | Shape: 52,473 rows × 4 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
__index_level_0__ Int64
Numeric Column Statistics#
y: min=-1.0326500049101444, max=8.548700375536482, mean=1.77, median=1.0010820813484795
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Date/Datetime Column Statistics#
ds: min=1999-02-09 00:00:00, max=2025-02-28 00:00:00
fx_daily_data.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/foreign_exchange/fx_daily_data.parquet
Size: 2.1 MB | Type: Parquet | Shape: 14,115 rows × 49 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
dexusal Float64 (3.9% null)
dexalus Float64 (3.9% null)
dexbzus Float64 (46.5% null)
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dexdnus Float64 (3.9% null)
dexhkus Float64 (21.6% null)
dexinus Float64 (7.5% null)
dexjpus Float64 (3.9% null)
dexkous Float64 (22.4% null)
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dexslus Float64 (10.0% null)
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dexszus Float64 (3.9% null)
dextaus Float64 (28.6% null)
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dexukus Float64 (3.9% null)
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exauus Float64 (50.3% null)
exbeus Float64 (50.3% null)
exfnus Float64 (50.5% null)
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exgeus Float64 (50.3% null)
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exirus Float64 (50.3% null)
exitus Float64 (50.3% null)
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expous Float64 (53.8% null)
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dexeuus Float64 (53.6% null)
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dtwexo Float64 (55.2% null)
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Numeric Column Statistics#
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Date/Datetime Column Statistics#
date: min=1971-01-04 00:00:00, max=2025-02-07 00:00:00
fx_monthly_data.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/foreign_exchange/fx_monthly_data.parquet
Size: 210726 bytes | Type: Parquet | Shape: 649 rows × 48 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
exusal Float64
exalus Float64
exbzus Float64 (44.4% null)
excaus Float64
exchus Float64 (18.5% null)
exdnus Float64
exhkus Float64 (18.5% null)
exinus Float64 (3.7% null)
exjpus Float64
exkous Float64 (19.0% null)
exmaus Float64
exmxus Float64 (42.2% null)
exusnz Float64
exnzus Float64
exnous Float64
exsius Float64 (18.5% null)
exsfus Float64
exslus Float64 (3.7% null)
exsdus Float64
exszus Float64
extaus Float64 (23.6% null)
exthus Float64 (18.5% null)
exusuk Float64
exukus Float64
exvzus Float64 (44.4% null)
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exbeus Float64 (48.2% null)
exfnus Float64 (48.2% null)
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exgeus Float64 (48.2% null)
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exirus Float64 (48.2% null)
exitus Float64 (48.2% null)
exneus Float64 (48.2% null)
expous Float64 (51.9% null)
exspus Float64 (51.9% null)
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twexafegsmth Float64 (64.7% null)
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Numeric Column Statistics#
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Date/Datetime Column Statistics#
date: min=1971-01-31 00:00:00, max=2025-01-31 00:00:00
ftsfr_tips_treasury_basis.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/formatted/basis_tips_treas/ftsfr_tips_treasury_basis.parquet
Size: 206374 bytes | Type: Parquet | Shape: 20,647 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='us', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-28.952341619528084, max=243.18891701256675, mean=24.87, median=23.50302543169036
Date/Datetime Column Statistics#
ds: min=2004-07-21 00:00:00, max=2025-05-30 00:00:00
ftsfr_treasury_sf_basis.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/formatted/basis_treas_sf/ftsfr_treasury_sf_basis.parquet
Size: 175432 bytes | Type: Parquet | Shape: 24,537 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='us', time_zone=None)
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Numeric Column Statistics#
y: min=-420.7967777777778, max=288.82433333333336, mean=-23.23, median=-10.56133333333333
Date/Datetime Column Statistics#
ds: min=2004-06-23 00:00:00, max=2025-01-08 00:00:00
ftsfr_treasury_swap_basis.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/formatted/basis_treas_swap/ftsfr_treasury_swap_basis.parquet
Size: 169214 bytes | Type: Parquet | Shape: 32,022 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='us', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-105.0, max=87.79999999999997, mean=-12.67, median=-10.899999999999999
Date/Datetime Column Statistics#
ds: min=2001-12-20 00:00:00, max=2025-08-11 00:00:00
ftsfr_CDS_bond_basis_aggregated.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/formatted/cds_bond_basis/ftsfr_CDS_bond_basis_aggregated.parquet
Size: 5308 bytes | Type: Parquet | Shape: 346 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
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Numeric Column Statistics#
y: min=-5.751113076375435, max=9.081822277149262, mean=1.81, median=2.002582027998724
Date/Datetime Column Statistics#
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ftsfr_CDS_bond_basis_non_aggregated.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/formatted/cds_bond_basis/ftsfr_CDS_bond_basis_non_aggregated.parquet
Size: 759958 bytes | Type: Parquet | Shape: 91,742 rows × 3 columns
Columns#
unique_id String
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Numeric Column Statistics#
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Date/Datetime Column Statistics#
ds: min=2002-09-30 00:00:00, max=2022-09-30 00:00:00
ftsfr_CDS_contract_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/formatted/cds_returns/ftsfr_CDS_contract_returns.parquet
Size: 1.7 MB | Type: Parquet | Shape: 201,830 rows × 4 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
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All_105 String (38.8% null)
All_106 String (38.8% null)
All_107 String (38.8% null)
All_108 String (38.8% null)
All_109 String (38.8% null)
All_110 String (38.8% null)
All_111 String (38.8% null)
All_112 String (38.8% null)
All_113 Float64 (21.1% null)
All_114 Float64 (21.1% null)
All_115 Float64 (21.1% null)
All_116 Float64 (21.1% null)
All_117 Float64 (21.1% null)
All_118 Float64 (21.1% null)
All_119 Float64 (21.1% null)
All_120 Float64 (21.1% null)
All_121 Float64 (21.1% null)
All_122 Float64 (21.1% null)
All_123 Float64 (21.1% null)
All_124 Float64 (21.1% null)
Numeric Column Statistics#
yyyymm: min=197001.0, max=201212.0, mean=199106.50, median=199106.5
intermediary_capital_ratio: min=0.0223, max=0.134, mean=0.06, median=0.0544
intermediary_leverage_ratio_squared: min=55.7145, max=2012.9658, mean=383.08, median=337.98879999999997
intermediary_capital_risk_factor: min=-0.2795, max=0.3965, mean=-0.00, median=0.0006000000000000001
intermediary_value_weighted_investment_return: min=-0.2811, max=0.3055, mean=0.01, median=0.00865
mkt_rf: min=-0.2324, max=0.161, mean=0.00, median=0.008400000000000001
smb: min=-0.1639, max=0.2202, mean=0.00, median=5e-05
hml: min=-0.1268, max=0.1387, mean=0.00, median=0.0039
rf: min=0.0, max=0.0135, mean=0.00, median=0.0042
FF25_01: min=-0.3423, max=0.3978, mean=0.00, median=0.009049999999999999
FF25_02: min=-0.3094, max=0.3862, mean=0.01, median=0.01395
FF25_03: min=-0.2865, max=0.2813, mean=0.01, median=0.012549999999999999
FF25_04: min=-0.2889, max=0.2778, mean=0.01, median=0.0153
FF25_05: min=-0.2887, max=0.3327, mean=0.01, median=0.014450000000000001
FF25_06: min=-0.3271, max=0.2692, mean=0.01, median=0.013399999999999999
FF25_07: min=-0.3163, max=0.2612, mean=0.01, median=0.0155
FF25_08: min=-0.2776, max=0.2634, mean=0.01, median=0.0149
FF25_09: min=-0.2604, max=0.2734, mean=0.01, median=0.01575
FF25_10: min=-0.2884, max=0.3004, mean=0.01, median=0.01795
FF25_11: min=-0.2963, max=0.2458, mean=0.01, median=0.0156
FF25_12: min=-0.2915, max=0.2503, mean=0.01, median=0.0126
FF25_13: min=-0.245, max=0.2194, mean=0.01, median=0.014499999999999999
FF25_14: min=-0.2282, max=0.234, mean=0.01, median=0.01395
FF25_15: min=-0.2617, max=0.292, mean=0.01, median=0.01625
FF25_16: min=-0.2594, max=0.2582, mean=0.01, median=0.011
FF25_17: min=-0.2883, max=0.2045, mean=0.01, median=0.011699999999999999
FF25_18: min=-0.2595, max=0.2401, mean=0.01, median=0.014450000000000001
FF25_19: min=-0.2102, max=0.2432, mean=0.01, median=0.0149
FF25_20: min=-0.2384, max=0.279, mean=0.01, median=0.015050000000000001
FF25_21: min=-0.2164, max=0.2235, mean=0.01, median=0.0089
FF25_22: min=-0.2242, max=0.1653, mean=0.01, median=0.0111
FF25_23: min=-0.2165, max=0.1908, mean=0.01, median=0.0117
FF25_24: min=-0.1932, max=0.1976, mean=0.01, median=0.01005
FF25_25: min=-0.1913, max=0.1757, mean=0.01, median=0.0119
US_bonds_01: min=-0.0003, max=0.0242, mean=0.00, median=0.0046
US_bonds_02: min=-0.0087, max=0.0451, mean=0.00, median=0.0044
US_bonds_03: min=-0.0245, max=0.0641, mean=0.01, median=0.0045
US_bonds_04: min=-0.0347, max=0.0732, mean=0.01, median=0.0045
US_bonds_05: min=-0.0463, max=0.0918, mean=0.01, median=0.0049
US_bonds_06: min=-0.0527, max=0.0954, mean=0.01, median=0.005
US_bonds_07: min=-0.0541, max=0.0863, mean=0.01, median=0.0053
US_bonds_08: min=-0.0601, max=0.0931, mean=0.01, median=0.0057
US_bonds_09: min=-0.0578, max=0.0938, mean=0.01, median=0.0062
US_bonds_10: min=-0.058, max=0.1211, mean=0.01, median=0.006
US_bonds_11: min=-0.0788, max=0.1274, mean=0.01, median=0.006200000000000001
US_bonds_12: min=-0.0764, max=0.1243, mean=0.01, median=0.0064
US_bonds_13: min=-0.0783, max=0.1326, mean=0.01, median=0.0063
US_bonds_14: min=-0.0786, max=0.1207, mean=0.01, median=0.0067
US_bonds_15: min=-0.0818, max=0.1268, mean=0.01, median=0.0069
US_bonds_16: min=-0.0802, max=0.1293, mean=0.01, median=0.00725
US_bonds_17: min=-0.0817, max=0.1257, mean=0.01, median=0.0076
US_bonds_18: min=-0.0835, max=0.1288, mean=0.01, median=0.0079
US_bonds_19: min=-0.0872, max=0.1103, mean=0.01, median=0.00795
US_bonds_20: min=-0.1021, max=0.1483, mean=0.01, median=0.01
FX_01: min=-0.1414, max=0.112, mean=-0.00, median=-0.0024
FX_02: min=-0.1344, max=0.0689, mean=-0.00, median=0.0017
FX_03: min=-0.1099, max=0.0741, mean=0.00, median=0.001
FX_04: min=-0.1011, max=0.1058, mean=0.00, median=0.0016
FX_05: min=-0.1376, max=0.0917, mean=0.00, median=0.0012
FX_06: min=-0.1109, max=0.0954, mean=0.00, median=0.0045
FX_07: min=-0.1061, max=0.0635, mean=-0.00, median=-0.0009
FX_08: min=-0.1001, max=0.0756, mean=0.00, median=0.001
FX_09: min=-0.0862, max=0.072, mean=0.00, median=0.0015
FX_10: min=-0.0764, max=0.0722, mean=0.00, median=0.0027
FX_11: min=-0.1177, max=0.0838, mean=0.00, median=0.0032
FX_12: min=-0.0849, max=0.1822, mean=0.01, median=0.0067
All_01: min=-0.3423, max=0.3978, mean=0.00, median=0.009049999999999999
All_02: min=-0.3094, max=0.3862, mean=0.01, median=0.01395
All_03: min=-0.2865, max=0.2813, mean=0.01, median=0.012549999999999999
All_04: min=-0.2889, max=0.2778, mean=0.01, median=0.0153
All_05: min=-0.2887, max=0.3327, mean=0.01, median=0.014450000000000001
All_06: min=-0.3271, max=0.2692, mean=0.01, median=0.013399999999999999
All_07: min=-0.3163, max=0.2612, mean=0.01, median=0.0155
All_08: min=-0.2776, max=0.2634, mean=0.01, median=0.0149
All_09: min=-0.2604, max=0.2734, mean=0.01, median=0.01575
All_10: min=-0.2884, max=0.3004, mean=0.01, median=0.01795
All_11: min=-0.2963, max=0.2458, mean=0.01, median=0.0156
All_12: min=-0.2915, max=0.2503, mean=0.01, median=0.0126
All_13: min=-0.245, max=0.2194, mean=0.01, median=0.014499999999999999
All_14: min=-0.2282, max=0.234, mean=0.01, median=0.01395
All_15: min=-0.2617, max=0.292, mean=0.01, median=0.01625
All_16: min=-0.2594, max=0.2582, mean=0.01, median=0.011
All_17: min=-0.2883, max=0.2045, mean=0.01, median=0.011699999999999999
All_18: min=-0.2595, max=0.2401, mean=0.01, median=0.014450000000000001
All_19: min=-0.2102, max=0.2432, mean=0.01, median=0.0149
All_20: min=-0.2384, max=0.279, mean=0.01, median=0.015050000000000001
All_21: min=-0.2164, max=0.2235, mean=0.01, median=0.0089
All_22: min=-0.2242, max=0.1653, mean=0.01, median=0.0111
All_23: min=-0.2165, max=0.1908, mean=0.01, median=0.0117
All_24: min=-0.1932, max=0.1976, mean=0.01, median=0.01005
All_25: min=-0.1913, max=0.1757, mean=0.01, median=0.0119
All_26: min=-0.0003, max=0.0242, mean=0.00, median=0.0046
All_27: min=-0.0087, max=0.0451, mean=0.00, median=0.0044
All_28: min=-0.0245, max=0.0641, mean=0.01, median=0.0045
All_29: min=-0.0347, max=0.0732, mean=0.01, median=0.0045
All_30: min=-0.0463, max=0.0918, mean=0.01, median=0.0049
All_31: min=-0.0527, max=0.0954, mean=0.01, median=0.005
All_32: min=-0.0541, max=0.0863, mean=0.01, median=0.0053
All_33: min=-0.0601, max=0.0931, mean=0.01, median=0.0057
All_34: min=-0.0578, max=0.0938, mean=0.01, median=0.0062
All_35: min=-0.058, max=0.1211, mean=0.01, median=0.006
All_36: min=-0.0788, max=0.1274, mean=0.01, median=0.006200000000000001
All_37: min=-0.0764, max=0.1243, mean=0.01, median=0.0064
All_38: min=-0.0783, max=0.1326, mean=0.01, median=0.0063
All_39: min=-0.0786, max=0.1207, mean=0.01, median=0.0067
All_40: min=-0.0818, max=0.1268, mean=0.01, median=0.0069
All_41: min=-0.0802, max=0.1293, mean=0.01, median=0.00725
All_42: min=-0.0817, max=0.1257, mean=0.01, median=0.0076
All_43: min=-0.0835, max=0.1288, mean=0.01, median=0.0079
All_44: min=-0.0872, max=0.1103, mean=0.01, median=0.00795
All_45: min=-0.1021, max=0.1483, mean=0.01, median=0.01
All_113: min=-0.1414, max=0.112, mean=-0.00, median=-0.0024
All_114: min=-0.1344, max=0.0689, mean=-0.00, median=0.0017
All_115: min=-0.1099, max=0.0741, mean=0.00, median=0.001
All_116: min=-0.1011, max=0.1058, mean=0.00, median=0.0016
All_117: min=-0.1376, max=0.0917, mean=0.00, median=0.0012
All_118: min=-0.1109, max=0.0954, mean=0.00, median=0.0045
All_119: min=-0.1061, max=0.0635, mean=-0.00, median=-0.0009
All_120: min=-0.1001, max=0.0756, mean=0.00, median=0.001
All_121: min=-0.0862, max=0.072, mean=0.00, median=0.0015
All_122: min=-0.0764, max=0.0722, mean=0.00, median=0.0027
All_123: min=-0.1177, max=0.0838, mean=0.00, median=0.0032
All_124: min=-0.0849, max=0.1822, mean=0.01, median=0.0067
He_Kelly_Manela_Factors_daily.csv#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/he_kelly_manela/He_Kelly_Manela_Factors_daily.csv
Size: 431199 bytes | Type: Csv | Shape: 4,766 rows × 5 columns
Columns#
yyyymmdd Int64
intermediary_capital_ratio Float64
intermediary_capital_risk_factor Float64 (0.0% null)
intermediary_value_weighted_investment_return Float64
intermediary_leverage_ratio_squared Float64
Numeric Column Statistics#
yyyymmdd: min=20000103, max=20181211, mean=20090450.16, median=20090624.5
intermediary_capital_ratio: min=0.0145895067948756, max=0.17355099318704817, mean=0.08, median=0.07230790204221717
intermediary_capital_risk_factor: min=-0.16030051697835535, max=0.1805224049114438, mean=0.00, median=0.00024427127323147966
intermediary_value_weighted_investment_return: min=-0.1183881055505066, max=0.19350923576363566, mean=0.00, median=0.00025370052227591255
intermediary_leverage_ratio_squared: min=33.2005893688213, max=4698.062377977052, mean=310.19, median=191.26190829049523
He_Kelly_Manela_Factors_monthly.csv#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/he_kelly_manela/He_Kelly_Manela_Factors_monthly.csv
Size: 25629 bytes | Type: Csv | Shape: 587 rows × 5 columns
Columns#
yyyymm Int64
