Returns Fama French Factors as a Pandas Dataframe
Project description
getFamaFrenchFactors
This programme gets data for fame french factors from the Kenneth French library and returns it as a pandas dataframe.
Installation
Run the following to install:
pip install getFamaFrenchFactors
Usage
Factors can be extracted in monthly ('m') and annual ('a') frequencies. The default is monthly.
import getFamaFrenchFactors as gff
# Get the Fama French 3 factor model (monthly data)
df_ff3_monthly = gff.famaFrench3Factor(frequency='m')
# Get the Fama French 3 factor model (annual data)
df_ff3_annual = gff.famaFrench3Factor(frequency='a')
Other options:
- Momentum factor: momentumFactor()
- Carhart 4 factor: carhart4Factor()
- Fama French 5 factor: famaFrench5Factor()
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