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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()

Project details


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