intermediary_capital_ratio Float64
intermediary_capital_risk_factor Float64
intermediary_value_weighted_investment_return Float64
intermediary_leverage_ratio_squared Float64
Numeric Column Statistics#
yyyymm: min=197001, max=201811, mean=199402.40, median=199406.0
intermediary_capital_ratio: min=0.0223, max=0.134, mean=0.06, median=0.05817808372858584
intermediary_capital_risk_factor: min=-0.2795, max=0.3965, mean=0.00, median=0.0013
intermediary_value_weighted_investment_return: min=-0.2811, max=0.3055, mean=0.01, median=0.008758316861669169
intermediary_leverage_ratio_squared: min=55.7145, max=2012.9658, mean=368.19, median=295.44808224375043
ftsfr_he_kelly_manela_all.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/he_kelly_manela/ftsfr_he_kelly_manela_all.parquet
Size: 23389 bytes | Type: Parquet | Shape: 2,064 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.2811, max=2012.9658, mean=95.79, median=0.0509
Date/Datetime Column Statistics#
ds: min=1970-01-01 00:00:00, max=2012-12-01 00:00:00
ftsfr_he_kelly_manela_factors_daily.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/he_kelly_manela/ftsfr_he_kelly_manela_factors_daily.parquet
Size: 257321 bytes | Type: Parquet | Shape: 19,063 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.1603005169783573, max=4698.062377977052, mean=77.57, median=0.0327419481774856
Date/Datetime Column Statistics#
ds: min=2000-01-03 00:00:00, max=2018-12-11 00:00:00
ftsfr_he_kelly_manela_factors_monthly.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/he_kelly_manela/ftsfr_he_kelly_manela_factors_monthly.parquet
Size: 26737 bytes | Type: Parquet | Shape: 2,348 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.2811, max=2012.9658, mean=92.06, median=0.052500000000000005
Date/Datetime Column Statistics#
ds: min=1970-01-01 00:00:00, max=2018-11-01 00:00:00
french_portfolios_25_daily_size_and_bm.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/ken_french_data_library/french_portfolios_25_daily_size_and_bm.parquet
Size: 1.2 MB | Type: Parquet | Shape: 26,023 rows × 26 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
SMALL LoBM Float64
ME1 BM2 Float64
ME1 BM3 Float64
ME1 BM4 Float64
SMALL HiBM Float64
ME2 BM1 Float64
ME2 BM2 Float64
ME2 BM3 Float64
ME2 BM4 Float64
ME2 BM5 Float64
ME3 BM1 Float64
ME3 BM2 Float64
ME3 BM3 Float64
ME3 BM4 Float64
ME3 BM5 Float64
ME4 BM1 Float64
ME4 BM2 Float64
ME4 BM3 Float64
ME4 BM4 Float64
ME4 BM5 Float64
BIG LoBM Float64
ME5 BM2 Float64
ME5 BM3 Float64
ME5 BM4 Float64
BIG HiBM Float64
Numeric Column Statistics#
SMALL LoBM: min=-0.9998999999999999, max=1.2793999999999999, mean=0.00, median=0.0005
ME1 BM2: min=-0.2692, max=0.4579, mean=0.00, median=0.0008
ME1 BM3: min=-0.1979, max=0.371, mean=0.00, median=0.0008
ME1 BM4: min=-0.1459, max=0.245, mean=0.00, median=0.0009
SMALL HiBM: min=-0.1868, max=0.2889, mean=0.00, median=0.001
ME2 BM1: min=-0.1545, max=0.2821, mean=0.00, median=0.0008
ME2 BM2: min=-0.1343, max=0.31, mean=0.00, median=0.0008
ME2 BM3: min=-0.147, max=0.19030000000000002, mean=0.00, median=0.0008
ME2 BM4: min=-0.1543, max=0.2991, mean=0.00, median=0.0008
ME2 BM5: min=-0.157, max=0.27, mean=0.00, median=0.0009
ME3 BM1: min=-0.145, max=0.1375, mean=0.00, median=0.0009
ME3 BM2: min=-0.14029999999999998, max=0.1564, mean=0.00, median=0.0008
ME3 BM3: min=-0.1942, max=0.2341, mean=0.00, median=0.0009
ME3 BM4: min=-0.1521, max=0.2339, mean=0.00, median=0.0008
ME3 BM5: min=-0.1911, max=0.3012, mean=0.00, median=0.0008
ME4 BM1: min=-0.191, max=0.1406, mean=0.00, median=0.0008
ME4 BM2: min=-0.16269999999999998, max=0.22760000000000002, mean=0.00, median=0.0008
ME4 BM3: min=-0.1572, max=0.256, mean=0.00, median=0.0008
ME4 BM4: min=-0.1384, max=0.2143, mean=0.00, median=0.0008
ME4 BM5: min=-0.1754, max=0.33640000000000003, mean=0.00, median=0.0007000000000000001
BIG LoBM: min=-0.1844, max=0.1358, mean=0.00, median=0.0006
ME5 BM2: min=-0.2054, max=0.1677, mean=0.00, median=0.0006
ME5 BM3: min=-0.1894, max=0.2078, mean=0.00, median=0.0005
ME5 BM4: min=-0.2041, max=0.2364, mean=0.00, median=0.0005
BIG HiBM: min=-0.1815, max=0.2396, mean=0.00, median=0.0004
Date/Datetime Column Statistics#
date: min=1926-07-01 00:00:00, max=2025-06-30 00:00:00
french_portfolios_25_daily_size_and_inv.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/ken_french_data_library/french_portfolios_25_daily_size_and_inv.parquet
Size: 752880 bytes | Type: Parquet | Shape: 15,603 rows × 26 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
SMALL LoINV Float64
ME1 INV2 Float64
ME1 INV3 Float64
ME1 INV4 Float64
SMALL HiINV Float64
ME2 INV1 Float64
ME2 INV2 Float64
ME2 INV3 Float64
ME2 INV4 Float64
ME2 INV5 Float64
ME3 INV1 Float64
ME3 INV2 Float64
ME3 INV3 Float64
ME3 INV4 Float64
ME3 INV5 Float64
ME4 INV1 Float64
ME4 INV2 Float64
ME4 INV3 Float64
ME4 INV4 Float64
ME4 INV5 Float64
BIG LoINV Float64
ME5 INV2 Float64
ME5 INV3 Float64
ME5 INV4 Float64
BIG HiINV Float64
Numeric Column Statistics#
SMALL LoINV: min=-0.12560000000000002, max=0.1027, mean=0.00, median=0.0011
ME1 INV2: min=-0.1281, max=0.08310000000000001, mean=0.00, median=0.001
ME1 INV3: min=-0.12369999999999999, max=0.08900000000000001, mean=0.00, median=0.001
ME1 INV4: min=-0.1352, max=0.08710000000000001, mean=0.00, median=0.0009
SMALL HiINV: min=-0.1328, max=0.10980000000000001, mean=0.00, median=0.001
ME2 INV1: min=-0.1305, max=0.0967, mean=0.00, median=0.001
ME2 INV2: min=-0.141, max=0.10300000000000001, mean=0.00, median=0.0009
ME2 INV3: min=-0.128, max=0.087, mean=0.00, median=0.0009
ME2 INV4: min=-0.1354, max=0.09939999999999999, mean=0.00, median=0.0009
ME2 INV5: min=-0.1501, max=0.10460000000000001, mean=0.00, median=0.001
ME3 INV1: min=-0.1483, max=0.1108, mean=0.00, median=0.0009
ME3 INV2: min=-0.1381, max=0.1, mean=0.00, median=0.0009
ME3 INV3: min=-0.133, max=0.1116, mean=0.00, median=0.0008
ME3 INV4: min=-0.1249, max=0.1025, mean=0.00, median=0.0009
ME3 INV5: min=-0.1549, max=0.1134, mean=0.00, median=0.0009
ME4 INV1: min=-0.18489999999999998, max=0.1072, mean=0.00, median=0.0008
ME4 INV2: min=-0.1411, max=0.12050000000000001, mean=0.00, median=0.0008
ME4 INV3: min=-0.14429999999999998, max=0.1035, mean=0.00, median=0.0008
ME4 INV4: min=-0.1489, max=0.10949999999999999, mean=0.00, median=0.0008
ME4 INV5: min=-0.1734, max=0.1298, mean=0.00, median=0.0008
BIG LoINV: min=-0.2089, max=0.1524, mean=0.00, median=0.0006
ME5 INV2: min=-0.1844, max=0.11289999999999999, mean=0.00, median=0.0005
ME5 INV3: min=-0.1999, max=0.109, mean=0.00, median=0.0005
ME5 INV4: min=-0.1953, max=0.1139, mean=0.00, median=0.0005
BIG HiINV: min=-0.17739999999999997, max=0.1349, mean=0.00, median=0.0006
Date/Datetime Column Statistics#
date: min=1963-07-01 00:00:00, max=2025-06-30 00:00:00
french_portfolios_25_daily_size_and_op.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/ken_french_data_library/french_portfolios_25_daily_size_and_op.parquet
Size: 754011 bytes | Type: Parquet | Shape: 15,603 rows × 26 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
SMALL LoOP Float64
ME1 OP2 Float64
ME1 OP3 Float64
ME1 OP4 Float64
SMALL HiOP Float64
ME2 OP1 Float64
ME2 OP2 Float64
ME2 OP3 Float64
ME2 OP4 Float64
ME2 OP5 Float64
ME3 OP1 Float64
ME3 OP2 Float64
ME3 OP3 Float64
ME3 OP4 Float64
ME3 OP5 Float64
ME4 OP1 Float64
ME4 OP2 Float64
ME4 OP3 Float64
ME4 OP4 Float64
ME4 OP5 Float64
BIG LoOP Float64
ME5 OP2 Float64
ME5 OP3 Float64
ME5 OP4 Float64
BIG HiOP Float64
Numeric Column Statistics#
SMALL LoOP: min=-0.1334, max=0.0993, mean=0.00, median=0.0009
ME1 OP2: min=-0.1274, max=0.09609999999999999, mean=0.00, median=0.001
ME1 OP3: min=-0.1316, max=0.0919, mean=0.00, median=0.0009
ME1 OP4: min=-0.21719999999999998, max=0.3675, mean=0.00, median=0.001
SMALL HiOP: min=-0.1496, max=0.1041, mean=0.00, median=0.0011
ME2 OP1: min=-0.1394, max=0.09880000000000001, mean=0.00, median=0.001
ME2 OP2: min=-0.13390000000000002, max=0.0894, mean=0.00, median=0.0008
ME2 OP3: min=-0.1193, max=0.091, mean=0.00, median=0.0009
ME2 OP4: min=-0.1193, max=0.0984, mean=0.00, median=0.0009
ME2 OP5: min=-0.1432, max=0.1235, mean=0.00, median=0.0011
ME3 OP1: min=-0.16219999999999998, max=0.1043, mean=0.00, median=0.0009
ME3 OP2: min=-0.1371, max=0.10710000000000001, mean=0.00, median=0.0008
ME3 OP3: min=-0.14, max=0.114, mean=0.00, median=0.0008
ME3 OP4: min=-0.13699999999999998, max=0.1048, mean=0.00, median=0.0009
ME3 OP5: min=-0.1461, max=0.1292, mean=0.00, median=0.001
ME4 OP1: min=-0.1553, max=0.131, mean=0.00, median=0.0008
ME4 OP2: min=-0.1653, max=0.10869999999999999, mean=0.00, median=0.0008
ME4 OP3: min=-0.1433, max=0.1092, mean=0.00, median=0.0007000000000000001
ME4 OP4: min=-0.1691, max=0.1092, mean=0.00, median=0.0008
ME4 OP5: min=-0.1437, max=0.1124, mean=0.00, median=0.0009
BIG LoOP: min=-0.2059, max=0.154, mean=0.00, median=0.0005
ME5 OP2: min=-0.18460000000000001, max=0.1213, mean=0.00, median=0.0005
ME5 OP3: min=-0.20739999999999997, max=0.1109, mean=0.00, median=0.0005
ME5 OP4: min=-0.18989999999999999, max=0.1074, mean=0.00, median=0.0005
BIG HiOP: min=-0.1858, max=0.1363, mean=0.00, median=0.0006
Date/Datetime Column Statistics#
date: min=1963-07-01 00:00:00, max=2025-06-30 00:00:00
french_portfolios_25_monthly_size_and_bm.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/ken_french_data_library/french_portfolios_25_monthly_size_and_bm.parquet
Size: 304940 bytes | Type: Parquet | Shape: 1,188 rows × 26 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
SMALL LoBM Float64
ME1 BM2 Float64
ME1 BM3 Float64
ME1 BM4 Float64
SMALL HiBM Float64
ME2 BM1 Float64
ME2 BM2 Float64
ME2 BM3 Float64
ME2 BM4 Float64
ME2 BM5 Float64
ME3 BM1 Float64
ME3 BM2 Float64
ME3 BM3 Float64
ME3 BM4 Float64
ME3 BM5 Float64
ME4 BM1 Float64
ME4 BM2 Float64
ME4 BM3 Float64
ME4 BM4 Float64
ME4 BM5 Float64
BIG LoBM Float64
ME5 BM2 Float64
ME5 BM3 Float64
ME5 BM4 Float64
BIG HiBM Float64
Numeric Column Statistics#
SMALL LoBM: min=-0.49472900000000003, max=1.478401, mean=0.01, median=0.0080745
ME1 BM2: min=-0.352371, max=1.2604680000000001, mean=0.01, median=0.0072510000000000005
ME1 BM3: min=-0.34326500000000004, max=0.828824, mean=0.01, median=0.0120065
ME1 BM4: min=-0.34978200000000004, max=1.048597, mean=0.01, median=0.013337
SMALL HiBM: min=-0.331102, max=0.9951730000000001, mean=0.02, median=0.013506500000000001
ME2 BM1: min=-0.324848, max=0.764962, mean=0.01, median=0.011373
ME2 BM2: min=-0.32177, max=0.7813880000000001, mean=0.01, median=0.0152125
ME2 BM3: min=-0.35196, max=0.755124, mean=0.01, median=0.0147225
ME2 BM4: min=-0.314326, max=0.80107, mean=0.01, median=0.0157025
ME2 BM5: min=-0.37953899999999996, max=0.899723, mean=0.01, median=0.0164745
ME3 BM1: min=-0.296956, max=0.569621, mean=0.01, median=0.0138485
ME3 BM2: min=-0.327129, max=0.410813, mean=0.01, median=0.014482499999999999
ME3 BM3: min=-0.31509, max=0.61247, mean=0.01, median=0.0142975
ME3 BM4: min=-0.350475, max=0.699311, mean=0.01, median=0.0152225
ME3 BM5: min=-0.358615, max=0.7378480000000001, mean=0.01, median=0.0139315
ME4 BM1: min=-0.314036, max=0.35469700000000004, mean=0.01, median=0.012522
ME4 BM2: min=-0.28685700000000003, max=0.56969, mean=0.01, median=0.013647
ME4 BM3: min=-0.307526, max=0.642951, mean=0.01, median=0.015027
ME4 BM4: min=-0.33862200000000003, max=0.689267, mean=0.01, median=0.0157445
ME4 BM5: min=-0.414556, max=0.866039, mean=0.01, median=0.016046499999999998
BIG LoBM: min=-0.284528, max=0.324293, mean=0.01, median=0.011678999999999998
ME5 BM2: min=-0.252044, max=0.39398000000000005, mean=0.01, median=0.011156
ME5 BM3: min=-0.32183799999999996, max=0.502782, mean=0.01, median=0.0117815
ME5 BM4: min=-0.367136, max=0.624421, mean=0.01, median=0.011085499999999998
BIG HiBM: min=-0.45555500000000004, max=0.9803919999999999, mean=0.01, median=0.0138665
Date/Datetime Column Statistics#
date: min=1926-07-01 00:00:00, max=2025-06-01 00:00:00
french_portfolios_25_monthly_size_and_inv.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/ken_french_data_library/french_portfolios_25_monthly_size_and_inv.parquet
Size: 194578 bytes | Type: Parquet | Shape: 744 rows × 26 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
SMALL LoINV Float64
ME1 INV2 Float64
ME1 INV3 Float64
ME1 INV4 Float64
SMALL HiINV Float64
ME2 INV1 Float64
ME2 INV2 Float64
ME2 INV3 Float64
ME2 INV4 Float64
ME2 INV5 Float64
ME3 INV1 Float64
ME3 INV2 Float64
ME3 INV3 Float64
ME3 INV4 Float64
ME3 INV5 Float64
ME4 INV1 Float64
ME4 INV2 Float64
ME4 INV3 Float64
ME4 INV4 Float64
ME4 INV5 Float64
BIG LoINV Float64
ME5 INV2 Float64
ME5 INV3 Float64
ME5 INV4 Float64
BIG HiINV Float64
Numeric Column Statistics#
SMALL LoINV: min=-0.327046, max=0.44238999999999995, mean=0.01, median=0.0127755
ME1 INV2: min=-0.276557, max=0.267682, mean=0.01, median=0.013399999999999999
ME1 INV3: min=-0.284616, max=0.282749, mean=0.01, median=0.0161465
ME1 INV4: min=-0.300799, max=0.277328, mean=0.01, median=0.015130000000000001
SMALL HiINV: min=-0.32182499999999997, max=0.312182, mean=0.01, median=0.0081145
ME2 INV1: min=-0.300918, max=0.278108, mean=0.01, median=0.0157925
ME2 INV2: min=-0.277692, max=0.200152, mean=0.01, median=0.0158885
ME2 INV3: min=-0.256122, max=0.25766, mean=0.01, median=0.014023
ME2 INV4: min=-0.285565, max=0.276831, mean=0.01, median=0.0154245
ME2 INV5: min=-0.346901, max=0.27634000000000003, mean=0.01, median=0.012192999999999999
ME3 INV1: min=-0.273696, max=0.24623, mean=0.01, median=0.0151555
ME3 INV2: min=-0.270008, max=0.219544, mean=0.01, median=0.0150545
ME3 INV3: min=-0.23318899999999998, max=0.242726, mean=0.01, median=0.014238999999999998
ME3 INV4: min=-0.252253, max=0.246289, mean=0.01, median=0.015022500000000001
ME3 INV5: min=-0.30122699999999997, max=0.223137, mean=0.01, median=0.011324
ME4 INV1: min=-0.286492, max=0.218808, mean=0.01, median=0.015386500000000001
ME4 INV2: min=-0.23296299999999998, max=0.228431, mean=0.01, median=0.013876
ME4 INV3: min=-0.213447, max=0.229207, mean=0.01, median=0.0139215
ME4 INV4: min=-0.253423, max=0.19340900000000003, mean=0.01, median=0.012390000000000002
ME4 INV5: min=-0.27853300000000003, max=0.243443, mean=0.01, median=0.011656
BIG LoINV: min=-0.2043, max=0.23276, mean=0.01, median=0.012548499999999999
ME5 INV2: min=-0.179973, max=0.191565, mean=0.01, median=0.0102615
ME5 INV3: min=-0.190295, max=0.152946, mean=0.01, median=0.010758
ME5 INV4: min=-0.223614, max=0.195702, mean=0.01, median=0.0105155
BIG HiINV: min=-0.22681, max=0.23310199999999998, mean=0.01, median=0.0121585
Date/Datetime Column Statistics#
date: min=1963-07-01 00:00:00, max=2025-06-01 00:00:00
french_portfolios_25_monthly_size_and_op.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/ken_french_data_library/french_portfolios_25_monthly_size_and_op.parquet
Size: 194341 bytes | Type: Parquet | Shape: 744 rows × 26 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
SMALL LoOP Float64
ME1 OP2 Float64
ME1 OP3 Float64
ME1 OP4 Float64
SMALL HiOP Float64
ME2 OP1 Float64
ME2 OP2 Float64
ME2 OP3 Float64
ME2 OP4 Float64
ME2 OP5 Float64
ME3 OP1 Float64
ME3 OP2 Float64
ME3 OP3 Float64
ME3 OP4 Float64
ME3 OP5 Float64
ME4 OP1 Float64
ME4 OP2 Float64
ME4 OP3 Float64
ME4 OP4 Float64
ME4 OP5 Float64
BIG LoOP Float64
ME5 OP2 Float64
ME5 OP3 Float64
ME5 OP4 Float64
BIG HiOP Float64
Numeric Column Statistics#
SMALL LoOP: min=-0.32557200000000003, max=0.422028, mean=0.01, median=0.00723
ME1 OP2: min=-0.283566, max=0.29440500000000003, mean=0.01, median=0.013572500000000001
ME1 OP3: min=-0.288344, max=0.267148, mean=0.01, median=0.015235499999999999
ME1 OP4: min=-0.292117, max=0.896401, mean=0.01, median=0.014085
