Skip to content

Latest commit

 

History

History
57 lines (52 loc) · 2.88 KB

README.md

File metadata and controls

57 lines (52 loc) · 2.88 KB

DataFrame

DataFrame is a Fortran derived type with indices, columns, and values of type integer, character, and real(kind=dp). Table is similar but has indices of type character. With the DataFrame and Table and associated procedures, it is simple to read CSV files and compute and display associated statistics. For example, the program

program xdataframe_stats
use       dataframe_mod, only: DataFrame, print_summary, operator(*)
use dataframe_stats_mod, only: simple_ret
use     table_stats_mod, only: basic_stats_table, corr_table
use           table_mod, only: Table, display
use kind_mod, only: dp
implicit none
character (len=*), parameter :: data_file = "spy_efa_eem_tlt.csv"
type(DataFrame) :: df, df_ret
type(Table) :: ret_stats
print "('data file: ', a)", trim(data_file)
call df%read_csv(data_file)
call print_summary(df, fmt_trailer="()")
df_ret = 100.0_dp*simple_ret(df)
ret_stats = basic_stats_table(df_ret%values, df_ret%columns, &
   index_name="returns")
call display(ret_stats, fmt_trailer="()")
call display(corr_table(df_ret%values,df_ret%columns), &
   title="return correlations")
end program xdataframe_stats

reads historical daily closing prices for a few ETFs from a CSV file, which were obtained using the Python script xget_prices_yahoo.py. (The dates from the downloaded data file were transformed from YYYY-MM-DD format to YYYYMMDD to simplify reading them in Fortran.) The program then computes returns and prints statistics on those returns, including a correlation matrix. The output is

data file: spy_efa_eem_tlt.csv
#rows, columns: 5490 4
first, last indices: 20030414 20250205
first, last columns: SPY TLT

             returns        SPY        EFA        EEM        TLT
mean                     0.0492     0.0363     0.0469     0.0180
sd                       1.1693     1.3104     1.7245     0.9159
skew                    -0.0872    -0.0650     0.5054     0.0797
kurt                    15.2201    14.3123    18.2294     3.4888
min                    -10.9424   -11.1633   -16.1661    -6.6682
max                     14.5198    15.8880    22.7700     7.5195

return correlations
                            SPY        EFA        EEM        TLT
SPY                      1.0000     0.8832     0.8183    -0.3127
EFA                      0.8832     1.0000     0.8679    -0.2848
EEM                      0.8183     0.8679     1.0000    -0.2662
TLT                     -0.3127    -0.2848    -0.2662     1.0000

The ETFs are

   SPY -- S&P 500 (U.S. stocks)
   EFA -- iShares MSCI EAFE (foreign developed market stocks)
   EEM -- iShares MSCI Emerging Markets (emerging market stocks)
   TLT -- iShares 20+ Year Treasury Bond (U.S. long-term government bonds)

The pairwise correlations of returns of all the stock ETFs (SPY, EFA, EEM) all exceed 0.8, while they are negatively correlated to TLT.