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")

Data are read from the OpenAP Hugging Face dataset, where each data release is a branch. No account or token is needed.

Usage

Import package and open an instance to the data

library(OpenSourceAP.DownloadR)

openap <- OpenAP$new()

# a specific release (2020_05 through 2026_10; 2026_10 is the default)
openap_2024 <- OpenAP$new("2024_10")

Older releases differ in what they contain. For example, daily portfolios start with 2021_04, SignalDoc.csv with 2022_03, and the 2020 releases have their own portfolio files (portbase, allportretdec, …) and unsigned signals only. list_port() shows what a release has.

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

Only the requested columns are downloaded.

openap$dl_signal(c("BM", "Mom12m"))

# signed so that high values predict high returns
openap$dl_signal(c("BM", "Mom12m"), signed = TRUE)

To download all signals, or the CRSP signals Price, Size and STreversal, you need a WRDS account.

openap$dl_all_signals()