SMALL HiOP: min=-0.326825, max=0.271516, mean=0.01, median=0.0144335
ME2 OP1: min=-0.330946, max=0.33029000000000003, mean=0.01, median=0.012119
ME2 OP2: min=-0.30593800000000004, max=0.262587, mean=0.01, median=0.0159475
ME2 OP3: min=-0.27133, max=0.250255, mean=0.01, median=0.0155665
ME2 OP4: min=-0.270295, max=0.280188, mean=0.01, median=0.01494
ME2 OP5: min=-0.328563, max=0.26802, mean=0.01, median=0.0160305
ME3 OP1: min=-0.336354, max=0.263965, mean=0.01, median=0.011667
ME3 OP2: min=-0.290374, max=0.218189, mean=0.01, median=0.013766500000000001
ME3 OP3: min=-0.241213, max=0.215368, mean=0.01, median=0.013724
ME3 OP4: min=-0.24647, max=0.22499199999999997, mean=0.01, median=0.013742
ME3 OP5: min=-0.277793, max=0.243126, mean=0.01, median=0.015418999999999999
ME4 OP1: min=-0.267613, max=0.202632, mean=0.01, median=0.012501
ME4 OP2: min=-0.229866, max=0.19933499999999998, mean=0.01, median=0.0139285
ME4 OP3: min=-0.233019, max=0.20671199999999998, mean=0.01, median=0.013684000000000002
ME4 OP4: min=-0.251339, max=0.191918, mean=0.01, median=0.013222000000000001
ME4 OP5: min=-0.25166, max=0.21343, mean=0.01, median=0.015137000000000001
BIG LoOP: min=-0.275389, max=0.219619, mean=0.01, median=0.010040499999999999
ME5 OP2: min=-0.198274, max=0.170909, mean=0.01, median=0.0099825
ME5 OP3: min=-0.20184999999999997, max=0.19799499999999998, mean=0.01, median=0.0122215
ME5 OP4: min=-0.185027, max=0.204984, mean=0.01, median=0.0119805
BIG HiOP: min=-0.223974, max=0.172439, mean=0.01, median=0.011029500000000001
Date/Datetime Column Statistics#
date: min=1963-07-01 00:00:00, max=2025-06-01 00:00:00
ftsfr_french_portfolios_25_daily_size_and_bm.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/ken_french_data_library/ftsfr_french_portfolios_25_daily_size_and_bm.parquet
Size: 2.3 MB | Type: Parquet | Shape: 650,575 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.9998999999999999, max=1.2793999999999999, mean=0.00, median=0.0008
Date/Datetime Column Statistics#
ds: min=1926-07-01 00:00:00, max=2025-06-30 00:00:00
ftsfr_french_portfolios_25_daily_size_and_inv.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/ken_french_data_library/ftsfr_french_portfolios_25_daily_size_and_inv.parquet
Size: 1.3 MB | Type: Parquet | Shape: 390,075 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.2089, max=0.1524, mean=0.00, median=0.0008
Date/Datetime Column Statistics#
ds: min=1963-07-01 00:00:00, max=2025-06-30 00:00:00
ftsfr_french_portfolios_25_daily_size_and_op.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/ken_french_data_library/ftsfr_french_portfolios_25_daily_size_and_op.parquet
Size: 1.3 MB | Type: Parquet | Shape: 390,075 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.21719999999999998, max=0.3675, mean=0.00, median=0.0008
Date/Datetime Column Statistics#
ds: min=1963-07-01 00:00:00, max=2025-06-30 00:00:00
ftsfr_nyu_call_report_cash_liquidity.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/nyu_call_report/ftsfr_nyu_call_report_cash_liquidity.parquet
Size: 15.5 MB | Type: Parquet | Shape: 1,906,765 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=0.0, max=1.0230938416422288, mean=0.08, median=0.05780420579828501
Date/Datetime Column Statistics#
ds: min=1976-03-31 00:00:00, max=2020-03-31 00:00:00
ftsfr_nyu_call_report_holding_company_cash_liquidity.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/nyu_call_report/ftsfr_nyu_call_report_holding_company_cash_liquidity.parquet
Size: 6.8 MB | Type: Parquet | Shape: 832,902 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=0.0, max=0.9987931814753357, mean=0.07, median=0.05177395811931505
Date/Datetime Column Statistics#
ds: min=1976-03-31 00:00:00, max=2020-03-31 00:00:00
ftsfr_nyu_call_report_holding_company_leverage.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/nyu_call_report/ftsfr_nyu_call_report_holding_company_leverage.parquet
Size: 6.8 MB | Type: Parquet | Shape: 831,858 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=1.0, max=14698.6, mean=11.62, median=10.981269862683128
Date/Datetime Column Statistics#
ds: min=1976-03-31 00:00:00, max=2020-03-31 00:00:00
ftsfr_nyu_call_report_leverage.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/nyu_call_report/ftsfr_nyu_call_report_leverage.parquet
Size: 15.1 MB | Type: Parquet | Shape: 1,849,957 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=0.952712100139082, max=36527.066666666666, mean=11.86, median=11.121173104434908
Date/Datetime Column Statistics#
ds: min=1976-03-31 00:00:00, max=2020-03-31 00:00:00
nyu_call_report.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/nyu_call_report/nyu_call_report.parquet
Size: 376.4 MB | Type: Parquet | Shape: 1,919,810 rows × 187 columns
Columns#
rssdid String
chartertype String (0.0% null)
cert String (0.0% null)
bhcid String (0.0% null)
date Datetime(time_unit='ns', time_zone=None)
name String
assets Float64 (0.2% null)
reloans Float64 (12.9% null)
cash Float64 (0.5% null)
persloans Float64 (15.9% null)
agloans Float64 (4.2% null)
subordinateddebt Float64 (3.7% null)
equity Float64 (3.1% null)
demanddep Float64 (0.7% null)
transdep Float64 (28.4% null)
brokereddep Float64 (27.2% null)
brokereddeple100k Float64 (32.6% null)
brokereddepeq100k Float64 (42.4% null)
timedepge100k Float64 (1.6% null)
timedeple100k Float64 (29.1% null)
cdge100k Float64 (41.4% null)
timedepge250k Float64 (86.4% null)
timedeple250k Float64 (86.4% null)
ciloans Float64 (0.5% null)
loans Float64 (12.5% null)
loansnet Float64 (0.2% null)
fedfundsrepoasset Float64 (0.2% null)
tradingassets Float64 (27.0% null)
securities Float64 (2.2% null)
securities_ammcost Float64 (55.1% null)
securitiesheldtomaturity Float64 (55.1% null)
securitiesavailableforsale Float64 (55.1% null)
liabilities Float64 (0.5% null)
deposits Float64 (3.0% null)
foreigndep Float64
nonintbeardep Float64 (28.8% null)
intbeardep Float64 (28.8% null)
intbearfordep Float64 (98.6% null)
fedfundsrepoliab Float64 (0.2% null)
tradingliabilities Float64 (55.1% null)
otherborrowedmoney Float64 (12.3% null)
timesavdep Float64 (3.3% null)
nontransdep Float64 (26.8% null)
timedep Float64 (29.1% null)
timedepuninsured Float64 (2.1% null)
savdep Float64 (28.8% null)
totsavdep Float64 (29.1% null)
numemployees Float64 (19.3% null)
qavgbaldue Float64 (25.9% null)
qavgtreasuriesagencydebt Float64 (71.3% null)
qavgmbs Float64 (71.3% null)
qavgothersecurities Float64 (71.3% null)
qavgtradingassets Float64 (73.2% null)
qavgfedfundsrepoasset Float64 (1.7% null)
qavgloans Float64 (4.2% null)
qavgreloans1to4fam Float64 (83.0% null)
qavgreloansother Float64 (83.0% null)
qavgagloans Float64 (76.7% null)
qavgciloans Float64 (67.7% null)
qavgpersccards Float64 (71.5% null)
qavgpersother Float64 (71.5% null)
qavgforloans Float64 (98.6% null)
qavgleases Float64 (38.1% null)
qavgassets Float64 (12.4% null)
qavgtransdep Float64 (38.1% null)
qavgsavdep Float64 (71.3% null)
qavgtimedepge100k Float64 (67.2% null)
qavgcdge100k Float64 (49.8% null)
qavgtimedeple100k Float64 (67.2% null)
qavgtimedeple250k Float64 (96.3% null)
qavgtimedepge250k Float64 (96.3% null)
qavgfordep Float64 (98.8% null)
qavgfedfundsrepoliab Float64 (12.6% null)
qavgtradingandotherborrowed Float64 (55.5% null)
qavgpersloans Float64 (71.5% null)
qavgreloans Float64 (67.4% null)
qavgsecurities Float64 (71.3% null)
securities_less_3m Float64 (64.0% null)
securities_3m_1y Float64 (64.0% null)
securities_1y_3y Float64 (64.0% null)
securities_3y_5y Float64 (64.0% null)
securities_5y_15y Float64 (64.0% null)
securities_over_15y Float64 (64.0% null)
securitiestreasury_less_3m Float64 (64.0% null)
securitiestreasury_3m_1y Float64 (64.0% null)
securitiestreasury_1y_3y Float64 (64.0% null)
securitiestreasury_3y_5y Float64 (64.0% null)
securitiestreasury_5y_15y Float64 (64.0% null)
securitiestreasury_over_15y Float64 (64.0% null)
securitiesrmbs_less_3m Float64 (64.0% null)
securitiesrmbs_3m_1y Float64 (64.0% null)
securitiesrmbs_1y_3y Float64 (64.0% null)
securitiesrmbs_3y_5y Float64 (64.0% null)
securitiesrmbs_5y_15y Float64 (64.0% null)
securitiesrmbs_over_15y Float64 (64.0% null)
securitiesothermbs_less_3y Float64 (64.0% null)
securitiesothermbs_over_3y Float64 (64.0% null)
loansleases_mat_less_1y Float64 (63.8% null)
securities_mat_less_1y Float64 (63.8% null)
resloans_less_3m Float64 (64.0% null)
resloans_3m_1y Float64 (64.0% null)
resloans_1y_3y Float64 (64.0% null)
resloans_3y_5y Float64 (64.0% null)
resloans_5y_15y Float64 (64.0% null)
resloans_over_15y Float64 (64.0% null)
loansleases_less_3m Float64 (64.0% null)
loansleases_3m_1y Float64 (64.0% null)
loansleases_1y_3y Float64 (64.0% null)
loansleases_3y_5y Float64 (64.0% null)
loansleases_5y_15y Float64 (64.0% null)
loansleases_over_15y Float64 (64.0% null)
timedeple100k_less_3m Float64 (67.7% null)
timedeple100k_3m_1y Float64 (67.7% null)
timedeple100k_1y_3y Float64 (67.7% null)
timedeple100k_over_3y Float64 (67.7% null)
timedeple100k_less_1y Float64 (67.6% null)
timedepge100k_less_3m Float64 (67.7% null)
timedepge100k_3m_1y Float64 (67.7% null)
timedepge100k_1y_3y Float64 (67.7% null)
timedepge100k_over_3y Float64 (67.7% null)
timedeple250k_less_3m Float64 (96.3% null)
timedeple250k_3m_1y Float64 (96.3% null)
timedeple250k_1y_3y Float64 (96.3% null)
timedeple250k_over_3y Float64 (96.3% null)
timedeple250k_less_1y Float64 (96.3% null)
timedepge250k_less_3m Float64 (96.3% null)
timedepge250k_3m_1y Float64 (96.3% null)
timedepge250k_1y_3y Float64 (96.3% null)
timedepge250k_over_3y Float64 (96.3% null)
interestratederivatives Float64 (59.8% null)
interestratederivatives_par Float64 (87.3% null)
grosshedging Float64 (59.8% null)
fixedrateswaps Float64 (66.5% null)
totalswaps Float64 (32.6% null)
floatingrateswaps Float64 (66.5% null)
nethedging Float64 (66.5% null)
grosstrading Float64 (59.8% null)
year String
month String
quarter String
day String
dateq Datetime(time_unit='ns', time_zone=None)
dividendoncommonstock Float64 (56.4% null)
exponpremises Float64 (25.2% null)
intanddivincsecurities Float64 (29.3% null)
intandnonintexp Float64 (25.1% null)
intexp Float64 (28.8% null)
intexpalldep Float64 (25.5% null)
intexpdomdep Float64 (25.5% null)
intexpfedfundsrepoliab Float64 (25.3% null)
intexpfordep Float64 (0.6% null)
intexpsavdep Float64 (38.2% null)
intexpsubordinated Float64 (27.8% null)
intexpcdge100k Float64 (61.8% null)
intexptimedep Float64 (39.8% null)
intexptimedepge100k Float64 (68.9% null)
intexptimedeple100k Float64 (68.9% null)
intexptradingandborrowed Float64 (28.1% null)
intexptransdep Float64 (38.2% null)
intincagloans Float64 (76.8% null)
intincassets Float64 (28.8% null)
intincbaldue Float64 (25.2% null)
intincciloans Float64 (67.8% null)
intincfedfundsrepoasset Float64 (25.2% null)
intincforloans Float64 (98.8% null)
intincleases Float64 (25.7% null)
intincloans Float64 (25.5% null)
intincmbs Float64 (71.3% null)
intincpersother Float64 (71.6% null)
intincreloansother Float64 (83.0% null)
intincothersecurities Float64 (67.7% null)
intincpersccards Float64 (71.6% null)
intincpersloans Float64 (71.6% null)
intincreloans Float64 (67.5% null)
intinctreasuriesagencydebt Float64 (71.3% null)
loanleaselossprovision Float64 (25.1% null)
netinc Float64 (25.1% null)
intincnet Float64 (28.8% null)
nonintexp Float64 (28.8% null)
nonintinc Float64 (28.8% null)
operinc Float64 (25.1% null)
salaries Float64 (25.1% null)
domdepservicecharges Float64 (25.4% null)
tradingrevenue Float64 (71.5% null)
intincreloans1to4fam Float64 (83.0% null)
intexptimedeple250k Float64 (96.3% null)
intexptimedepge250k Float64 (96.3% null)
Numeric Column Statistics#
assets: min=0.0, max=2690959000.0, mean=825842.44, median=57515.0
reloans: min=0.0, max=477733526.0, mean=138734.47, median=11102.0
cash: min=-708.0, max=508253000.0, mean=84764.11, median=3221.0
persloans: min=0.0, max=167520368.0, mean=43189.48, median=3598.0
agloans: min=0.0, max=6508000.0, mean=4535.94, median=614.0
subordinateddebt: min=0.0, max=29191000.0, mean=6173.88, median=0.0
equity: min=-939749.0, max=256755000.0, mean=78660.31, median=5213.0
demanddep: min=0.0, max=1077952576.0, mean=101129.81, median=7171.0
transdep: min=0.0, max=436889000.0, mean=106318.22, median=16534.0
brokereddep: min=-5.0, max=127955391.0, mean=36338.69, median=0.0
brokereddeple100k: min=0.0, max=63525000.0, mean=12988.17, median=0.0
brokereddepeq100k: min=0.0, max=29231911.0, mean=4983.58, median=0.0
timedepge100k: min=0.0, max=143676362.0, mean=87254.75, median=5141.0
timedeple100k: min=0.0, max=117145420.0, mean=83614.56, median=18713.0
cdge100k: min=0.0, max=24393123.0, mean=22054.23, median=2334.0
timedepge250k: min=0.0, max=70785000.0, mean=81479.25, median=6604.0
timedeple250k: min=0.0, max=129245692.0, mean=194889.67, median=41434.0
ciloans: min=-1.0, max=189448000.0, mean=83002.67, median=4532.0
loans: min=0.0, max=755800605.0, mean=288709.07, median=26295.0
loansnet: min=-32633.0, max=1029545000.0, mean=420291.45, median=30511.0
fedfundsrepoasset: min=0.0, max=320811000.0, mean=38514.80, median=1075.0
tradingassets: min=-156.0, max=380337000.0, mean=60560.62, median=0.0
securities: min=0.0, max=470089000.0, mean=142718.53, median=13070.0
securities_ammcost: min=0.0, max=464284000.0, mean=269591.78, median=21978.0
securitiesheldtomaturity: min=0.0, max=254190000.0, mean=48051.89, median=10.0
securitiesavailableforsale: min=0.0, max=398870000.0, mean=222182.64, median=16200.0
liabilities: min=-43.0, max=2447353000.0, mean=719964.65, median=51650.0
deposits: min=-2139062144.0, max=1577444000.0, mean=375230.60, median=47874.0
foreigndep: min=0.0, max=589762000.0, mean=66805.66, median=0.0
nonintbeardep: min=0.0, max=560667000.0, mean=135453.07, median=8722.0
intbeardep: min=0.0, max=1063057000.0, mean=439633.01, median=53973.0
intbearfordep: min=0.0, max=520316000.0, mean=4459846.04, median=72823.0
fedfundsrepoliab: min=0.0, max=276478000.0, mean=50560.18, median=0.0
tradingliabilities: min=0.0, max=143684000.0, mean=45471.75, median=0.0
otherborrowedmoney: min=0.0, max=212698000.0, mean=69139.36, median=0.0
timesavdep: min=0.0, max=1274064000.0, mean=415974.57, median=39315.0
nontransdep: min=0.0, max=1247684000.0, mean=503475.20, median=44918.0
timedep: min=0.0, max=260821782.0, mean=151142.34, median=28639.0
timedepuninsured: min=0.0, max=143676362.0, mean=61605.06, median=4247.0
savdep: min=0.0, max=1144622000.0, mean=317335.58, median=14030.0
totsavdep: min=-126838.0, max=1211090000.0, mean=344011.58, median=22512.0
numemployees: min=-292.0, max=1607556.0, mean=192.82, median=31.0
qavgbaldue: min=-77.0, max=487713000.0, mean=69892.80, median=324.0
qavgtreasuriesagencydebt: min=0.0, max=147644000.0, mean=60008.69, median=6776.0
qavgmbs: min=0.0, max=345453000.0, mean=193314.31, median=4633.5
qavgothersecurities: min=0.0, max=171050000.0, mean=86569.90, median=5274.0
qavgtradingassets: min=-271.0, max=395964000.0, mean=109135.71, median=0.0
qavgfedfundsrepoasset: min=0.0, max=299806000.0, mean=35092.13, median=1426.0
qavgloans: min=0.0, max=890008000.0, mean=365467.30, median=30020.0
qavgreloans1to4fam: min=0.0, max=382413298.0, mean=352564.96, median=27267.0
qavgreloansother: min=0.0, max=146254000.0, mean=278353.52, median=41769.0
qavgagloans: min=0.0, max=6059000.0, mean=11917.71, median=1736.0
qavgciloans: min=0.0, max=241237000.0, mean=207808.72, median=11977.0
qavgpersccards: min=0.0, max=145955000.0, mean=69520.35, median=0.0
qavgpersother: min=0.0, max=91928000.0, mean=81730.16, median=3490.0
qavgforloans: min=-65143.0, max=333795000.0, mean=2002755.24, median=4258.0
