download_data_factors_ff: Download and Process Fama-French Factor Data

In tidyfinance: Tidy Finance Helper Functions

Download and Process Fama-French Factor Data

Description

Downloads and processes Fama-French factor data based on the specified dataset name and date range. The data is downloaded directly from Kenneth French's data library and processed into a structured format, including date conversion, scaling factor values, and filtering by the specified date range.

Usage

download_data_factors_ff(
  dataset = NULL,
  start_date = NULL,
  end_date = NULL,
  type = deprecated()
)

Arguments

dataset	The name of the Fama-French dataset to download (e.g., "Fama/French 3 Factors").
start_date	Optional. A character string or Date object in "YYYY-MM-DD" format specifying the start date for the data. If not provided, the full dataset is returned.
end_date	Optional. A character string or Date object in "YYYY-MM-DD" format specifying the end date for the data. If not provided, the full dataset is returned.
type	Use dataset instead.

Details

If there are multiple tables in the raw Fama-French data (e.g., value-weighted and equal-weighted returns), then the function only returns the first table because these are the most popular. Download the source ZIP archive directly if you need less commonly used tables.

Value

A tibble with processed factor data, including the date, risk-free rate, market excess return, and other factors, filtered by the specified date range.

References

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/0304-405X(93)90023-5")}

Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jfineco.2014.10.010")}

Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.1540-6261.1997.tb03808.x")}

See Also

Other download functions: download_data(), download_data_constituents(), download_data_factors_q(), download_data_fred(), download_data_huggingface(), download_data_jkp(), download_data_macro_predictors(), download_data_osap(), download_data_pastor_stambaugh(), download_data_risk_free(), download_data_stambaugh_yuan(), download_data_stock_prices(), download_factor_library_grid(), download_factor_library_ids()

Examples

  download_data_factors_ff(
    "Fama/French 3 Factors", "2000-01-01", "2020-12-31"
  )
  download_data_factors_ff(
    "10 Industry Portfolios", "2000-01-01", "2020-12-31"
  )

tidyfinance documentation built on July 3, 2026, 1:09 a.m.