Returns Fama French Factors as a Pandas Dataframe
This programme gets data for fame french factors from the Kenneth French library and returns it as a pandas dataframe.
Run the following to install:
pip install getFamaFrenchFactors
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')
- Momentum factor: momentumFactor()
- Carhart 4 factor: carhart4Factor()
- Fama French 5 factor: famaFrench5Factor()
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