qavgleases: min=-3753.0, max=25377000.0, mean=11222.95, median=0.0
qavgassets: min=0.0, max=2471436000.0, mean=765242.38, median=62124.0
qavgtransdep: min=0.0, max=270231000.0, mean=39734.36, median=7816.0
qavgsavdep: min=0.0, max=1099653000.0, mean=670795.29, median=27010.0
qavgtimedepge100k: min=0.0, max=140237656.0, mean=96464.89, median=13871.0
qavgcdge100k: min=0.0, max=24315430.0, mean=21066.66, median=2773.0
qavgtimedeple100k: min=0.0, max=127334276.0, mean=112919.04, median=24338.0
qavgtimedeple250k: min=0.0, max=87714000.0, mean=219044.87, median=38847.0
qavgtimedepge250k: min=0.0, max=60613090.0, mean=114751.17, median=8553.0
qavgfordep: min=0.0, max=535240000.0, mean=4942261.86, median=74518.0
qavgfedfundsrepoliab: min=0.0, max=277030000.0, mean=58482.67, median=0.0
qavgtradingandotherborrowed: min=0.0, max=187361000.0, mean=131037.86, median=2.0
qavgpersloans: min=0.0, max=203894000.0, mean=151250.51, median=3625.0
qavgreloans: min=0.0, max=478987000.0, mean=528229.85, median=72151.0
qavgsecurities: min=0.0, max=436703000.0, mean=339892.90, median=25022.0
securities_less_3m: min=0.0, max=106370361.0, mean=30368.04, median=601.0
securities_3m_1y: min=0.0, max=73541000.0, mean=14466.01, median=1208.0
securities_1y_3y: min=0.0, max=111517000.0, mean=30252.44, median=2893.0
securities_3y_5y: min=0.0, max=94822000.0, mean=25275.44, median=2446.0
securities_5y_15y: min=0.0, max=81775033.0, mean=57072.81, median=5497.0
securities_over_15y: min=0.0, max=317684000.0, mean=78495.98, median=320.0
securitiestreasury_less_3m: min=0.0, max=105938918.0, mean=27018.85, median=431.0
securitiestreasury_3m_1y: min=0.0, max=73284000.0, mean=12230.80, median=858.0
securitiestreasury_1y_3y: min=0.0, max=110811000.0, mean=27829.55, median=2501.0
securitiestreasury_3y_5y: min=0.0, max=93331000.0, mean=22037.67, median=2001.0
securitiestreasury_5y_15y: min=0.0, max=68811000.0, mean=30642.11, median=3252.0
securitiestreasury_over_15y: min=0.0, max=50687293.0, mean=12704.00, median=0.0
securitiesrmbs_less_3m: min=0.0, max=10184290.0, mean=3349.20, median=0.0
securitiesrmbs_3m_1y: min=0.0, max=3512483.0, mean=2235.21, median=0.0
securitiesrmbs_1y_3y: min=0.0, max=16306115.0, mean=2422.89, median=0.0
securitiesrmbs_3y_5y: min=0.0, max=61749128.0, mean=3237.77, median=0.0
securitiesrmbs_5y_15y: min=0.0, max=77485779.0, mean=26430.70, median=317.0
securitiesrmbs_over_15y: min=0.0, max=316462000.0, mean=65791.98, median=0.0
securitiesothermbs_less_3y: min=0.0, max=56098000.0, mean=18944.37, median=0.0
securitiesothermbs_over_3y: min=0.0, max=76242000.0, mean=40467.11, median=0.0
loansleases_mat_less_1y: min=0.0, max=343067000.0, mean=195540.26, median=17618.0
securities_mat_less_1y: min=0.0, max=92485000.0, mean=20537.43, median=1227.0
resloans_less_3m: min=0.0, max=65112000.0, mean=17677.91, median=986.0
resloans_3m_1y: min=0.0, max=23554000.0, mean=16126.16, median=1764.0
resloans_1y_3y: min=0.0, max=31765000.0, mean=19034.60, median=2873.0
resloans_3y_5y: min=0.0, max=31761000.0, mean=20922.30, median=1978.0
resloans_5y_15y: min=0.0, max=65545197.0, mean=39275.77, median=1447.0
resloans_over_15y: min=0.0, max=185277000.0, mean=66438.32, median=326.0
loansleases_less_3m: min=0.0, max=583445000.0, mean=389337.86, median=15307.0
loansleases_3m_1y: min=0.0, max=78364000.0, mean=68543.66, median=10647.5
loansleases_1y_3y: min=0.0, max=112295000.0, mean=107814.36, median=14210.0
loansleases_3y_5y: min=0.0, max=98491000.0, mean=97304.62, median=11707.0
loansleases_5y_15y: min=0.0, max=115264000.0, mean=106881.22, median=6610.0
loansleases_over_15y: min=0.0, max=202708000.0, mean=86232.95, median=1190.0
timedeple100k_less_3m: min=0.0, max=47259000.0, mean=27219.82, median=5716.0
timedeple100k_3m_1y: min=0.0, max=72801155.0, mean=49953.79, median=11375.0
timedeple100k_1y_3y: min=0.0, max=20275000.0, mean=25610.59, median=4603.0
timedeple100k_over_3y: min=0.0, max=17637000.0, mean=9611.55, median=674.0
timedeple100k_less_1y: min=0.0, max=108375017.0, mean=76406.80, median=17166.0
timedepge100k_less_3m: min=0.0, max=98667000.0, mean=44620.69, median=3810.0
timedepge100k_3m_1y: min=0.0, max=78616626.0, mean=33946.85, median=6446.0
timedepge100k_1y_3y: min=0.0, max=20604594.0, mean=14048.55, median=1980.0
timedepge100k_over_3y: min=0.0, max=10076000.0, mean=6613.55, median=300.0
timedeple250k_less_3m: min=0.0, max=18491000.0, mean=42490.74, median=7200.0
timedeple250k_3m_1y: min=0.0, max=37619000.0, mean=93975.09, median=16356.0
timedeple250k_1y_3y: min=0.0, max=28614000.0, mean=61004.03, median=9938.0
timedeple250k_over_3y: min=0.0, max=15008000.0, mean=24000.98, median=2252.0
timedeple250k_less_1y: min=0.0, max=50099000.0, mean=134230.38, median=23392.0
timedepge250k_less_3m: min=0.0, max=54639000.0, mean=65075.42, median=1532.0
timedepge250k_3m_1y: min=0.0, max=18425000.0, mean=31771.68, median=3480.0
timedepge250k_1y_3y: min=0.0, max=19013567.0, mean=12216.75, median=1570.0
timedepge250k_over_3y: min=0.0, max=51710000.0, mean=9032.62, median=256.0
interestratederivatives: min=0.0, max=2446245923.0, mean=279434.41, median=0.0
interestratederivatives_par: min=0.0, max=336151000.0, mean=137342.26, median=0.0
grosshedging: min=0.0, max=2446245923.0, mean=322885.89, median=0.0
fixedrateswaps: min=0.0, max=1314948769.0, mean=83095.03, median=0.0
totalswaps: min=0.0, max=59969864000.0, mean=6470696.29, median=0.0
floatingrateswaps: min=-5.0, max=59951858000.0, mean=11184368.95, median=0.0
nethedging: min=-59933852000.0, max=23553000.0, mean=-11101273.92, median=0.0
grosstrading: min=0.0, max=75137030000.0, mean=14965753.14, median=0.0
dividendoncommonstock: min=-3664770.0, max=11400000.0, mean=2553.04, median=0.0
exponpremises: min=-1435000.0, max=3247000.0, mean=830.23, median=76.0
intanddivincsecurities: min=-3952000.0, max=4186000.0, mean=1750.50, median=229.0
intandnonintexp: min=-23572000.0, max=20642000.0, mean=11551.80, median=1142.0
intexp: min=-10933000.0, max=13799000.0, mean=4142.82, median=480.0
intexpalldep: min=-7391000.0, max=7032000.0, mean=3100.19, median=450.0
intexpdomdep: min=-6367000.0, max=3557902.0, mean=2408.41, median=449.0
intexpfedfundsrepoliab: min=-594000.0, max=2896000.0, mean=434.13, median=0.0
intexpfordep: min=-1024000.0, max=5325000.0, mean=518.34, median=0.0
intexpsavdep: min=-1947000.0, max=1793000.0, mean=777.17, median=76.0
intexpsubordinated: min=-866000.0, max=552000.0, mean=99.78, median=0.0
intexpcdge100k: min=-84000.0, max=1101673.0, mean=535.49, median=55.0
intexptimedep: min=-4281000.0, max=2352550.0, mean=1452.85, median=296.0
intexptimedepge100k: min=-1888000.0, max=1276114.0, mean=673.47, median=97.0
intexptimedeple100k: min=-2393000.0, max=1640531.0, mean=900.84, median=178.0
intexptradingandborrowed: min=-2082000.0, max=6175000.0, mean=633.63, median=0.0
intexptransdep: min=-139000.0, max=1093000.0, mean=138.03, median=28.0
intincagloans: min=-688065.0, max=688569.0, mean=189.58, median=29.0
intincassets: min=-22972000.0, max=22379000.0, mean=11499.64, median=1285.0
intincbaldue: min=-391000.0, max=1546000.0, mean=311.03, median=3.0
intincciloans: min=-3609000.0, max=2536000.0, mean=3201.90, median=199.0
intincfedfundsrepoasset: min=-204000.0, max=3665000.0, mean=295.25, median=17.0
intincforloans: min=-691000.0, max=7593000.0, mean=40789.94, median=15.0
intincleases: min=-843000.0, max=637000.0, mean=151.32, median=0.0
intincloans: min=-18198000.0, max=18477000.0, mean=8531.87, median=907.0
intincmbs: min=-3222000.0, max=3983000.0, mean=1615.76, median=38.0
intincpersother: min=-2318000.0, max=1405000.0, mean=1220.38, median=68.0
intincreloansother: min=-2924000.0, max=1916977.0, mean=3398.19, median=596.0
intincothersecurities: min=-672000.0, max=1887000.0, mean=630.04, median=36.0
intincpersccards: min=-2527000.0, max=11317000.0, mean=2291.27, median=0.0
intincpersloans: min=-2492000.0, max=11479000.0, mean=3511.66, median=71.0
intincreloans: min=-10838000.0, max=10007000.0, mean=7621.88, median=1166.0
intinctreasuriesagencydebt: min=-239000.0, max=669000.0, mean=365.24, median=49.0
loanleaselossprovision: min=-9044000.0, max=9790785.0, mean=1247.54, median=25.0
netinc: min=-13469374.0, max=8833000.0, mean=2337.24, median=166.0
intincnet: min=-12039000.0, max=18662000.0, mean=7356.97, median=726.0
nonintexp: min=-12639000.0, max=16551000.0, mean=7310.88, median=583.0
nonintinc: min=-7074000.0, max=12466271.0, mean=4624.34, median=110.0
operinc: min=-30046000.0, max=33270000.0, mean=16052.01, median=1421.0
salaries: min=-4991000.0, max=7483000.0, mean=3148.13, median=289.0
domdepservicecharges: min=-2084000.0, max=2989434.0, mean=656.43, median=54.0
tradingrevenue: min=-7587000.0, max=5288000.0, mean=714.39, median=0.0
intincreloans1to4fam: min=-7914000.0, max=5820618.0, mean=3944.56, median=392.0
intexptimedeple250k: min=-16516.0, max=512000.0, mean=912.48, median=118.0
intexptimedepge250k: min=-4056.0, max=522042.0, mean=507.17, median=29.0
Date/Datetime Column Statistics#
date: min=1976-03-31 00:00:00, max=2020-03-31 00:00:00
dateq: min=1976-03-31 00:00:00, max=2020-03-31 00:00:00
cjs_portfolio_returns_1996-01_2019-12.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/options/cjs_portfolio_returns_1996-01_2019-12.parquet
Size: 122079 bytes | Type: Parquet | Shape: 15,552 rows × 3 columns
Columns#
return Float64
ftfsa_id String
date Datetime(time_unit='ns', time_zone=None)
Numeric Column Statistics#
return: min=-0.13864600229548996, max=2.791869182116687, mean=0.02, median=0.0
Date/Datetime Column Statistics#
date: min=1996-01-31 00:00:00, max=2019-12-31 00:00:00
data_1996-01_2012-01.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/options/data_1996-01_2012-01.parquet
Size: 58.6 MB | Type: Parquet | Shape: 3,410,570 rows × 15 columns
Columns#
secid Float64
date Datetime(time_unit='ns', time_zone=None)
open Float64
close Float64
cp_flag String
exdate Datetime(time_unit='ns', time_zone=None)
impl_volatility Float64 (7.1% null)
tb_m3 Float64 (0.8% null)
volume Float64
open_interest Float64
best_bid Float64
best_offer Float64
strike_price Float64
contract_size Float64
__index_level_0__ Int64
Numeric Column Statistics#
secid: min=108105.0, max=108105.0, mean=108105.00, median=108105.0
open: min=598.48, max=1564.98, mean=1160.29, median=1177.68
close: min=598.48, max=1565.15, mean=1160.47, median=1177.6
impl_volatility: min=0.02094, max=8.977526, mean=0.31, median=0.247122
tb_m3: min=0.0, max=6.24, mean=1.95, median=1.06
volume: min=0.0, max=200777.0, mean=381.46, median=0.0
open_interest: min=0.0, max=370769.0, mean=7069.23, median=564.0
best_bid: min=0.0, max=1916.3, mean=136.26, median=53.9
best_offer: min=0.05, max=1921.2, mean=138.52, median=56.6
strike_price: min=50000.0, max=3000000.0, mean=1100222.13, median=1110000.0
contract_size: min=100.0, max=100.0, mean=100.00, median=100.0
__index_level_0__: min=0, max=499999, mean=146085.49, median=104869.0
Date/Datetime Column Statistics#
date: min=1996-01-04 00:00:00, max=2012-01-31 00:00:00
exdate: min=1996-01-20 00:00:00, max=2014-12-20 00:00:00
data_2012-02_2019-12.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/options/data_2012-02_2019-12.parquet
Size: 261.2 MB | Type: Parquet | Shape: 15,803,328 rows × 15 columns
Columns#
secid Float64
date Datetime(time_unit='ns', time_zone=None)
open Float64
close Float64
cp_flag String
exdate Datetime(time_unit='ns', time_zone=None)
impl_volatility Float64 (11.7% null)
tb_m3 Float64 (0.8% null)
volume Float64
open_interest Float64
best_bid Float64
best_offer Float64
strike_price Float64
contract_size Float64
__index_level_0__ Int64
Numeric Column Statistics#
secid: min=108105.0, max=108105.0, mean=108105.00, median=108105.0
open: min=1277.82, max=3247.23, mean=2403.07, median=2450.66
close: min=1278.04, max=3240.02, mean=2403.43, median=2457.59
impl_volatility: min=0.012578, max=8.992139, mean=0.27, median=0.20988
tb_m3: min=-0.02, max=2.43, mean=1.07, median=1.02
volume: min=0.0, max=124136.0, mean=133.64, median=0.0
open_interest: min=0.0, max=624873.0, mean=1700.71, median=15.0
best_bid: min=0.0, max=3115.1, mean=219.28, median=57.0
best_offer: min=0.05, max=3134.3, mean=222.72, median=59.2
strike_price: min=100000.0, max=4800000.0, mean=2098406.93, median=2125000.0
contract_size: min=100.0, max=100.0, mean=100.00, median=100.0
__index_level_0__: min=0, max=499999, mean=238963.73, median=234175.0
Date/Datetime Column Statistics#
date: min=2012-02-01 00:00:00, max=2019-12-31 00:00:00
exdate: min=2012-02-03 00:00:00, max=2022-12-16 00:00:00
ftsfr_cjs_option_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/options/ftsfr_cjs_option_returns.parquet
Size: 91630 bytes | Type: Parquet | Shape: 15,552 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.13864600229548996, max=2.791869182116687, mean=0.02, median=0.0
Date/Datetime Column Statistics#
ds: min=1996-01-31 00:00:00, max=2019-12-31 00:00:00
ftsfr_hkm_option_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/options/ftsfr_hkm_option_returns.parquet
Size: 39817 bytes | Type: Parquet | Shape: 5,184 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.07194785160690693, max=0.9284949815963346, mean=0.02, median=0.004017050151524223
Date/Datetime Column Statistics#
ds: min=1996-01-31 00:00:00, max=2019-12-31 00:00:00
hkm_portfolio_returns_1996-01_2019-12.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/options/hkm_portfolio_returns_1996-01_2019-12.parquet
Size: 51931 bytes | Type: Parquet | Shape: 5,184 rows × 3 columns
Columns#
return Float64
ftfsa_id String
date Datetime(time_unit='ns', time_zone=None)
Numeric Column Statistics#
return: min=-0.07194785160690693, max=0.9284949815963346, mean=0.02, median=0.004017050151524223
Date/Datetime Column Statistics#
date: min=1996-01-31 00:00:00, max=2019-12-31 00:00:00
CRSP_TFZ_CONSOLIDATED.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/us_treasury_returns/CRSP_TFZ_CONSOLIDATED.parquet
Size: 94.7 MB | Type: Parquet | Shape: 2,501,597 rows × 23 columns
Columns#
kytreasno Float64
kycrspid String
tcusip String
caldt Datetime(time_unit='ns', time_zone=None)
tdatdt Datetime(time_unit='ns', time_zone=None)
tmatdt Datetime(time_unit='ns', time_zone=None)
tfcaldt Datetime(time_unit='ns', time_zone=None)
tdbid Float64 (0.0% null)
tdask Float64 (0.0% null)
tdaccint Float64
tdyld Float64 (0.0% null)
price Float64 (0.0% null)
tdpubout Float64 (2.4% null)
tdtotout Float64 (0.9% null)
tdpdint Float64
tcouprt Float64
itype Float64
original_maturity Float64
years_to_maturity Float64
tdduratn Float64
tdretnua Float64 (0.1% null)
days_to_maturity Int64
callable Boolean
Numeric Column Statistics#
kytreasno: min=200636.0, max=208448.0, mean=204546.38, median=204055.0
tdbid: min=43.5, max=176.328125, mean=104.45, median=100.953125
tdask: min=43.546875, max=176.390625, mean=104.53, median=101.01171875
tdaccint: min=0.0, max=11.86908390823, mean=1.34, median=0.91160220994475
tdyld: min=-0.016641617296462, max=0.0065577934599587, mean=0.00, median=0.0001155821303717
price: min=44.05672554347826, max=182.7192679558011, mean=105.83, median=102.3286401098901
tdpubout: min=1.0, max=120001.0, mean=19730.94, median=14604.0
tdtotout: min=4.0, max=148501.0, mean=24755.12, median=18941.0
tdpdint: min=0.0, max=11.913043478261, mean=0.02, median=0.0
tcouprt: min=0.125, max=16.25, mean=5.40, median=4.75
itype: min=1.0, max=2.0, mean=1.75, median=2.0
original_maturity: min=1.0, max=40.0, mean=11.03, median=7.0
years_to_maturity: min=0.0, max=30.0, mean=6.21, median=3.0
tdduratn: min=-1.0, max=9160.066986023601, mean=1653.01, median=1112.0144269626
