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OpenSourceAP_DownloadR is an R package that allows you to download data from Open Source Asset Pricing.
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.
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.
openap$list_port()openap$dl_signal_doc()# 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$dl_port('op', 'AssetGrowth')Only the requested columns are downloaded.
openap$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()These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.