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question about fundamentals.div_yields5_year

in this lecture

https://www.quantopian.com/lectures/case-study-traditional-value-factor

it used inputs = [Fundamentals.div_yield5_year]

However, I checked fundamentals reference here,

https://www.quantopian.com/help/fundamentals

I don't see any definition for div_yields5_year, but run notebook, it didn't give any error, I am very confused. Thanks for help!

Ben

4 responses

The fundamentals documentation page you referenced (https://www.quantopian.com/help/fundamentals) isn't complete. To get a complete list of factors and classifiers available in Fundamentals do something like this...

# Import the fundamental data  
from quantopian.pipeline.data import Fundamentals  
# Take a look at the docstring for info on the available fundamental fields and types  
help(Fundamentals)

One will see 'div_yield5_year' in the resulting list. There's no definition but the names are rather self explanatory. Python is nice for 'self documenting' that way. The 'help' method will give you info on just about any class or function (and not just Fundamentals).

See attached notebook.

Loading notebook preview...

Hi Dan, thanks for the help!

I found this

div_yield5_year = Fundamentals.div_yield5_year::float64

but it didn't explain what this value means? Where can find definition of this value? Thanks again.

Ben

The definitions of the fundamental fields are a bit sparse (non-existent) however in this case I'd suspect it's the total dividends paid out over 5 years divided by the stock price and then annualized. The typical dividend yield definition (https://www.investopedia.com/terms/d/dividendyield.asp) is for a single year. The 5 year factor values appear to be in line with the annual values so they must be 'annualized' somehow. Maybe that was your question? How is it annualized?

Thank you for the explain, Dan!

That's very helpful. I think you are right. Also I remember somewhere at quantopian mentioned, the fundamental data are from moringstar, i just google and found this, http://gladmainnew.morningstar.com/clientcomm/DataDefinitions-EquityandExecutive2016.11.22.pdf. The definition there is inline with your explanation.

DivYield5Year (14037)
Average of the last 60 monthly observations of trailing dividend yield in the last 5 years