tdretnua: min=-0.10941117224377, max=0.12811078405138, mean=0.00, median=0.00014492729480761
days_to_maturity: min=1, max=11053, mean=2265.57, median=1212.0
Date/Datetime Column Statistics#
caldt: min=1970-01-02 00:00:00, max=2025-08-29 00:00:00
tdatdt: min=1955-02-15 00:00:00, max=2025-08-31 00:00:00
tmatdt: min=1970-02-15 00:00:00, max=2055-08-15 00:00:00
tfcaldt: min=1970-01-01 00:00:00, max=1970-01-01 00:00:00
CRSP_TFZ_DAILY.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/us_treasury_returns/CRSP_TFZ_DAILY.parquet
Size: 123.5 MB | Type: Parquet | Shape: 3,183,517 rows × 14 columns
Columns#
kytreasno Float64
kycrspid String
caldt Datetime(time_unit='ns', time_zone=None)
tdbid Float64 (0.0% null)
tdask Float64 (0.0% null)
tdaccint Float64
tdyld Float64 (5.9% null)
price Float64 (0.0% null)
tdduratn Float64 (5.9% null)
tdretnua Float64 (6.0% null)
tdpubout Float64 (16.9% null)
tdtotout Float64 (2.1% null)
tdpdint Float64
__index_level_0__ Int64
Numeric Column Statistics#
kytreasno: min=200629.0, max=208161.0, mean=204351.50, median=203999.0
tdbid: min=43.5, max=179.4375, mean=104.37, median=100.453125
tdask: min=43.546875, max=179.5625, mean=104.46, median=100.51171875
tdaccint: min=0.0, max=11.86908390823, mean=1.14, median=0.63012295081967
tdyld: min=-0.016641617296462, max=0.0065577934599587, mean=0.00, median=0.000123679096319495
price: min=44.05672554347826, max=185.0088315217391, mean=105.55, median=101.5925546448087
tdduratn: min=-1.0, max=9160.066986023601, mean=1434.01, median=893.0038337727699
tdretnua: min=-0.10941117224377, max=0.12811078405138, mean=0.00, median=0.000136260667250115
tdpubout: min=1.0, max=116796.0, mean=17513.59, median=13013.0
tdtotout: min=4.0, max=249728.0, mean=22858.05, median=17037.0
tdpdint: min=0.0, max=11.913043478261, mean=0.02, median=0.0
__index_level_0__: min=0, max=499999, mean=240877.51, median=234706.0
Date/Datetime Column Statistics#
caldt: min=1970-01-02 00:00:00, max=2023-12-29 00:00:00
CRSP_TFZ_INFO.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/us_treasury_returns/CRSP_TFZ_INFO.parquet
Size: 79525 bytes | Type: Parquet | Shape: 2,244 rows × 8 columns
Columns#
kytreasno Float64
kycrspid String
tcusip String
tdatdt Datetime(time_unit='ns', time_zone=None) (0.0% null)
tmatdt Datetime(time_unit='ns', time_zone=None)
tcouprt Float64
itype Float64
original_maturity Float64 (0.0% null)
Numeric Column Statistics#
kytreasno: min=200018.0, max=208448.0, mean=204573.06, median=204016.5
tcouprt: min=0.125, max=16.25, mean=4.62, median=4.0
itype: min=1.0, max=2.0, mean=1.91, median=2.0
original_maturity: min=1.0, max=40.0, mean=6.06, median=5.0
Date/Datetime Column Statistics#
tdatdt: min=1916-01-01 00:00:00, max=2025-08-31 00:00:00
tmatdt: min=1926-03-15 00:00:00, max=2055-08-15 00:00:00
CRSP_TFZ_with_runness.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/us_treasury_returns/CRSP_TFZ_with_runness.parquet
Size: 94.8 MB | Type: Parquet | Shape: 2,501,597 rows × 24 columns
Columns#
kytreasno Float64
kycrspid String
tcusip String
caldt Datetime(time_unit='ns', time_zone=None)
tdatdt Datetime(time_unit='ns', time_zone=None)
tmatdt Datetime(time_unit='ns', time_zone=None)
tfcaldt Datetime(time_unit='ns', time_zone=None)
tdbid Float64 (0.0% null)
tdask Float64 (0.0% null)
tdaccint Float64
tdyld Float64 (0.0% null)
price Float64 (0.0% null)
tdpubout Float64 (2.4% null)
tdtotout Float64 (0.9% null)
tdpdint Float64
tcouprt Float64
itype Float64
original_maturity Float64
years_to_maturity Float64
tdduratn Float64
tdretnua Float64 (0.1% null)
days_to_maturity Int64
callable Boolean
run Int64
Numeric Column Statistics#
kytreasno: min=200636.0, max=208448.0, mean=204546.38, median=204055.0
tdbid: min=43.5, max=176.328125, mean=104.45, median=100.953125
tdask: min=43.546875, max=176.390625, mean=104.53, median=101.01171875
tdaccint: min=0.0, max=11.86908390823, mean=1.34, median=0.91160220994475
tdyld: min=-0.016641617296462, max=0.0065577934599587, mean=0.00, median=0.0001155821303717
price: min=44.05672554347826, max=182.7192679558011, mean=105.83, median=102.3286401098901
tdpubout: min=1.0, max=120001.0, mean=19730.94, median=14604.0
tdtotout: min=4.0, max=148501.0, mean=24755.12, median=18941.0
tdpdint: min=0.0, max=11.913043478261, mean=0.02, median=0.0
tcouprt: min=0.125, max=16.25, mean=5.40, median=4.75
itype: min=1.0, max=2.0, mean=1.75, median=2.0
original_maturity: min=1.0, max=40.0, mean=11.03, median=7.0
years_to_maturity: min=0.0, max=30.0, mean=6.21, median=3.0
tdduratn: min=-1.0, max=9160.066986023601, mean=1653.01, median=1112.0144269626
tdretnua: min=-0.10941117224377, max=0.12811078405138, mean=0.00, median=0.00014492729480761
days_to_maturity: min=1, max=11053, mean=2265.57, median=1212.0
run: min=0, max=84, mean=19.07, median=14.0
Date/Datetime Column Statistics#
caldt: min=1970-01-02 00:00:00, max=2025-08-29 00:00:00
tdatdt: min=1955-02-15 00:00:00, max=2025-08-31 00:00:00
tmatdt: min=1970-02-15 00:00:00, max=2055-08-15 00:00:00
tfcaldt: min=1970-01-01 00:00:00, max=1970-01-01 00:00:00
ftsfr_treas_bond_portfolio_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/us_treasury_returns/ftsfr_treas_bond_portfolio_returns.parquet
Size: 78255 bytes | Type: Parquet | Shape: 6,659 rows × 3 columns
Columns#
unique_id String
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
y: min=-0.06045740780772699, max=0.1210504349533954, mean=0.00, median=0.0038475717070697857
Date/Datetime Column Statistics#
ds: min=1970-01-31 00:00:00, max=2025-08-31 00:00:00
ftsfr_treas_bond_returns.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/us_treasury_returns/ftsfr_treas_bond_returns.parquet
Size: 1.2 MB | Type: Parquet | Shape: 121,827 rows × 3 columns
Columns#
unique_id Float64
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
unique_id: min=200636.0, max=208448.0, mean=204544.46, median=204055.0
y: min=-0.15135394584216577, max=0.1751899693786838, mean=0.00, median=0.003016939008775532
Date/Datetime Column Statistics#
ds: min=1970-01-31 00:00:00, max=2025-08-31 00:00:00
issue_dates.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/us_treasury_returns/issue_dates.parquet
Size: 28734 bytes | Type: Parquet | Shape: 1,017 rows × 3 columns
Columns#
totalTendered Float64
totalAccepted Float64
issueDate Datetime(time_unit='ns', time_zone=None)
Numeric Column Statistics#
totalTendered: min=72950000.0, max=566665759500.0, mean=139581709139.43, median=78753758000.0
totalAccepted: min=25000100.0, max=255492688300.0, mean=56974628899.31, median=34767473000.0
Date/Datetime Column Statistics#
issueDate: min=1979-11-15 00:00:00, max=2025-09-30 00:00:00
treasuries_with_run_status.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/us_treasury_returns/treasuries_with_run_status.parquet
Size: 1.2 MB | Type: Parquet | Shape: 2,449,794 rows × 5 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
run Int64
term String
type String
cusip String
Numeric Column Statistics#
run: min=0, max=84, mean=21.46, median=17.0
Date/Datetime Column Statistics#
date: min=1979-11-15 00:00:00, max=2025-09-19 00:00:00
treasury_auction_stats.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/us_treasury_returns/treasury_auction_stats.parquet
Size: 1.9 MB | Type: Parquet | Shape: 10,689 rows × 120 columns
Columns#
cusip String
issueDate Datetime(time_unit='ns', time_zone=None)
securityType String
securityTerm String
maturityDate Datetime(time_unit='ns', time_zone=None)
interestRate Float64 (76.3% null)
refCpiOnIssueDate String
refCpiOnDatedDate String
announcementDate Datetime(time_unit='ns', time_zone=None)
auctionDate Datetime(time_unit='ns', time_zone=None)
auctionDateYear String
datedDate Datetime(time_unit='ns', time_zone=None) (74.9% null)
accruedInterestPer1000 Float64 (84.9% null)
accruedInterestPer100 Float64 (99.0% null)
adjustedAccruedInterestPer1000 Float64 (97.6% null)
adjustedPrice Float64 (97.6% null)
allocationPercentage Float64 (0.1% null)
allocationPercentageDecimals String
announcedCusip String
auctionFormat String
averageMedianDiscountRate Float64 (25.1% null)
averageMedianInvestmentRate Float64 (77.9% null)
averageMedianPrice Float64 (54.4% null)
averageMedianDiscountMargin String
averageMedianYield String
backDated Null (100.0% null)
backDatedDate Datetime(time_unit='ns', time_zone=None) (91.2% null)
bidToCoverRatio Float64 (30.1% null)
callDate Datetime(time_unit='ns', time_zone=None) (99.8% null)
callable Null (100.0% null)
calledDate Datetime(time_unit='ns', time_zone=None) (99.8% null)
cashManagementBillCMB Null (100.0% null)
closingTimeCompetitive String
closingTimeNoncompetitive String
competitiveAccepted String
competitiveBidDecimals String
competitiveTendered String
competitiveTendersAccepted String
corpusCusip String
cpiBaseReferencePeriod String
currentlyOutstanding String
directBidderAccepted String
directBidderTendered String
estimatedAmountOfPubliclyHeldMaturingSecuritiesByType String
fimaIncluded Null (100.0% null)
fimaNoncompetitiveAccepted String
fimaNoncompetitiveTendered String
firstInterestPeriod String
firstInterestPaymentDate Datetime(time_unit='ns', time_zone=None) (74.9% null)
floatingRate Null (100.0% null)
frnIndexDeterminationDate String
frnIndexDeterminationRate String
highDiscountRate String
highInvestmentRate String
highPrice String
highDiscountMargin String
highYield String
indexRatioOnIssueDate String
indirectBidderAccepted String
indirectBidderTendered String
interestPaymentFrequency String
lowDiscountRate String
lowInvestmentRate String
lowPrice String
lowDiscountMargin String
lowYield String
maturingDate Datetime(time_unit='ns', time_zone=None) (26.9% null)
maximumCompetitiveAward String
maximumNoncompetitiveAward String
maximumSingleBid String
minimumBidAmount String
minimumStripAmount String
minimumToIssue String
multiplesToBid String
multiplesToIssue String
nlpExclusionAmount String
nlpReportingThreshold String
noncompetitiveAccepted String
noncompetitiveTendersAccepted String
offeringAmount String
originalCusip String
originalDatedDate Datetime(time_unit='ns', time_zone=None) (94.8% null)
originalIssueDate Datetime(time_unit='ns', time_zone=None) (31.3% null)
originalSecurityTerm String
pdfFilenameAnnouncement String
pdfFilenameCompetitiveResults String
pdfFilenameNoncompetitiveResults String
pdfFilenameSpecialAnnouncement String
pricePer100 String
primaryDealerAccepted String
primaryDealerTendered String
reopening Null (100.0% null)
securityTermDayMonth String
securityTermWeekYear String
series String
somaAccepted String
somaHoldings String
somaIncluded Null (100.0% null)
somaTendered String
spread String
standardInterestPaymentPer1000 String
strippable Null (100.0% null)
term String
tiinConversionFactorPer1000 String
tips Null (100.0% null)
totalAccepted Float64 (0.1% null)
totalTendered Float64 (0.1% null)
treasuryRetailAccepted String
treasuryRetailTendersAccepted String
type String
unadjustedAccruedInterestPer1000 String
unadjustedPrice String
updatedTimestamp String
xmlFilenameAnnouncement String
xmlFilenameCompetitiveResults String
xmlFilenameSpecialAnnouncement String
tintCusip1 String
tintCusip2 String
tintCusip1DueDate Datetime(time_unit='ns', time_zone=None) (99.8% null)
tintCusip2DueDate Datetime(time_unit='ns', time_zone=None) (100.0% null)
Numeric Column Statistics#
interestRate: min=0.125, max=16.25, mean=4.11, median=3.25
accruedInterestPer1000: min=0.0, max=36.72798, mean=1.50, median=0.00689
accruedInterestPer100: min=0.000250021, max=0.940779263, mean=0.20, median=0.07978114550000001
adjustedAccruedInterestPer1000: min=0.0, max=9.15983, mean=1.40, median=0.48441999999999996
adjustedPrice: min=81.754227, max=132.953297, mean=101.51, median=100.067434
allocationPercentage: min=0.01, max=100.0, mean=49.66, median=49.74
averageMedianDiscountRate: min=0.0, max=18.48, mean=3.48, median=3.13
averageMedianInvestmentRate: min=2.73, max=18.88, mean=7.46, median=6.53
averageMedianPrice: min=0.0, max=105.27, mean=58.24, median=95.758
bidToCoverRatio: min=1.11, max=10.72, mean=3.08, median=2.91
totalAccepted: min=25000000.0, max=100283646300.0, mean=27478211782.21, median=24000050500.0
totalTendered: min=72950000.0, max=287396859400.0, mean=81018594262.77, median=59400546800.0
Date/Datetime Column Statistics#
issueDate: min=1979-11-15 00:00:00, max=2025-09-30 00:00:00
maturityDate: min=1980-04-03 00:00:00, max=2055-08-15 00:00:00
announcementDate: min=1979-10-24 00:00:00, max=2025-09-18 00:00:00
auctionDate: min=1979-10-31 00:00:00, max=2025-09-25 00:00:00
datedDate: min=1979-11-15 00:00:00, max=2025-09-30 00:00:00
backDatedDate: min=2008-01-15 00:00:00, max=2025-08-31 00:00:00
callDate: min=2004-11-15 00:00:00, max=2009-11-15 00:00:00
calledDate: min=2004-11-15 00:00:00, max=2009-11-15 00:00:00
firstInterestPaymentDate: min=1980-05-15 00:00:00, max=2026-03-31 00:00:00
maturingDate: min=1996-02-15 00:00:00, max=2025-09-30 00:00:00
originalDatedDate: min=2005-02-15 00:00:00, max=2025-08-15 00:00:00
originalIssueDate: min=1979-01-18 00:00:00, max=2025-09-02 00:00:00
tintCusip1DueDate: min=2027-12-15 00:00:00, max=2055-08-15 00:00:00
tintCusip2DueDate: min=2055-02-15 00:00:00, max=2055-02-15 00:00:00
idrssd_to_lei.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_bank_premium/idrssd_to_lei.parquet
Size: 2.0 MB | Type: Parquet | Shape: 36,715 rows × 8 columns
Columns#
id_rssd Float64
nm_lgl String
lei String
lei_legalname String
source String
match_type Float64
link_bdate String
link_edate String
Numeric Column Statistics#
id_rssd: min=82.0, max=6026703.0, mean=3264419.97, median=3745898.0
match_type: min=1.0, max=6.0, mean=2.72, median=1.0
lei_legalevents.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_bank_premium/lei_legalevents.parquet
Size: 30.3 MB | Type: Parquet | Shape: 1,404,312 rows × 13 columns
Columns#
lei String
legalentityeventtype String
legalentityeventeffectivedate String (0.1% null)
validationdocuments String
validationreference String (88.2% null)
event_status String
group_type String
group_id String (97.3% null)
group_sequence_no String (99.6% null)
legalentityeventrecordeddate String (44.1% null)
rec_bdate String
rec_edate String
__index_level_0__ Int64
Numeric Column Statistics#
__index_level_0__: min=0, max=499999, mean=236224.85, median=234051.5
lei_main.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_bank_premium/lei_main.parquet
Size: 588.7 MB | Type: Parquet | Shape: 33,620,169 rows × 9 columns
Columns#
lei_record_id Float64
most_recent Float64
lei String
legalname String
entitycategory String (47.4% null)
entitystatus String
rec_bdate String
rec_edate String
__index_level_0__ Int64
Numeric Column Statistics#
lei_record_id: min=1.0, max=40967469.0, mean=19145521.04, median=16810085.0
most_recent: min=0.0, max=1.0, mean=0.08, median=0.0
__index_level_0__: min=0, max=499999, mean=249320.68, median=249103.0
lei_otherentnames.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_bank_premium/lei_otherentnames.parquet
Size: 37.4 MB | Type: Parquet | Shape: 1,222,254 rows × 8 columns
Columns#
lei String
otherentityname String (0.0% null)
otherentitynamelang String (28.2% null)
transliterated Float64
rowid Float64
rec_bdate String
rec_edate String
__index_level_0__ Int64
Numeric Column Statistics#
transliterated: min=0.0, max=1.0, mean=0.41, median=0.0
rowid: min=0.0, max=31.0, mean=0.12, median=0.0
__index_level_0__: min=0, max=499999, mean=224746.91, median=203708.5
lei_successorentity.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_bank_premium/lei_successorentity.parquet
Size: 3.2 MB | Type: Parquet | Shape: 63,369 rows × 7 columns
Columns#
lei String
