OpenSourceAP.DownloadR

OpenSourceAP_DownloadR is an R package that allows you to download data from Open Source Asset Pricing.

Installation

install.packages("OpenSourceAP.DownloadR")
# or
devtools::install_github("tomz23/OpenSourceAP.DownloadR")

Usage

Import package and open an instance to the data

library(OpenSourceAP.DownloadR)

openap <- OpenAP$new()

List available portfolios (various implementations)

openap$list_port()

Signal documentation

openap$dl_signal_doc()

Download portfolio returns

# download all original paper portfolios
openap$dl_port('op')

# download all decile-value-weighted portfolios
openap$dl_port('deciles_vw')

# Download portfolios for specific signals
openap$dl_port('op', 'AssetGrowth')

Download firm characteristics

To download all signals, you need a WRDS account.

openap$dl_all_signals()