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Factor model - daily factor returns

One can access factor exposure to assets via quantopian.pipeline.experimental.risk_loading_pipeline, but is there a way to access the daily returns for each of the five style factors?

3 responses

And of course there is...

from quantopian.research.experimental import get_factor_returns

get_factor_returns(start_date, end_date)  

The above method works in the Research API, but is there a way to get these factor returns in the Algorithm API?

Hi @Colin, where you are heading here has lots of potential. I have also been asking the same question but still received no replies...