legalname String
successorlei String (17.0% null)
successorname String (0.0% null)
entityexpirationdate String (67.6% null)
rec_bdate String
rec_edate String
wrds_bank_crsp_link.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_bank_premium/wrds_bank_crsp_link.parquet
Size: 55914 bytes | Type: Parquet | Shape: 1,495 rows × 6 columns
Columns#
rssd9001 Float64
permco Float64
name String
inst_type String (0.1% null)
dt_start String
dt_end String
Numeric Column Statistics#
rssd9001: min=31303.0, max=5860236.0, mean=2061862.82, median=1493560.0
permco: min=21.0, max=59945.0, mean=23894.67, median=15150.0
wrds_call_research.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_bank_premium/wrds_call_research.parquet
Size: 806.1 MB | Type: Parquet | Shape: 2,002,806 rows × 373 columns
Columns#
rssd9001 Float64
rcon9804 Int64 (8.2% null)
date Datetime(time_unit='ns', time_zone=None)
rssdsubmissiondate Datetime(time_unit='ns', time_zone=None) (68.5% null)
rssd9050 Float64 (0.1% null)
rssd9055 Float64 (0.1% null)
rssd9048 Int64 (10.1% null)
assets Float64 (0.2% null)
cash Float64 (0.5% null)
securities Float64 (2.2% null)
securities_asu Float64 (2.1% null)
securities_ammcost Float64 (52.8% null)
securities_mv Float64 (25.1% null)
securitiesheldtomaturity Float64 (52.9% null)
securitiesavailableforsale Float64 (52.8% null)
fedfundsrepoasset Float64 (0.3% null)
loansnet_ui Float64 (0.2% null)
loansnet_uiar Float64 (30.6% null)
loansnet Float64 (0.2% null)
reloans Float64 (0.9% null)
agloans Float64 (4.2% null)
ciloans Float64 (0.4% null)
otherciloans Float64 (25.2% null)
otherbankacceptances Float64 (58.0% null)
loansandacceptances Float64 (16.0% null)
persloans Float64 (3.7% null)
leaserec Float64 (2.3% null)
loanlossallowance Float64 (3.3% null)
transriskreserve Float64 (27.6% null)
intanassets Float64 (25.0% null)
fixedassets Float64 (3.3% null)
currcoin Float64 (24.4% null)
treasurysec Float64 (11.9% null)
usgovobligations Float64 (4.4% null)
stateobligations Float64 (27.8% null)
earnedincome Float64 (3.5% null)
residentialmbsat Float64 (82.0% null)
commercialmbsat Float64 (82.0% null)
loans1to4fam Float64 (3.9% null)
realoansnonres Float64 (3.3% null)
mbsassets Float64 (27.8% null)
absassets Float64 (68.5% null)
structuredat Float64 (82.0% null)
absandstructuredat Float64 (82.0% null)
tradingassets Float64 (25.9% null)
loans Float64 (0.4% null)
unearnedincome Float64 (0.4% null)
constloans Float64 (3.3% null)
goodwill Float64 (31.7% null)
liabilitiesandequity Float64 (3.3% null)
liabilities Float64 (0.5% null)
totaldebtnetsub Float64 (1.0% null)
totaldep Float64 (2.8% null)
deposits Float64 (3.0% null)
foreigndep Float64
demanddep Float64 (0.8% null)
transdep Float64 (27.4% null)
fedfundsrepoliab Float64 (0.3% null)
mortgagedebt Float64 (42.9% null)
llprfstock Float64 (66.6% null)
prfstock Float64 (36.2% null)
cumuladjforeigncurr Float64 (99.0% null)
undivprofits Float64 (87.6% null)
capitalreserve Float64 (87.6% null)
nowacct Float64 (65.0% null)
unreallossonequitysecnet Float64 (87.2% null)
acceptliabilities Float64 (36.4% null)
otherliabilities Float64 (14.9% null)
subordinateddebt Float64 (3.7% null)
surplus Float64 (3.6% null)
ppstkandsurp Float64 (27.7% null)
mandconvdebtnet Float64 (64.4% null)
commonstock Float64 (4.3% null)
surplus_np Float64 (44.8% null)
retainedearning Float64 (42.1% null)
aoci Float64 (68.3% null)
timesavdep Float64 (3.3% null)
timedep Float64 (28.1% null)
timedepge100k Float64 (1.6% null)
timedeple100k Float64 (28.1% null)
domdepuninsured Float64 (40.9% null)
alldepuninsured Float64 (40.1% null)
timedepuninsured Float64 (2.1% null)
nontransdep Float64 (25.7% null)
depositgt100k Float64 (63.5% null)
numacctgt100k Float64 (63.5% null)
depositgt250k Float64 (77.4% null)
numacctgt250k Float64 (77.4% null)
rtdepositgt250k Float64 (77.4% null)
rtnumacctgt250k Float64 (77.4% null)
cdge100k Float64 (43.8% null)
timedepge250k Float64 (83.1% null)
timedeple250k Float64 (83.1% null)
totsavdep Float64 (28.1% null)
savdep Float64 (27.8% null)
brokereddep Float64 (26.2% null)
brokereddeple100k Float64 (35.3% null)
brokereddepeq100k Float64 (44.7% null)
otherborrowedmoney Float64 (11.8% null)
otherbrmandnt Float64 (42.9% null)
intbearfddep Float64 (27.3% null)
intbeardep Float64 (27.8% null)
intbearfordep Float64 (98.6% null)
subsid_minorint Float64 (19.5% null)
tradingliabilities Float64 (52.8% null)
persloanschargeoff Float64 (64.6% null)
res1_4famloanchargeoff Float64 (66.1% null)
intexptimedepge100k Float64 (69.5% null)
intexptimedeple100k Float64 (69.5% null)
intexptimedeple250k Float64 (92.5% null)
intexptimedepge250k Float64 (92.5% null)
intexptimedep Float64 (37.7% null)
tradingrevenue Float64 (71.3% null)
tier1cap Float64 (58.9% null)
cet1cap Float64 (90.1% null)
additionaltier1cap Float64 (90.0% null)
avgtotalassets Float64 (59.0% null)
tier2cap Float64 (70.0% null)
tier3cap Float64 (80.1% null)
totalriskcap Float64 (50.2% null)
riskweightedassets Float64 (60.5% null)
tier1levratio Float64 (59.0% null)
cet1ratio Float64 (91.5% null)
tier1ratio Float64 (60.5% null)
totalriskcapratio Float64 (60.5% null)
capitalbuffer Float64 (92.8% null)
riskweightedassetsbd Float64 (70.0% null)
loanexcessallowance Float64 (60.5% null)
riskassets0 Float64 (50.8% null)
riskassets20 Float64 (50.8% null)
riskassets50 Float64 (50.8% null)
riskassets100 Float64 (50.8% null)
riskassets150 Float64 (92.7% null)
riskassets300 Float64 (92.7% null)
riskassets600 Float64 (92.7% null)
riskassets1250 Float64 (92.7% null)
allriskassets0 Float64 (50.8% null)
allriskassets20 Float64 (50.8% null)
allriskassets50 Float64 (50.8% null)
allriskassets100 Float64 (50.8% null)
allriskassets150 Float64 (92.7% null)
allriskassets300 Float64 (92.7% null)
allriskassets600 Float64 (92.7% null)
allriskassets1250 Float64 (92.7% null)
securitizationexponbs1250 Float64 (92.7% null)
securitizationexpoffbs1250 Float64 (92.7% null)
qavgbaldue Float64 (24.8% null)
intincbaldue Float64 (14.3% null)
qavgtreasuriesagencydebt Float64 (68.5% null)
intinctreasuriesagencydebt Float64 (68.5% null)
qavgmbs Float64 (68.5% null)
intincmbs Float64 (68.5% null)
qavgothersecurities Float64 (68.5% null)
intincothersecurities Float64 (55.2% null)
qavgtradingassets Float64 (74.1% null)
qavgfedfundsrepoasset Float64 (1.7% null)
intincfedfundsrepoasset Float64 (14.0% null)
qavgloans Float64 (4.2% null)
intincloans Float64 (14.5% null)
qavgreloans1to4fam Float64 (79.8% null)
intincreloans1to4fam Float64 (79.8% null)
qavgreloansother Float64 (79.8% null)
intincreloansother Float64 (79.8% null)
qavgagloans Float64 (74.9% null)
qavgagloans_v2 Float64 (49.9% null)
intincagloans Float64 (74.9% null)
intincagloans_v2 Float64 (49.9% null)
qavgciloans Float64 (65.1% null)
intincciloans Float64 (65.1% null)
qavgpersccards Float64 (68.8% null)
intincpersccards Float64 (68.8% null)
qavgpersother Float64 (68.8% null)
intincpersother Float64 (68.8% null)
qavgforloans Float64 (98.6% null)
intincforloans Float64 (98.8% null)
qavgleases Float64 (36.7% null)
intincleases Float64 (14.7% null)
qavgassets Float64 (12.0% null)
intincassets Float64 (27.6% null)
qavgtransdep Float64 (36.7% null)
intexptransdep Float64 (36.7% null)
qavgsavdep Float64 (68.5% null)
intexpsavdep Float64 (36.7% null)
qavgtimedepge100k Float64 (68.5% null)
qavgcdge100k Float64 (51.9% null)
qavgtimedeple100k Float64 (68.5% null)
qavgtimedeple250k Float64 (92.5% null)
qavgtimedepge250k Float64 (92.5% null)
qavgtimedep Float64 (61.0% null)
qavgfordep Float64 (98.8% null)
intexpfordep Float64
qavgfedfundsrepoliab Float64 (12.1% null)
intexpfedfundsrepoliab Float64 (14.2% null)
qavgtradingandotherborrowed Float64 (54.1% null)
intexptradingandborrowed Float64 (23.5% null)
intexptradingandborrowed_v2 Float64 (18.2% null)
qavgpersloans Float64 (68.8% null)
intincpersloans Float64 (68.8% null)
persloansintinc Float64 (64.8% null)
qavgreloans Float64 (64.8% null)
qavgreloans_v2 Float64 (39.2% null)
intincreloans Float64 (64.8% null)
qavgsecurities Float64 (68.5% null)
securities_less_3m Float64 (61.5% null)
securities_3m_1y Float64 (61.5% null)
securities_1y_3y Float64 (61.5% null)
securities_3y_5y Float64 (61.5% null)
securities_5y_15y Float64 (61.5% null)
securities_over_15y Float64 (61.5% null)
securitiestreasury_less_3m Float64 (61.5% null)
securitiestreasury_3m_1y Float64 (61.5% null)
securitiestreasury_1y_3y Float64 (61.5% null)
securitiestreasury_3y_5y Float64 (61.5% null)
securitiestreasury_5y_15y Float64 (61.5% null)
securitiestreasury_over_15y Float64 (61.5% null)
securitiesrmbs_less_3m Float64 (61.5% null)
securitiesrmbs_3m_1y Float64 (61.5% null)
securitiesrmbs_1y_3y Float64 (61.5% null)
securitiesrmbs_3y_5y Float64 (61.5% null)
securitiesrmbs_5y_15y Float64 (61.5% null)
securitiesrmbs_over_15y Float64 (61.5% null)
securitiesothermbs_less_3y Float64 (61.5% null)
securitiesothermbs_over_3y Float64 (61.5% null)
loansleases_mat_less_1y Float64 (61.4% null)
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resloans_less_3m Float64 (61.5% null)
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resloans_1y_3y Float64 (61.5% null)
resloans_3y_5y Float64 (61.5% null)
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resloans_over_15y Float64 (61.5% null)
loansleases_less_3m Float64 (61.5% null)
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timedeple100k_1y_3y Float64 (69.0% null)
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timedepge100k_less_3m Float64 (69.0% null)
timedepge100k_3m_1y Float64 (69.0% null)
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timedeple250k_1y_3y Float64 (92.5% null)
timedeple250k_over_3y Float64 (92.5% null)
timedeple250k_less_1y Float64 (92.5% null)
timedepge250k_less_3m Float64 (92.5% null)
timedepge250k_3m_1y Float64 (92.5% null)
timedepge250k_1y_3y Float64 (92.5% null)
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interestratederivatives Float64 (55.3% null)
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intincnet Float64 (27.6% null)
tradingassetintinc Float64 (35.1% null)
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intexp Float64 (27.6% null)
intexpalldep Float64 (14.5% null)
mmdacctdepexp Float64 (68.2% null)
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nonintexp Float64 (27.6% null)
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domdepservicecharges Float64 (14.5% null)
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intanddivincsecurities Float64 (28.1% null)
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totloanrecoveries Float64 (14.0% null)
loanleaseallowance Float64 (40.9% null)
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ciloanchargeoff Float64 (28.1% null)
maxcreditexp_1_4fam Float64 (73.3% null)
q_operinc Float64 (24.2% null)
q_domloanintinc Float64 (24.7% null)
q_domintexp Float64 (27.8% null)
q_creditcardintinc Float64 (39.5% null)
q_intincnet Float64 (27.8% null)
q_tradingassetintinc Float64 (35.3% null)
q_nonintinc Float64 (27.8% null)
q_intexp Float64 (27.8% null)
q_intexpalldep Float64 (24.7% null)
q_mmdacctdepexp Float64 (68.3% null)
q_othersavdepexp Float64 (68.3% null)
q_nonintexp Float64 (27.8% null)
q_exponpremises Float64 (24.3% null)
q_salaries Float64 (24.3% null)
q_netinc Float64 (24.2% null)
q_netincbec Float64 (24.3% null)
q_stocknetsale Float64 (57.0% null)
q_changestobuscomb Float64 (56.7% null)
q_prfdiv Float64 (54.2% null)
q_commondiv Float64 (54.2% null)
q_domdepservicecharges Float64 (24.5% null)
q_intandnonintexp Float64 (24.2% null)
q_intexpsubordinated Float64 (29.7% null)
q_intanddivincsecurities Float64 (28.3% null)
q_loanleaselossprovision Float64 (24.2% null)
q_totloanchargeoff Float64 (24.4% null)
q_totloanrecoveries Float64 (24.2% null)
q_loanleaseallowance Float64 (56.5% null)
q_realloanchargeoff Float64 (64.9% null)
q_ciloanchargeoff Float64 (28.3% null)
q_persloanschargeoff Float64 (64.7% null)
q_res1_4famloanchargeoff Float64 (66.2% null)
q_intexptimedepge100k Float64 (70.1% null)
q_intexptimedeple100k Float64 (70.1% null)
q_intexptimedeple250k Float64 (92.5% null)
q_intexptimedepge250k Float64 (92.5% null)
q_intexptimedep Float64 (38.3% null)
q_tradingrevenue Float64 (71.5% null)
q_intincbaldue Float64 (24.3% null)
q_intinctreasuriesagencydebt Float64 (68.6% null)
q_intincmbs Float64 (68.6% null)
q_intincothersecurities Float64 (65.1% null)
q_intincfedfundsrepoasset Float64 (24.3% null)
q_intincloans Float64 (24.7% null)
q_intincreloans1to4fam Float64 (79.8% null)
q_intincreloansother Float64 (79.8% null)
q_intincagloans Float64 (75.0% null)
q_intincagloans_v2 Float64 (50.0% null)
q_intincciloans Float64 (65.2% null)
q_intincpersccards Float64 (68.8% null)
q_intincpersother Float64 (68.8% null)
q_intincforloans Float64 (98.8% null)
q_intincleases Float64 (24.8% null)
q_intincassets Float64 (27.8% null)
q_intexptransdep Float64 (36.8% null)
q_intexpsavdep Float64 (36.8% null)
q_intexpfordep Float64 (0.6% null)
q_intexpfedfundsrepoliab Float64 (24.4% null)
q_intexptradingandborrowed Float64 (30.0% null)
q_intincpersloans Float64 (68.8% null)
q_persloansintinc Float64 (64.9% null)
q_intincreloans Float64 (64.9% null)
q_intexpdomdep Float64 (24.7% null)
avgirate_timedep Float64 (63.2% null)
avgirate_timedep_ytd Float64 (38.4% null)
avgirate_savdep Float64 (69.2% null)
avgirate_fordep Float64 (99.1% null)
fedfundsrate Float64
__index_level_0__ Int64
Numeric Column Statistics#
rssd9001: min=28.0, max=5887420.0, mean=708006.97, median=573009.0
rcon9804: min=0, max=59, mean=40.11, median=51.0
rssd9050: min=0.0, max=91398.0, mean=16015.14, median=14420.0
rssd9055: min=0.0, max=718184.0, mean=9597.95, median=0.0
rssd9048: min=0, max=720, mean=199.96, median=200.0
assets: min=0.0, max=3503360000.0, mean=1010370.16, median=60989.0
cash: min=-708.0, max=760259000.0, mean=113769.99, median=3420.0
securities: min=0.0, max=941745000.0, mean=183550.50, median=13645.0
securities_asu: min=0.0, max=941778000.0, mean=183697.64, median=13649.0
securities_ammcost: min=0.0, max=938488000.0, mean=345190.40, median=23438.0
securities_mv: min=0.0, max=933080000.0, mean=232210.41, median=17674.0
securitiesheldtomaturity: min=0.0, max=683054000.0, mean=80834.30, median=0.0
securitiesavailableforsale: min=0.0, max=484943000.0, mean=263051.57, median=17422.0
fedfundsrepoasset: min=0.0, max=388555000.0, mean=46439.29, median=1000.0
loansnet_ui: min=0.0, max=1331054000.0, mean=511647.05, median=32888.0
loansnet_uiar: min=-33530.0, max=1308630000.0, mean=290658.73, median=21392.0
loansnet: min=-32633.0, max=1308719000.0, mean=503081.18, median=32422.0
reloans: min=0.0, max=508082000.0, mean=232024.24, median=15199.0
agloans: min=0.0, max=6508000.0, mean=4967.38, median=626.0
ciloans: min=-1.0, max=353653000.0, mean=123597.74, median=4773.0
otherciloans: min=0.0, max=353653000.0, mean=156171.92, median=6238.0
otherbankacceptances: min=0.0, max=833753.0, mean=310.53, median=0.0
loansandacceptances: min=0.0, max=75990000.0, mean=13814.92, median=0.0
persloans: min=0.0, max=274517000.0, mean=80396.53, median=3539.0
leaserec: min=-7321.0, max=25990000.0, mean=8229.37, median=0.0
loanlossallowance: min=-85980.0, max=32071000.0, mean=8650.79, median=405.0
transriskreserve: min=0.0, max=1878000.0, mean=18.67, median=0.0
intanassets: min=-1235.0, max=79167395.0, mean=22876.19, median=0.0
fixedassets: min=0.0, max=25404000.0, mean=8646.16, median=876.0
currcoin: min=-1502.0, max=19379000.0, mean=5206.38, median=402.0
treasurysec: min=0.0, max=362667000.0, mean=29449.24, median=1101.0
usgovobligations: min=0.0, max=46728000.0, mean=17973.74, median=2773.0
stateobligations: min=0.0, max=32747000.0, mean=8434.30, median=0.0
earnedincome: min=-243.0, max=14419000.0, mean=3500.87, median=396.0
residentialmbsat: min=0.0, max=620819000.0, mean=312914.81, median=8039.0
commercialmbsat: min=0.0, max=94613000.0, mean=43930.29, median=0.0
loans1to4fam: min=0.0, max=381105461.0, mean=127001.20, median=7194.0
realoansnonres: min=0.0, max=104535000.0, mean=65672.80, median=3324.0
mbsassets: min=0.0, max=642419000.0, mean=121091.96, median=1408.0
absassets: min=0.0, max=92685653.0, mean=17599.66, median=0.0
structuredat: min=0.0, max=67207000.0, mean=17184.26, median=0.0
absandstructuredat: min=0.0, max=72599000.0, mean=39073.57, median=0.0
tradingassets: min=-156.0, max=475614000.0, mean=69968.27, median=0.0
loans: min=0.0, max=1331054000.0, mean=505193.41, median=33158.0
unearnedincome: min=-93000.0, max=2631000.0, mean=858.31, median=18.0
constloans: min=0.0, max=39864847.0, mean=21196.45, median=512.0
goodwill: min=-446.0, max=57347715.0, mean=19329.71, median=0.0
liabilitiesandequity: min=0.0, max=3503360000.0, mean=919450.08, median=59183.0
liabilities: min=-43.0, max=3198322000.0, mean=880266.60, median=54700.0
totaldebtnetsub: min=-43.0, max=3198068000.0, mean=877347.17, median=54721.5
totaldep: min=-2139062144.0, max=2635021000.0, mean=591850.55, median=50565.0
deposits: min=-2139062144.0, max=2201118000.0, mean=503128.67, median=50566.0
foreigndep: min=0.0, max=652858000.0, mean=75906.41, median=0.0
demanddep: min=0.0, max=1077952576.0, mean=137826.66, median=7588.0
transdep: min=0.0, max=1009197000.0, mean=162673.94, median=17773.0
fedfundsrepoliab: min=0.0, max=276478000.0, mean=55643.66, median=0.0
mortgagedebt: min=0.0, max=418762.0, mean=164.13, median=0.0
llprfstock: min=0.0, max=1077952576.0, mean=8075.60, median=0.0
prfstock: min=0.0, max=1500000.0, mean=112.52, median=0.0
cumuladjforeigncurr: min=-871000.0, max=116316.0, mean=-2515.62, median=0.0
undivprofits: min=-218899.0, max=4100000.0, mean=4972.49, median=714.0
capitalreserve: min=-5335.0, max=220100.0, mean=320.70, median=0.0
nowacct: min=0.0, max=9706000.0, mean=18294.66, median=5361.0
unreallossonequitysecnet: min=-503619.0, max=174711.0, mean=21.12, median=0.0
acceptliabilities: min=0.0, max=11257000.0, mean=3577.02, median=0.0
otherliabilities: min=-662.0, max=175038000.0, mean=27658.68, median=498.0
subordinateddebt: min=0.0, max=29191000.0, mean=6447.92, median=0.0
surplus: min=-164630.0, max=176728000.0, mean=52489.40, median=1500.0
ppstkandsurp: min=0.0, max=3632500.0, mean=573.31, median=0.0
mandconvdebtnet: min=0.0, max=900000.0, mean=334.25, median=0.0
commonstock: min=0.0, max=8002000.0, mean=3430.53, median=466.0
surplus_np: min=-589.0, max=176728000.0, mean=88825.65, median=2838.0
retainedearning: min=-26643496.0, max=1077952576.0, mean=106555.99, median=4243.0
aoci: min=-31999000.0, max=8890000.0, mean=-6518.01, median=2.0
timesavdep: min=0.0, max=1713783000.0, mean=501667.31, median=41474.0
timedep: min=0.0, max=303937000.0, mean=163037.17, median=29483.0
timedepge100k: min=0.0, max=204954000.0, mean=97941.60, median=5528.0
timedeple100k: min=0.0, max=117145420.0, mean=87911.05, median=18697.0
domdepuninsured: min=-1666166.0, max=1227175500.0, mean=343107.45, median=10284.0
alldepuninsured: min=-1666166.0, max=1661078500.0, mean=465052.70, median=10315.0
timedepuninsured: min=0.0, max=148857000.0, mean=63831.10, median=4414.0
nontransdep: min=0.0, max=1672667000.0, mean=610122.29, median=47422.0
depositgt100k: min=0.0, max=302588000.0, mean=126940.91, median=12123.0
numacctgt100k: min=0.0, max=786675.0, mean=350.71, median=60.0
depositgt250k: min=0.0, max=1438563000.0, mean=912771.74, median=44825.0
numacctgt250k: min=0.0, max=1284130.0, mean=806.34, median=87.0
rtdepositgt250k: min=0.0, max=29768000.0, mean=6001.44, median=291.0
rtnumacctgt250k: min=0.0, max=22656.0, mean=8.82, median=1.0
cdge100k: min=0.0, max=24393123.0, mean=22054.23, median=2334.0
timedepge250k: min=0.0, max=148857000.0, mean=90146.72, median=7521.0
timedeple250k: min=0.0, max=155080000.0, mean=208924.81, median=41073.5
totsavdep: min=-126838.0, max=1644994000.0, mean=442901.54, median=24208.0
savdep: min=0.0, max=1634859000.0, mean=408293.12, median=15171.0
brokereddep: min=-5.0, max=139426000.0, mean=45109.65, median=0.0
brokereddeple100k: min=0.0, max=63525000.0, mean=13022.95, median=0.0
brokereddepeq100k: min=0.0, max=29231911.0, mean=4994.38, median=0.0
otherborrowedmoney: min=0.0, max=253149000.0, mean=77062.21, median=0.0
otherbrmandnt: min=0.0, max=55727000.0, mean=19919.90, median=0.0
intbearfddep: min=0.0, max=1880595000.0, mean=657670.49, median=56894.0
intbeardep: min=0.0, max=1475667000.0, mean=553594.39, median=57142.0
intbearfordep: min=0.0, max=573728000.0, mean=5078730.16, median=71521.0
subsid_minorint: min=-7859.0, max=8488305.0, mean=635.19, median=0.0
tradingliabilities: min=0.0, max=146927000.0, mean=49225.67, median=0.0
persloanschargeoff: min=-960.0, max=19169126.0, mean=3853.66, median=10.0
res1_4famloanchargeoff: min=-75.0, max=6512000.0, mean=626.98, median=0.0
intexptimedepge100k: min=-2194.0, max=3899253.0, mean=1662.73, median=216.0
intexptimedeple100k: min=-2611.0, max=4690030.0, mean=2267.78, median=399.0
intexptimedeple250k: min=-1586.0, max=4730000.0, mean=2631.81, median=256.0
intexptimedepge250k: min=-15000.0, max=6733000.0, mean=1375.57, median=72.0
intexptimedep: min=-246641.0, max=8532072.0, mean=3654.38, median=638.0
tradingrevenue: min=-4058000.0, max=26694000.0, mean=2690.49, median=0.0
tier1cap: min=-157278.0, max=282482000.0, mean=152031.02, median=13088.0
cet1cap: min=-114774.0, max=217622000.0, mean=272670.07, median=26210.0
additionaltier1cap: min=0.0, max=3632500.0, mean=2125.70, median=0.0
avgtotalassets: min=-106.0, max=3402079000.0, mean=1675656.30, median=125888.0
tier2cap: min=0.0, max=43382000.0, mean=29553.90, median=1070.0
tier3cap: min=0.0, max=14516.0, mean=0.05, median=0.0
totalriskcap: min=-157278.0, max=302050000.0, mean=149845.26, median=11271.0
riskweightedassets: min=0.0, max=1673296870.0, mean=1271076.16, median=82104.0
tier1levratio: min=-38.87735849056604, max=213.70209999999997, mean=0.12, median=0.09797700000000001
cet1ratio: min=-0.7290449999999999, max=742.833333, mean=0.27, median=0.15056049999999999
tier1ratio: min=-23.0, max=742.833333, mean=0.24, median=0.1436
totalriskcapratio: min=-23.0, max=742.833333, mean=0.25, median=0.1549755148129338
capitalbuffer: min=-0.033578, max=734.833333, mean=0.20, median=0.0811085
riskweightedassetsbd: min=0.0, max=1676474870.0, mean=1541526.57, median=100272.0
loanexcessallowance: min=-10.0, max=18093954.0, mean=4432.27, median=0.0
riskassets0: min=-575.0, max=1177434000.0, mean=232224.96, median=1590.0
riskassets20: min=-103.0, max=608731000.0, mean=278473.42, median=13662.0
riskassets50: min=0.0, max=363005000.0, mean=187949.94, median=8032.0
riskassets100: min=0.0, max=802369000.0, mean=670236.55, median=30567.0
riskassets150: min=0.0, max=29488000.0, mean=36119.11, median=717.0
riskassets300: min=0.0, max=596082.0, mean=449.60, median=0.0
riskassets600: min=0.0, max=53000.0, mean=13.00, median=0.0
riskassets1250: min=0.0, max=348000.0, mean=65.53, median=0.0
allriskassets0: min=-575.0, max=1224456000.0, mean=313056.30, median=1600.0
allriskassets20: min=-103.0, max=830280000.0, mean=346930.37, median=13712.0
allriskassets50: min=0.0, max=424874000.0, mean=220498.81, median=8142.0
allriskassets100: min=0.0, max=1207479000.0, mean=832793.30, median=31337.0
allriskassets150: min=0.0, max=38366400.0, mean=42897.44, median=734.0
allriskassets300: min=0.0, max=596082.0, mean=449.69, median=0.0
allriskassets600: min=0.0, max=53000.0, mean=13.00, median=0.0
allriskassets1250: min=0.0, max=622000.0, mean=194.82, median=0.0
securitizationexponbs1250: min=0.0, max=348000.0, mean=65.54, median=0.0
securitizationexpoffbs1250: min=0.0, max=486000.0, mean=106.01, median=0.0
qavgbaldue: min=-77.0, max=767833000.0, mean=106303.07, median=426.0
intincbaldue: min=-299724.0, max=23020000.0, mean=893.33, median=6.0
qavgtreasuriesagencydebt: min=0.0, max=364492000.0, mean=88062.36, median=6887.0
intinctreasuriesagencydebt: min=-17000.0, max=4568000.0, mean=1090.43, median=102.0
qavgmbs: min=0.0, max=636181000.0, mean=249426.18, median=5252.0
intincmbs: min=-13368.0, max=12937000.0, mean=4494.85, median=84.0
qavgothersecurities: min=0.0, max=171050000.0, mean=101994.72, median=6000.0
intincothersecurities: min=-8804.0, max=7894000.0, mean=1379.53, median=35.0
qavgtradingassets: min=-271.0, max=420914000.0, mean=133909.14, median=0.0
qavgfedfundsrepoasset: min=0.0, max=393360000.0, mean=41432.96, median=1375.0
intincfedfundsrepoasset: min=-702.0, max=14190000.0, mean=726.18, median=39.0
qavgloans: min=0.0, max=1203546000.0, mean=440920.01, median=31892.0
intincloans: min=-7039.0, max=84075000.0, mean=20935.24, median=1864.0
qavgreloans1to4fam: min=0.0, max=382413298.0, mean=388547.72, median=29589.0
intincreloans1to4fam: min=-247.0, max=19364532.0, mean=10273.07, median=902.0
qavgreloansother: min=0.0, max=169525000.0, mean=333386.31, median=46301.0
intincreloansother: min=-501.0, max=9441000.0, mean=9740.06, median=1395.0
qavgagloans: min=0.0, max=6059000.0, mean=12857.12, median=1933.0
qavgagloans_v2: min=0.0, max=6059000.0, mean=8033.44, median=652.0
intincagloans: min=-1711.0, max=689000.0, mean=484.66, median=62.0
intincagloans_v2: min=-1711.0, max=689000.0, mean=339.37, median=19.0
qavgciloans: min=0.0, max=288934000.0, mean=236295.78, median=12577.0
intincciloans: min=-901.0, max=13871000.0, mean=8455.91, median=457.0
qavgpersccards: min=0.0, max=178753000.0, mean=83128.86, median=0.0
intincpersccards: min=-7039.0, max=24300000.0, mean=6686.70, median=0.0
qavgpersother: min=0.0, max=91928000.0, mean=96333.86, median=3490.0
intincpersother: min=-1967.0, max=7107000.0, mean=3450.91, median=146.0
qavgforloans: min=-65143.0, max=333795000.0, mean=2241518.45, median=4407.0
intincforloans: min=-1557.0, max=27256000.0, mean=105499.85, median=52.0
qavgleases: min=-3753.0, max=25377000.0, mean=11999.94, median=0.0
intincleases: min=-725000.0, max=1441000.0, mean=339.58, median=0.0
qavgassets: min=0.0, max=3450654000.0, mean=939808.13, median=65967.0
intincassets: min=-763091.0, max=151752000.0, mean=31880.19, median=2953.0
qavgtransdep: min=0.0, max=450163000.0, mean=74023.88, median=8349.0
intexptransdep: min=-37000.0, max=14598000.0, mean=563.81, median=59.0
qavgsavdep: min=0.0, max=1607649000.0, mean=834149.23, median=30426.0
intexpsavdep: min=-11665.0, max=9596000.0, mean=2140.24, median=166.0
qavgtimedepge100k: min=0.0, max=140237656.0, mean=96168.11, median=13795.5
qavgcdge100k: min=0.0, max=24315430.0, mean=21066.66, median=2773.0
qavgtimedeple100k: min=0.0, max=127334276.0, mean=112585.99, median=24235.0
qavgtimedeple250k: min=0.0, max=151705000.0, mean=235433.99, median=39127.0
qavgtimedepge250k: min=0.0, max=152749000.0, mean=115950.30, median=9975.0
qavgtimedep: min=0.0, max=304454000.0, mean=236091.88, median=42494.0
qavgfordep: min=0.0, max=581638000.0, mean=5639525.24, median=73000.0
intexpfordep: min=-369000.0, max=19754000.0, mean=1285.61, median=0.0
qavgfedfundsrepoliab: min=0.0, max=277030000.0, mean=64423.67, median=0.0
intexpfedfundsrepoliab: min=-361000.0, max=8957611.0, mean=951.15, median=0.0
qavgtradingandotherborrowed: min=0.0, max=250207000.0, mean=143283.57, median=30.0
intexptradingandborrowed: min=-133892.0, max=9822000.0, mean=1574.35, median=0.0
intexptradingandborrowed_v2: min=-133892.0, max=9822000.0, mean=1483.75, median=0.0
qavgpersloans: min=0.0, max=265348000.0, mean=179462.72, median=3621.0
intincpersloans: min=-7039.0, max=28902842.0, mean=10137.61, median=153.0
persloansintinc: min=-7039.0, max=28902842.0, mean=11451.58, median=186.0
qavgreloans: min=0.0, max=507267000.0, mean=590692.40, median=76566.0
qavgreloans_v2: min=0.0, max=507267000.0, mean=351513.21, median=33161.0
intincreloans: min=-501.0, max=25474227.0, mean=19600.07, median=2610.0
qavgsecurities: min=0.0, max=940322000.0, mean=439483.25, median=27182.0
securities_less_3m: min=0.0, max=106370361.0, mean=35985.87, median=624.0
securities_3m_1y: min=0.0, max=84351000.0, mean=18107.01, median=1208.0
securities_1y_3y: min=0.0, max=173048000.0, mean=38816.12, median=2961.0
securities_3y_5y: min=0.0, max=98539000.0, mean=32243.45, median=2541.0
securities_5y_15y: min=0.0, max=243786000.0, mean=74041.07, median=6107.0
securities_over_15y: min=0.0, max=610490000.0, mean=110682.43, median=454.0
securitiestreasury_less_3m: min=0.0, max=105938918.0, mean=32741.87, median=470.0
securitiestreasury_3m_1y: min=0.0, max=84261000.0, mean=15947.53, median=878.0
securitiestreasury_1y_3y: min=0.0, max=172673000.0, mean=36545.37, median=2570.0
securitiestreasury_3y_5y: min=0.0, max=98522000.0, mean=29089.74, median=2082.0
securitiestreasury_5y_15y: min=0.0, max=243261000.0, mean=43266.34, median=3617.0
securitiestreasury_over_15y: min=0.0, max=50687293.0, mean=15936.60, median=0.0
securitiesrmbs_less_3m: min=0.0, max=10184290.0, mean=3244.00, median=0.0
securitiesrmbs_3m_1y: min=0.0, max=3512483.0, mean=2159.48, median=0.0
securitiesrmbs_1y_3y: min=0.0, max=16306115.0, mean=2270.75, median=0.0
securitiesrmbs_3y_5y: min=0.0, max=61749128.0, mean=3153.71, median=0.0
securitiesrmbs_5y_15y: min=0.0, max=93947000.0, mean=30774.73, median=419.0
securitiesrmbs_over_15y: min=0.0, max=609436000.0, mean=94745.83, median=0.0
securitiesothermbs_less_3y: min=0.0, max=56098000.0, mean=20271.72, median=0.0
securitiesothermbs_over_3y: min=0.0, max=122325000.0, mean=50353.07, median=0.0
loansleases_mat_less_1y: min=0.0, max=343067000.0, mean=222088.08, median=18240.0
securities_mat_less_1y: min=0.0, max=120208000.0, mean=26005.96, median=1247.0
resloans_less_3m: min=0.0, max=65112000.0, mean=17465.11, median=1001.0
resloans_3m_1y: min=0.0, max=23554000.0, mean=16314.45, median=1811.0
resloans_1y_3y: min=0.0, max=31765000.0, mean=20020.26, median=3002.0
resloans_3y_5y: min=0.0, max=31761000.0, mean=23182.52, median=2198.0
resloans_5y_15y: min=0.0, max=88359000.0, mean=48558.82, median=1677.0
resloans_over_15y: min=0.0, max=189250000.0, mean=83293.25, median=401.0
loansleases_less_3m: min=0.0, max=715088000.0, mean=453129.01, median=15631.0
loansleases_3m_1y: min=0.0, max=128888000.0, mean=75142.46, median=11143.0
loansleases_1y_3y: min=0.0, max=193209000.0, mean=124215.80, median=15184.0
loansleases_3y_5y: min=0.0, max=177688000.0, mean=116011.63, median=12914.0
loansleases_5y_15y: min=0.0, max=178723000.0, mean=132446.85, median=7589.0
loansleases_over_15y: min=0.0, max=206330000.0, mean=106325.45, median=1450.0
timedeple100k_less_3m: min=0.0, max=47259000.0, mean=27137.19, median=5691.0
timedeple100k_3m_1y: min=0.0, max=72801155.0, mean=49803.12, median=11326.0
timedeple100k_1y_3y: min=0.0, max=20275000.0, mean=25533.92, median=4577.0
timedeple100k_over_3y: min=0.0, max=17637000.0, mean=9582.03, median=668.0
timedeple100k_less_1y: min=0.0, max=108375017.0, mean=76177.90, median=17092.0
timedepge100k_less_3m: min=0.0, max=98667000.0, mean=44494.53, median=3789.0
timedepge100k_3m_1y: min=0.0, max=78616626.0, mean=33840.19, median=6412.0
timedepge100k_1y_3y: min=0.0, max=20604594.0, mean=13998.61, median=1965.0
timedepge100k_over_3y: min=0.0, max=10076000.0, mean=6591.54, median=300.0
timedeple250k_less_3m: min=0.0, max=54869000.0, mean=51814.10, median=7511.0
timedeple250k_3m_1y: min=0.0, max=89244000.0, mean=111357.97, median=17289.0
timedeple250k_1y_3y: min=0.0, max=28614000.0, mean=56363.64, median=8778.0
timedeple250k_over_3y: min=0.0, max=15008000.0, mean=19931.27, median=1821.0
timedeple250k_less_1y: min=0.0, max=144111000.0, mean=160999.43, median=24661.0
timedepge250k_less_3m: min=0.0, max=114078000.0, mean=59850.41, median=1925.0
timedepge250k_3m_1y: min=0.0, max=63660000.0, mean=40081.95, median=4382.0
timedepge250k_1y_3y: min=0.0, max=19013567.0, mean=11231.57, median=1552.0
timedepge250k_over_3y: min=0.0, max=51710000.0, mean=7541.46, median=0.0
interestratederivatives: min=0.0, max=2446245923.0, mean=319331.21, median=0.0
interestratederivatives_par: min=0.0, max=336151000.0, mean=137342.26, median=0.0
grosshedging: min=0.0, max=2446245923.0, mean=356854.51, median=0.0
fixedrateswaps: min=0.0, max=1314948769.0, mean=116391.14, median=0.0
totalswaps: min=0.0, max=59969864000.0, mean=7742213.21, median=0.0
floatingrateswaps: min=-5.0, max=59951858000.0, mean=13136472.82, median=0.0
nethedging: min=-59933852000.0, max=39549000.0, mean=-13020081.67, median=0.0
grosstrading: min=0.0, max=75137030000.0, mean=15455980.26, median=0.0
cdssold: min=0.0, max=11593648945.0, mean=977065.27, median=0.0
cdspurchased: min=0.0, max=11593648945.0, mean=1005011.87, median=0.0
trssold: min=0.0, max=57643426.0, mean=10481.41, median=0.0
trspurchased: min=0.0, max=58567000.0, mean=16874.28, median=0.0
creditdersold: min=0.0, max=11593648945.0, mean=559550.23, median=0.0
creditderpurchased: min=0.0, max=11593648945.0, mean=583408.45, median=0.0
intexpdomdep: min=-216517.0, max=29686000.0, mean=5805.75, median=932.0
operinc: min=-1125733.0, max=208658000.0, mean=39895.43, median=2975.0
domloanintinc: min=-7039.0, max=76512000.0, mean=19464.91, median=1863.0
creditcardintinc: min=-7039.0, max=24300000.0, mean=4200.32, median=0.0
intincnet: min=-797874.0, max=93321000.0, mean=21049.24, median=1694.0
tradingassetintinc: min=-2064.0, max=11071000.0, mean=772.44, median=0.0
nonintinc: min=-1228913.0, max=56906000.0, mean=13270.92, median=258.0
domintexp: min=-176583.0, max=44551000.0, mean=9413.44, median=1042.0
intexp: min=-176583.0, max=58431000.0, mean=10831.39, median=1043.0
intexpalldep: min=-195000.0, max=43566000.0, mean=7308.78, median=933.0
mmdacctdepexp: min=-1335.0, max=2868000.0, mean=1059.65, median=106.0
othersavdepexp: min=-5024.0, max=1009000.0, mean=566.89, median=80.0
nonintexp: min=-172742.0, max=78648000.0, mean=20788.91, median=1361.0
exponpremises: min=-10776.0, max=7861000.0, mean=1996.07, median=152.0
salaries: min=-1860.0, max=37835000.0, mean=8113.39, median=589.0
equity_lastq4: min=-452175.0, max=303620000.0, mean=140125.09, median=11657.0
netinc: min=-24593679.0, max=47496000.0, mean=6449.79, median=339.0
netincbec: min=-24597066.0, max=47493000.0, mean=6467.70, median=337.0
stocknetsale: min=-1950000.0, max=16193099.0, mean=488.36, median=0.0
changestobuscomb: min=-43568000.0, max=62722000.0, mean=3137.57, median=0.0
prfdiv: min=-600.0, max=196000.0, mean=18.63, median=0.0
commondiv: min=-1895.0, max=61000000.0, mean=5165.10, median=75.0
equity: min=-939749.0, max=317802000.0, mean=95924.91, median=5550.0
domdepservicecharges: min=-1721.0, max=10857344.0, mean=1533.36, median=101.0
intandnonintexp: min=-119840.0, max=137079000.0, mean=28329.39, median=2396.0
numemployees: min=-292.0, max=1607556.0, mean=204.01, median=31.0
intexpsubordinated: min=-17950.0, max=2101000.0, mean=227.04, median=0.0
intanddivincsecurities: min=-4933.0, max=18740000.0, mean=4822.18, median=506.0
loanleaselossprovision: min=-9068000.0, max=29395292.0, mean=2809.65, median=49.0
totloanchargeoff: min=-1150.0, max=21277000.0, mean=3060.93, median=41.0
totloanrecoveries: min=-3087.0, max=2538000.0, mean=606.30, median=12.0
loanleaseallowance: min=-81274.0, max=32071000.0, mean=13992.16, median=881.0
realloanchargeoff: min=-509.0, max=13707068.0, mean=1684.75, median=0.0
ciloanchargeoff: min=-41.0, max=3820000.0, mean=654.63, median=3.0
maxcreditexp_1_4fam: min=0.0, max=8281000.0, mean=649.97, median=0.0
q_operinc: min=-30046000.0, max=56620000.0, mean=18368.26, median=1478.0
q_domloanintinc: min=-17507000.0, max=21219000.0, mean=9001.97, median=945.0
q_domintexp: min=-9909000.0, max=14206000.0, mean=3926.97, median=473.0
q_creditcardintinc: min=-2527000.0, max=16658762.0, mean=1757.92, median=0.0
q_intincnet: min=-12039000.0, max=24586000.0, mean=8669.73, median=768.0
q_tradingassetintinc: min=-994000.0, max=3572000.0, mean=316.35, median=0.0
q_nonintinc: min=-7074000.0, max=16819000.0, mean=5372.75, median=117.0
q_intexp: min=-10933000.0, max=18361000.0, mean=4508.09, median=474.0
q_intexpalldep: min=-7391000.0, max=13168000.0, mean=3344.57, median=443.0
q_mmdacctdepexp: min=-33762.0, max=1095000.0, mean=438.82, median=49.0
q_othersavdepexp: min=-24531.0, max=331000.0, mean=232.62, median=36.0
q_nonintexp: min=-12639000.0, max=22381000.0, mean=8563.77, median=620.0
q_exponpremises: min=-1435000.0, max=2248000.0, mean=916.36, median=80.0
q_salaries: min=-4991000.0, max=10750000.0, mean=3714.93, median=308.0
q_netinc: min=-13469374.0, max=13999000.0, mean=2908.90, median=176.0
q_netincbec: min=-13469299.0, max=14000000.0, mean=2905.21, median=175.0
q_stocknetsale: min=-4726610.0, max=16193099.0, mean=217.93, median=0.0
q_changestobuscomb: min=-43617000.0, max=62413000.0, mean=1781.85, median=0.0
q_prfdiv: min=-47436.0, max=162000.0, mean=10.40, median=0.0
q_commondiv: min=-3664770.0, max=35000000.0, mean=2996.66, median=0.0
q_domdepservicecharges: min=-2084000.0, max=2989434.0, mean=706.94, median=55.0
q_intandnonintexp: min=-23572000.0, max=39980000.0, mean=13088.80, median=1181.0
q_intexpsubordinated: min=-866000.0, max=552000.0, mean=105.14, median=0.0
q_intanddivincsecurities: min=-3952000.0, max=5712000.0, mean=1974.45, median=230.0
q_loanleaselossprovision: min=-9044000.0, max=10396000.0, mean=1322.38, median=25.0
q_totloanchargeoff: min=-3594000.0, max=9586000.0, mean=1450.06, median=18.0
q_totloanrecoveries: min=-267000.0, max=1428627.0, mean=280.97, median=5.0
q_loanleaseallowance: min=-3501000.0, max=25481070.0, mean=5096.13, median=51.0
q_realloanchargeoff: min=-2084000.0, max=3961392.0, mean=711.65, median=0.0
q_ciloanchargeoff: min=-581000.0, max=1244000.0, mean=282.43, median=0.0
q_persloanschargeoff: min=-792000.0, max=7924000.0, mean=1588.22, median=4.0
q_res1_4famloanchargeoff: min=-1235174.0, max=1820000.0, mean=254.64, median=0.0
q_intexptimedepge100k: min=-1888000.0, max=1276114.0, mean=671.14, median=97.0
q_intexptimedeple100k: min=-2393000.0, max=1640531.0, mean=897.31, median=177.0
q_intexptimedeple250k: min=-34247.0, max=1758000.0, mean=1207.09, median=121.0
q_intexptimedepge250k: min=-30000.0, max=2277000.0, mean=637.25, median=34.0
q_intexptimedep: min=-4281000.0, max=3060000.0, mean=1499.52, median=288.0
q_tradingrevenue: min=-7587000.0, max=9114000.0, mean=1001.82, median=0.0
q_intincbaldue: min=-1173357.0, max=6898000.0, mean=430.60, median=3.0
q_intinctreasuriesagencydebt: min=-239000.0, max=1833000.0, mean=451.38, median=47.0
q_intincmbs: min=-3222000.0, max=3983000.0, mean=1832.42, median=40.0
q_intincothersecurities: min=-672000.0, max=2102000.0, mean=719.42, median=40.0
q_intincfedfundsrepoasset: min=-204000.0, max=3773000.0, mean=336.04, median=15.0
q_intincloans: min=-18198000.0, max=23212000.0, mean=9680.95, median=946.0
q_intincreloans1to4fam: min=-7914000.0, max=5820618.0, mean=4172.12, median=417.0
q_intincreloansother: min=-2924000.0, max=2451000.0, mean=4033.02, median=648.0
q_intincagloans: min=-688065.0, max=688569.0, mean=200.45, median=32.0
q_intincagloans_v2: min=-688065.0, max=688569.0, mean=140.00, median=9.0
q_intincciloans: min=-3609000.0, max=3782000.0, mean=3490.34, median=206.0
q_intincpersccards: min=-2527000.0, max=16658762.0, mean=2810.41, median=0.0
q_intincpersother: min=-2318000.0, max=1829000.0, mean=1414.65, median=67.0
q_intincforloans: min=-691000.0, max=7593000.0, mean=43254.64, median=18.0
q_intincleases: min=-843000.0, max=637000.0, mean=156.30, median=0.0
q_intincassets: min=-22972000.0, max=42185000.0, mean=13177.58, median=1330.0
q_intexptransdep: min=-139000.0, max=4024000.0, mean=254.13, median=27.0
q_intexpsavdep: min=-1947000.0, max=3192000.0, mean=904.35, median=76.0
q_intexpfordep: min=-1024000.0, max=5325000.0, mean=527.66, median=0.0
q_intexpfedfundsrepoliab: min=-594000.0, max=2896000.0, mean=437.19, median=0.0
q_intexptradingandborrowed: min=-2082000.0, max=6175000.0, mean=711.84, median=0.0
q_intincpersloans: min=-2492000.0, max=18112500.0, mean=4225.05, median=70.0
q_persloansintinc: min=-2492000.0, max=18112500.0, mean=4758.74, median=83.0
q_intincreloans: min=-10838000.0, max=10007000.0, mean=8069.49, median=1209.0
q_intexpdomdep: min=-6367000.0, max=9013000.0, mean=2648.49, median=443.0
avgirate_timedep: min=-3.9245, max=30.5556, mean=0.03, median=0.0262
avgirate_timedep_ytd: min=-0.6851, max=944.5333, mean=0.04, median=0.0432
avgirate_savdep: min=-2.8889, max=45.5, mean=0.01, median=0.0071
avgirate_fordep: min=-1.0432, max=677.7143, mean=0.12, median=0.0511
fedfundsrate: min=0.0007000000000000001, max=0.191, mean=0.06, median=0.0545
__index_level_0__: min=0, max=499999, mean=249651.21, median=249649.0
Date/Datetime Column Statistics#
date: min=1976-03-31 00:00:00, max=2024-03-31 00:00:00
rssdsubmissiondate: min=2005-07-12 21:51:43, max=2024-11-14 17:39:51
wrds_struct_rel_ultimate.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_bank_premium/wrds_struct_rel_ultimate.parquet
Size: 247.9 MB | Type: Parquet | Shape: 12,623,400 rows × 12 columns
Columns#
reln_year Int64
focal_rssd_id Float64
focal_name String (0.2% null)
position Int64
immediate_rssd_id Float64
immediate_name String (0.2% null)
primary_flag Int64
ultimate_rssd_id Float64
ultimate_name String (0.2% null)
recursive_flag Int64
tree String
__index_level_0__ Int64
Numeric Column Statistics#
reln_year: min=1923, max=2025, mean=2008.44, median=2010.0
focal_rssd_id: min=28.0, max=6075046.0, mean=2962059.58, median=3134643.0
position: min=0, max=31, mean=3.66, median=3.0
immediate_rssd_id: min=130.0, max=6074562.0, mean=2739243.88, median=2937940.0
primary_flag: min=0, max=1, mean=0.64, median=1.0
ultimate_rssd_id: min=868.0, max=6050100.0, mean=1967030.23, median=1647970.0
recursive_flag: min=0, max=1, mean=0.02, median=0.0
__index_level_0__: min=0, max=499999, mean=248158.77, median=247531.5
CRSP_Comp_Link_Table.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_crsp_compustat/CRSP_Comp_Link_Table.parquet
Size: 752347 bytes | Type: Parquet | Shape: 39,192 rows × 6 columns
Columns#
gvkey String
permno Float64
linktype String
linkprim String
linkdt Datetime(time_unit='ns', time_zone=None)
linkenddt Datetime(time_unit='ns', time_zone=None) (26.4% null)
Numeric Column Statistics#
permno: min=10000.0, max=93436.0, mean=51742.16, median=53502.0
Date/Datetime Column Statistics#
linkdt: min=1949-07-01 00:00:00, max=2024-12-31 00:00:00
linkenddt: min=1958-12-23 00:00:00, max=2025-01-31 00:00:00
CRSP_stock_ciz.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_crsp_compustat/CRSP_stock_ciz.parquet
Size: 99.1 MB | Type: Parquet | Shape: 5,117,080 rows × 17 columns
Columns#
permno Int64
permco Int64
mthcaldt Datetime(time_unit='ns', time_zone=None)
issuertype String
securitytype String
securitysubtype String
sharetype String
usincflg String
primaryexch String
conditionaltype String
tradingstatusflg String
mthret Float64 (1.6% null)
mthretx Float64 (1.6% null)
shrout Int64 (0.1% null)
mthprc Float64 (1.6% null)
jdate Datetime(time_unit='ns', time_zone=None)
__index_level_0__ Int64
Numeric Column Statistics#
permno: min=10000, max=93436, mean=52253.69, median=54148.0
permco: min=2, max=60123, mean=22973.22, median=21102.0
mthret: min=-1.0, max=39.0, mean=0.01, median=0.0
mthretx: min=-1.0, max=39.0, mean=0.01, median=0.0
shrout: min=1, max=29206400, mean=48419.85, median=8500.0
mthprc: min=0.0006, max=724040.0, mean=37.35, median=14.75
__index_level_0__: min=0, max=499999, mean=245618.85, median=244145.5
Date/Datetime Column Statistics#
mthcaldt: min=1925-12-31 00:00:00, max=2024-12-31 00:00:00
jdate: min=1925-12-31 00:00:00, max=2024-12-31 00:00:00
Compustat.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_crsp_compustat/Compustat.parquet
Size: 11.0 MB | Type: Parquet | Shape: 578,694 rows × 10 columns
Columns#
gvkey String
datadate Datetime(time_unit='ns', time_zone=None)
at Float64 (16.2% null)
pstkl Float64 (16.3% null)
txditc Float64 (23.2% null)
pstkrv Float64 (16.7% null)
seq Float64 (18.1% null)
pstk Float64 (16.8% null)
year Int32
__index_level_0__ Int64
Numeric Column Statistics#
at: min=0.0, max=4349731.0, mean=6123.93, median=112.8
pstkl: min=-0.421, max=526300.0, mean=35.58, median=0.0
txditc: min=-285.769, max=92344.0, mean=112.08, median=0.0
pstkrv: min=-67.0, max=526300.0, mean=36.63, median=0.0
seq: min=-86154.0, max=649368.0, mean=1062.40, median=43.6165
pstk: min=-252.0, max=139966.0, mean=30.69, median=0.0
year: min=1959, max=2025, mean=1998.43, median=1999.0
__index_level_0__: min=0, max=499999, mean=221353.74, median=210652.5
Date/Datetime Column Statistics#
datadate: min=1959-01-31 00:00:00, max=2025-08-31 00:00:00
FF_FACTORS.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_crsp_compustat/FF_FACTORS.parquet
Size: 48775 bytes | Type: Parquet | Shape: 1,188 rows × 9 columns
Columns#
date Datetime(time_unit='ns', time_zone=None)
mktrf Float64
smb Float64
hml Float64
rf Float64
year Float64
month Float64
umd Float64 (0.5% null)
dateff String (0.5% null)
Numeric Column Statistics#
mktrf: min=-0.2874, max=0.3881, mean=0.01, median=0.01075
smb: min=-0.1741, max=0.3596, mean=0.00, median=0.0006
hml: min=-0.1383, max=0.3552, mean=0.00, median=0.0014
rf: min=-0.0006, max=0.0135, mean=0.00, median=0.0023
year: min=1926.0, max=2025.0, mean=1975.50, median=1975.5
month: min=1.0, max=12.0, mean=6.50, median=6.5
umd: min=-0.526, max=0.18, mean=0.01, median=0.0079
Date/Datetime Column Statistics#
date: min=1926-07-31 00:00:00, max=2025-06-30 00:00:00
ftsfr_CRSP_monthly_stock_ret.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_crsp_compustat/ftsfr_CRSP_monthly_stock_ret.parquet
Size: 21.7 MB | Type: Parquet | Shape: 3,810,519 rows × 3 columns
Columns#
unique_id Int64
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
unique_id: min=10000, max=93436, mean=49672.81, median=48195.0
y: min=-1.0, max=26.583827, mean=0.01, median=0.0
Date/Datetime Column Statistics#
ds: min=1926-01-30 00:00:00, max=2024-12-31 00:00:00
ftsfr_CRSP_monthly_stock_retx.parquet#
Path: /Users/jbejarano/GitRepositories/ftsfr/_data/wrds_crsp_compustat/ftsfr_CRSP_monthly_stock_retx.parquet
Size: 18.4 MB | Type: Parquet | Shape: 3,810,519 rows × 3 columns
Columns#
unique_id Int64
ds Datetime(time_unit='ns', time_zone=None)
y Float64
Numeric Column Statistics#
unique_id: min=10000, max=93436, mean=49672.81, median=48195.0
y: min=-1.0, max=26.583827, mean=0.01, median=0.0
Date/Datetime Column Statistics#
ds: min=1926-01-30 00:00:00, max=2024-12-31 00:00:00
available_datasets.csv#
Path: /Users/jbejarano/GitRepositories/ftsfr/_output/available_datasets.csv
Size: 3845 bytes | Type: Csv | Shape: 25 rows × 4 columns
Columns#
full_name String
file_path String
frequency String
seasonality Int64
Numeric Column Statistics#
seasonality: min=1, max=12, mean=3.40, median=1.0
tips_treasury_summary.csv#
Path: /Users/jbejarano/GitRepositories/ftsfr/_output/tips_treasury_summary.csv
Size: 283 bytes | Type: Csv | Shape: 9 rows × 5 columns
Columns#
String
TIPS-Treasury 2Y String
TIPS-Treasury 5Y String
TIPS-Treasury 10Y String
TIPS-Treasury 20Y String